Volatility investing with
Volatility investing with the VSTOXX® — the European equivalent of the VIX—continues to make strides in the market with an increased following no longer restricted to leveraged investors. To learn more about this opportunity, watch this webinar presented by Eurex Exchange and OptionsCity Software. We explore market making, modeling, and risk management in VSTOXX® Futures using the intuitive tools in OptionsCity's Metro and Freeway platforms.
• Liquidity and leveraging index skews
• Deriving fair value for VSTOXX® Futures using a Freeway algorithm
• Calendar spread trading
• And more...
Bob Kallay, Director of Product Management - OptionsCity
Andrew Lisy, Algo Product Manager - OptionsCity
Rex Jones, VP Product Development - Eurex
Headsets guys... headsets. This great tutorial was ruined by horrible sound quality.
PyData London 2014 -
PyData London 2014 -
View Yves' slides here:
Today's financial market environment demands for ever shorter times-to-insight when it comes to financial analytics tasks. For the analysis of financial times series or for typical tasks related to derivatives analytics and trading, Python has developed to the ideal technology platform.
Not only that Python provides powerful and efficient libraries for data analytics, such as NumPy or pandas. With IPython there is a tool and environment available that facilitates interactive, and even real-time, financial analytics tremendously.
The tutorial introduces into IPython and shows, mainly on the basis of practical examples related to the VSTOXX volatility index, how Python and IPython might re-define interactive financial analytics.
Quants, traders, financial engineers, analysts, financial researchers, model validators and the like all benefit from the tutorial and the new technologies provided by the Python ecosystem.
For background information see the Python-based "VSTOXX Advanced Services" and the related backtesting applications:
VSTOXX, volatility, futures trading, tail risk, hedge funds, managed futures, hedging
guys, i am a 7 yr vix spread trader and the past 1.5 yrs been getting bigger and bigger in vstoxx. for a retail guy i think i move some big size; enough to be heard.
vix spread margins are priced lower than outright futures; but in vstoxx spreads are not differentiated.
i would increase my size even more if there was a spread margin..and also..i would do far more (i am certain more liquidity would come) if this was a full sized contract. retail (i am more institutional family hedging) does the mini's but retail does not understand vol trading, term structure trading etc...and the big guys most likely want the big contract.
what say you?