June 2015: an air of June 2013 déjà vu?

Posted on 09. Jun, 2015 by Jean Jacques Ohana in Weekly Focus

Since Mid-April, all asset classes fell simultaneously: a basket of equities indices fell by 2%, a basket of sovereign bonds fell by 3.5% (i.e. a surge of 50 bps in yields) and commodities were just flat as illustrated in figure 1. An environment where all assets tumble at the same time translates a break in [...]

Index Volatility futures: tactical strategy and use for asset allocation

Posted on 02. Jun, 2015 by Jean Jacques Ohana in Weekly Focus

June 2, 2015

The VIX index is calculated as the weighted average of options on S&P 500. In March 2004, the CBOE introduced VIX futures contracts to facilitate volatility trading and encourage investors to use volatility to hedge equity portfolios, given the strong negative correlation between equity returns and implied volatility.

Reflecting the demand of markets participants, [...]