Directional Exposure To Volatility Via Listed Futures Agosto

S&P INDICES | Research & Design
Access to Volatility via Listed Futures
October 2010
In certain asset classes, spot is not easily tradable by a broad spectrum of market participants. For these asset classes, futures and indices can provide broader accessibility. Volatility has emerged as an important asset class in the last decade. Often referred to as the investor fear gauge, it can be a potentially useful diversification tool in a broad equity portfolio, especially in down markets. However, it is not possible to trade the spot VIX directly. Prior to 2009, the only way to take a position on the VIX was through the use of VIX options, futures, or OTC vehicles such as variance swaps. A variety of instruments linked to the S&P 500 VIX Futures Index Series now offer replicable, directional exposure to volatility. The correlations of the futures indices to the S&P 500 range from -76.59% to -79.17%, similar to the approximately -75% correlation of the spot VIX to the S&P 500. These futures indices have a positive return 95% of the time the S&P 500 has a loss of more than 1%. Furthermore, during days of sharp market declines, index returns are usually significantly positive. Futures indices track only a fraction of the spot VIX movement due to lower volatility in the futures than the spot. Despite a healthy correlation of 87% between the S&P 500 VIX Short-Term Futures Index and the spot VIX, the index has a beta of only 44% versus spot VIX. Term structure decay occurs when the futures curve is in contango. As a result, futures indices move downward for the majority of their history, except for periods of extreme stress and volatility. In the S&P 500 VIX Short-Term Futures Index, on average, 0.16% of the portfolio value is lost daily by rolling from first month to second month futures. Term structure decay is less pronounced in the S&P 500 VIX Mid-Term Futures Index. This decay has spurred the creation of several dynamic roll indices, much like what has occurred in the commodities market.
Berlinda Liu
Director 212.438.7834 berlinda_liu@sandp.com
Srikant Dash, CFA, FRM

Managing Director 212.438.3012 srikant_dash@sandp.com
October 2010
Introduction
In certain asset classes, spot is not easily tradable by a broad spectrum of market participants. A common example is commodities such as base metals or natural gas. However, futures and futuresbased indices can provide broader access to such asset classes. In recent years, this idea has been extended to volatility. Volatility has emerged as an important asset class in the last decade. VIX is a widely used measure of the implied volatility of the S&P 500 index options. It represents the market expectation of stock market volatility over the next 30 day period. Analysis of volatility shows that it hits its highest levels during periods of market turbulence; hence, VIX is often referred to as the investor fear gauge. VIX can be considered a useful diversification tool in a broad equity portfolio, especially during bear markets. However, it is not possible to trade the spot VIX directly. Prior to 2009, the only way to take a position on the VIX was through the use of VIX options, futures, or OTC vehicles such as variance swaps. That changed in January 2009 when S&P Indices launched the S&P 500 VIX Futures Index Series. A variety of popular exchange traded products linked to these indices offer broad market access to volatility trading. The series includes two indices: S&P 500 VIX Short-Term Futures Index. Measures the return from a rolling long position in the first and second month VIX futures contracts. The index maintains a constant onemonth maturity by rolling continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract. S&P 500 VIX Mid-Term Futures Index. Measures the return from a rolling long position in the fourth, fifth, sixth and seventh month VIX futures contracts. The index maintains a constant five-month maturity by rolling continuously throughout each month from the fourth month contract into the seventh month contract while maintaining positions in the fifth month and sixth month contracts.
In this paper, we elaborate on the portfolio hedge and distributional properties of VIX futures based indices versus those of spot VIX. We also demonstrate the impact of the term structure, and quantify how it manifests itself in roll loss.
Diversification Properties
As in the VIX index spot, the S&P 500 VIX Futures Index Series and the S&P 500 tend to move in opposite directions or, in other words, are strongly negatively correlated. As shown in Exhibit 1, while the correlation between the spot VIX and the futures index series is not perfect, it is a healthy 87.23% for the short-term index and 78.68% for the mid-term index. More importantly, the correlations of the short-term index and mid-term index to the S&P 500 are -79.17% and -76.59%, respectively, closely approximating the -74.93% correlation of spot VIX with the S&P 500. Exhibit 2 shows that this inverse relationship holds over time.
October 2010
Exhibit 1: Correlation of Indices with VIX and the S&P 500 (Dec. 2005 Aug. 2010)
S&P 500 S&P 500 VIX Index S&P 500 VIX Short-Term Futures Index S&P 500 VIX Mid-Term Futures Index 100% VIX Index S&P 500 VIX Short-Term S&P 500 VIX Mid-Term Futures Index Futures Index -74.93% -79.17% -76.59% 100% 87.23% 78.68% 100% 63.26% 100%
Exhibit 2: 21 Trading Day Rolling Correlation with the S&P 500 (Dec. 2005 Aug. 2010)
Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100% S&P 500 VIX Short-Term Futures Index vs. S&P 500
SM
VIX Spot Vs. S&P 500
Source: S&P Indices, Bloomberg . Correlations are calculated using daily returns from December 20, 2005 through August 31, 2010. Charts and graphs are provided for illustrative purposes only. S&P Indices are rules based statistical composites and their returns do not include the payment of any sales charges or fees an investor would pay to purchase the securities the indices represent. Such costs would lower performance. Past correlation and performance is not an indication of future results. It is not possible to invest directly in an index. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with back-tested index data and performance information.
October 2010
Exhibit 2 (Continued): 21 Trading Day Rolling Correlation with the S&P 500 (Dec. 2005 Aug. 2010)
Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 0% -10% -20% -30% -40% -50% -60% -70% -80% -90% -100% S&P 500 VIX Mid-Term Futures Index vs. S&P 500 VIX Spot Vs. S&P 500
Source: S&P Indices, Bloomberg. Correlations are calculated using daily returns from December 20, 2005 through August 31, 2010. Charts and graphs are provided for illustrative purposes only. S&P Indices are rules based statistical composites and their returns do not include the payment of any sales charges or fees an investor would pay to purchase the securities the indices represent. Such costs would lower performance. Past correlation and performance is not an indication of future results. It is not possible to invest directly in an index. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with back-tested index data and performance information.
Exhibit 3 below shows that daily falls in the S&P 500 are highly likely to be accompanied by rises in the VIX spot and the two VIX futures indices.
Exhibit 3: Probability of VIX Rises Given Particular S&P 500 Falls (Dec. 2005 Aug. 2010)
S&P 500 Daily Return <0 <-0.5% < -1% <-1.5% VIX 79.70% 92.93% 94.69% 95.49% Probability of Going Up S&P 500 VIX Short Term S&P 500 VIX Mid-Term Futures Index Futures Index 79.14% 77.44% 92.93% 88.75% 94.69% 95.65% 96.24% 97.74%
October 2010
Particularly during periods of market stress, the rise in the two VIX futures indices is substantial, as shown in Exhibit 4. This relationship is even clearer if one looks at the year 2008, one of the worst years for U.S. equity markets in recent history (see Exhibit 5). The negative correlation between the two VIX futures indices and the S&P 500 is most beneficial during market downturns.
Exhibit 4: 20 Biggest Daily S&P 500 Falls from Dec. 2005 to Aug. 2010
Date S&P 500 10/15/2008 -9.46% 12/1/2008 -9.35% 9/29/2008 -9.20% 10/9/2008 -7.92% 11/20/2008 -6.94% 11/19/2008 -6.30% 10/22/2008 -6.27% 10/7/2008 -5.91% 1/20/2009 -5.43% 11/5/2008 -5.35% 11/12/2008 -5.28% 11/6/2008 -5.13% 2/10/2009 -5.03% 9/15/2008 -4.83% 9/17/2008 -4.83% 3/2/2009 -4.77% 2/17/2009 -4.64% 4/20/2009 -4.37% 3/5/2009 -4.34% 11/14/2008 -4.24% VIX 22.80% 21.46% 29.63% 10.53% 8.51% 9.34% 27.11% 3.08% 20.59% 13.37% 7.85% 15.46% 6.71% 21.14% 17.85% 12.74% 12.53% 14.36% 5.34% 10.28% S&P 500 VIX Short- S&P 500 VIX Mid-Term Term Futures Index Futures Index 13.13% 8.06% 12.01% 10.02% 13.11% 7.99% 9.50% 4.92% 5.15% 4.81% 9.34% 6.33% 9.85% 6.41% 9.17% 0.74% 12.06% 5.86% 6.32% 5.73% 7.44% 2.81% 11.12% 4.62% 6.11% 2.10% 5.84% 3.09% 5.57% 3.15% 6.35% 2.08% 4.25% 2.54% 7.44% 3.33% 4.52% 0.98% 7.29% 3.44%
October 2010
Exhibit 5: S&P 500 and S&P 500 VIX Futures Index Series in 2008
350 S&P 500 300 S&P 500 VIX Short-Term Futures Index S&P 500 VIX Mid-Term Futures Index 250
200
150
100
50 Jan-08
Mar-08
May-08
Jul-08
Sep-08
Nov-08
Jan-09
Source: Standard & Poors. Charts and graphs are provided for illustrative purposes only. Indices are statistical composites and their returns do not include payment of any sales charges or fees an investor would pay to purchase the securities the index represents. Such costs would lower performance. It is not possible to invest directly in an index. Past performance is not an indication of future results. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with backtested index data and performance information.
Beta with the Spot VIX

It is important to note that, as illustrated in Exhibit 4, the spot VIX moves more than futures, and hence, more than the two VIX futures indices. Exhibit 6 shows the rolling 21 trading day beta of the two indices with the VIX spot. Overall, the short-term index has a beta of 44% with the VIX spot, and the mid-term index has a much lower beta of 22%. This is because the futures market is usually less sensitive than the spot to equity market movement. Furthermore, this sensitivity declines with longer dated contracts. Exhibit 7 shows that the spot VIX is more volatile than the two VIX futures indices.
October 2010
Exhibit 6: Rolling 21-Trading Day Beta with VIX Spot (Dec. 2005 Aug. 2010)
100% S&P 500 VIX Short-Term Futures Index S&P 500 VIX Mid-Term Futures Index 80%
60%
40%
20%
0% Dec-05
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
October 2010
Exhibit 7: Trailing 60 Trading Day Volatility (Dec. 2005 Aug. 2010)

200% 180% 160% 140% 120% 100% 80% 60% 40% 20% 0% Dec-05 Jun-06 Dec-06 Jun-07 Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 S&P 500 S&P 500 VIX Short-Term Futures Index VIX Spot S&P 500 VIX Mid-Term Futures Index
Source: S&P Indices, Bloomberg. Charts and graphs are provided for illustrative purposes only. Indices are statistical composites and their returns do not include payment of any sales charges or fees an investor would pay to purchase the securities the index represents. Such costs would lower performance. It is not possible to invest directly in an index. Past performance is not an indication of future results. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with backtested index data and performance information.
Term Structure Decay

Intuitively, as volatility is not a return-generating asset, its value should vary in the vicinity of its mean. However, term structure decay results in the index declining for most periods. In other words, the price received for the sale of the shorter term contract is generally less than that paid for the longer term, as expected VIX is generally greater than current VIX. Additionally, the spread between the shorter term futures and the longer term futures is generally bigger on the front month contracts. This feature is not unique to VIX futures commodity markets often experience these conditions, a phenomenon known as contango. To quantify the term structure decay, on a given trading day t, we define
Pt j Pt i RollCost t * w t Pt j
where
Pt i
= = =
Pt j
wt
the close of the i-th month futures that the index sells on day t. i=1 for the S&P 500 VIX Short-Term Futures Index; i=4 for the S&P 500 VIX Mid-Term Futures Index. the close of the j-th month futures that the index buys on day t. j=2 for the S&P 500 VIX Short-Term Futures Index; j=7 for the S&P 500 VIX Mid-Term Futures Index. the percentage of the index that is rolled from the i-th month futures to the j-th month futures on day t. 8
October 2010
In the S&P 500 VIX Short-Term Futures Index, among the 1181 trading days between December 20, 2005 and August 31, 2010, a positive roll cost occurred on 871 days (73.75%). On average, 0.16% of the portfolio value was lost daily by rolling from the first month futures to the second month futures. In the S&P 500 VIX Mid-Term Futures Index, however, a positive roll cost occurred on 666 days (56.39%) in the same period. On average, 0.02% of the portfolio value was lost daily by rolling from the fourth month futures to the seventh month futures.
Exhibit 8: Roll Cost of the S&P 500 VIX Futures Index Series (Dec. 2005 Aug. 2010)
1.5% 1.0% 0.5% 0.0% -0.5% -1.0% -1.5% -2.0% -2.5% Dec-05 S&P 500 VIX Short-Term Futures Index
Dec-06
Dec-07
Dec-08
Dec-09
Dec-10
1.0% S&P 500 VIX Mid-Term Futures Index 0.5%
0.0%
-0.5%
-1.0%
-1.5% Dec-05
Dec-06
Dec-07
Dec-08
Dec-09
Dec-10
October 2010
The impact of the term structure decay is clearly evident in the performance of the S&P 500 VIX Futures Index Series, as seen in Exhibit 9. The S&P 500 VIX Short-Term Futures Index moves downward for the majority of its history, except for the period of extreme stress and volatility in the latter part of 2008.
Exhibit 9: Index Returns (Dec. 2005 Aug. 2010)

800 700 600 500 400 300 200 100 0 Dec-05
S&P 500 VIX Spot S&P 500 VIX Short-Term Futures Index S&P 500 VIX Mid-Term Futures Index
Jun-06
Dec-06
Jun-07
Dec-07
Jun-08
Dec-08
Jun-09
Dec-09
Jun-10
Dec-10
Source: S&P Indices, Bloomberg. Correlations are calculated using daily returns from December 20, 2005 through August 31, 2010. Charts and graphs are provided for illustrative purposes only. S&P indices are rules based statistical composites and their returns do not include the payment of any sales charges or fees an investor would pay to purchase the securities the Indices represent. Such costs would lower performance. Past correlation and performance is not an indication of future results. It is not possible to invest directly in an index. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with back-tested Index data and performance information.
Exhibit 10 shows that in most calendar years, the daily returns of the short-term index are generally negative. The pattern is less pronounced for the mid-term index. Overall, less than 38% of the daily returns of the short-term index are positive.
Exhibit 10: Percentage Number of Positive Return Months from S&P 500 VIX Futures Index Series
2006 2007 2008 2009 Jan 2010 - Aug 2010 Jan 2006 - Aug 2010 S&P 500 VIX Short-Term S&P 500 VIX Mid-Term Futures Index Futures Index 16.67% 33.33% 50.00% 58.33% 58.33% 75.00% 25.00% 50.00% 37.50% 50.00% 37.50% 53.57%
Source: S&P Indices, Bloomberg. Correlations are calculated using daily returns from December 20, 2005 through August 31, 2010. Charts and graphs are provided for illustrative purposes only. S&P Indices are rules based statistical composites and their returns do not include the payment of any sales charges or fees an investor would pay to purchase the securities the Indices represent. Such costs would lower performance. Past correlation and performance is not an indication of future results. It is not possible to invest directly in an Index. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 with a base date of December 20, 2005. All data presented from December 20, 2005 at the market close to January 22, 2009 at the market close reflects hypothetical historical performance based on a number of assumptions. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. Please see the Performance Disclosure at the end of this document for more information on some of the inherent limitations associated with back-tested Index data and performance information.
10
October 2010
A potential use of the term structure decay is to short the S&P 500 VIX Short-Term Futures Index. A short position would basically act as a volatility arbitrage strategy, which generally delivers positive returns but breaks down during periods of stress such as the last quarter of 2008. For investors who use the S&P 500 VIX Futures Index Series as a diversification tool in a broad equity portfolio, however, the term structure decay (especially in the S&P 500 VIX Short-Term Futures Index) is the inevitable cost of a passive hedging strategy. This cost has spurred the development of a second generation of smart indices, which use algorithmic strategies to either roll or package dynamic allocations of equities with volatility.
11
October 2010
S&P Indices Global Research & Design Contact Information

Global Head Srikant Dash +1 212-438-3012 srikant_dash@standardandpoors.com
New York Berlinda Liu Frank Luo Aye Soe Peter Tsui
+1 212-438-7834 +1 212-438-5057 +1 212-438-1677 +1 212-438-1493
berlinda_liu@ standardandpoors.com frank_luo@standardandpoors.com aye_soe@standardandpoors.com peter_tsui@standardandpoors.com
London Gareth Parker
+44 207-176-8443
gareth_parker@standardandpoors.com
Beijing Liyu Zeng
+86 10-6569-2947
liyu_zeng@ standardandpoors.com
Hong Kong Simon Karaban
+852 2532-8050
simon_karaban@standardandpoors.com
Additional Resources
S&P Indices Thought Leadership: www.indexresearch.standardandpoors.com S&P Indices Market Attributes: www.marketattributes.standardandpoors.com
12
October 2010
Performance Disclosure
The S&P 500 VIX Futures Index Series (Index Series) is a composite index. The index series is comprised of the S&P 500 VIX Short-Term Futures Index, measuring the return from a daily rolling long position in the first and second month VIX futures contracts, and the S&P 500 VIX Mid-Term Futures Index, measuring the return from a daily rolling long position in the fourth, fifth, sixth, and seventh month VIX futures contracts. It is not possible to invest directly in an S&P index. Past performance of an index is no indication of future results. The S&P 500 VIX Futures Index Series was launched on January 22, 2009 at the market close with a base date of December 20, 2005. All data from December 20, 2005 at the market close through January 22, 2009 at the market close is back-tested data that was calculated using the methodology that was in effect when the Index Series was launched. Data from January 22, 2009 at the market close through August 31, 2010 is actual performance. The Index Series is calculated daily and rebalanced daily to maintain a constant maturity. Prospective application of the methodology used to construct the Index may not result in performance commensurate with the backtest returns shown. The backtest period does not necessarily correspond to the entire available history of the Index. Please refer to the methodology paper the index, available at www.standardandpoors.com for more details about the Index, including the manner in which it is rebalanced, and the timing of such rebalancing and index calculation. The index is rules based, although the Index Committee reserves the right to exercise discretion, when necessary. The index performance shown has inherent limitations. The index return shown does not represent the results of actual trading of investor assets. Standard & Poors maintains the Index and calculates the Index levels and performance shown or discussed, but does not manage actual assets. Indices are statistical composites and their returns do not reflect payment of any sales charges or fees an investor would pay to purchase the securities they represent. The imposition of these fees and charges would cause actual and backtested performance to be lower than the performance shown. For example, if an index returned 10 percent on a $100,000 investment for a 12-month period (or $10,000) and an annual asset-based fee of 1.5 percent were imposed at the end of the period (or $1,650), the net return would be 8.35 percent (or $8,350) for the year. Over 3 years, an annual 1.5% fee taken at year end with an assumed 10% return per year would result in a cumulative gross return of 33.1%, a total fee of $5,375 and a cumulative net return of 27.2% (or $27,200).
13
October 2010
Disclaimer
This document does not constitute an offer of services in jurisdictions where Standard & Poors or its affiliates do not have the necessary licenses. Standard & Poors receives compensation in connection with licensing its indices to third parties. All information provided by Standard & Poors is impersonal and not tailored to the needs of any person, entity or group of persons. Standard & Poors and its affiliates do not sponsor, endorse, sell, promote or manage any investment fund or other vehicle that is offered by third parties and that seeks to provide an investment return based on the returns of any Standard & Poors index. Standard & Poors is not an investment advisor, and Standard & Poors and its affiliates make no representation regarding the advisability of investing in any such investment fund or other vehicle. A decision to invest in any such investment fund or other vehicle should not be made in reliance on any of the statements set forth in this document. Prospective investors are advised to make an investment in any such fund or other vehicle only after carefully considering the risks associated with investing in such funds, as detailed in an offering memorandum or similar document that is prepared by or on behalf of the issuer of the investment fund or other vehicle. Inclusion of a security within an index is not a recommendation by Standard & Poors to buy, sell, or hold such security, nor is it considered to be investment advice. Exposure to an asset class is available through investable instruments based on an index. It is not possible to invest directly in an index. There is no assurance that investment products based on the index will accurately track index performance or provide positive investment returns. Standard & Poor's is not a tax advisor. A tax advisor should be consulted to evaluate the impact of tax-exempt securities on portfolios and the tax consequences of making any particular investment decision. Standard & Poors does not guarantee the accuracy and/or completeness of any Standard & Poors index, any data included therein, or any data from which it is based, and Standard & Poors shall have no liability for any errors, omissions, or interruptions therein. Standard & Poors makes no warranties, express or implied, as to results to be obtained from use of information provided by Standard & Poors and used in this service, and Standard & Poors expressly disclaims all warranties of suitability with respect thereto. While Standard & Poors has obtained information believed to be reliable, Standard & Poors shall not be liable for any claims or losses of any nature in connection with information contained in this document, including but not limited to, lost profits or punitive or consequential damages, even if it is advised of the possibility of same. These materials have been prepared solely for informational purposes based upon information generally available to the public from sources believed to be reliable. Standard & Poors makes no representation with respect to the accuracy or completeness of these materials, the content of which may change without notice. The methodology involves rebalancings and maintenance of the indices that are made periodically during each year and may not, therefore, reflect real-time information. Analytic services and products provided by Standard & Poors are the result of separate activities designed to preserve the independence and objectivity of each analytic process. Standard & Poors has established policies and procedures to maintain the confidentiality of non-public information received during each analytic process. Standard & Poor's and its affiliates provide a wide range of services to, or relating to, many organizations, including issuers of securities, investment advisers, broker-dealers, investment banks, other financial institutions and financial intermediaries, and accordingly may receive fees or other economic benefits from those organizations, including organizations whose securities or services they may recommend, rate, include in model portfolios, evaluate or otherwise address. Copyright 2010 by Standard & Poors Financial Services LLC. All rights reserved. Redistribution, reproduction and/or photocopying in whole or in part is prohibited without written permission. S&P, S&P 500, and STANDARD & POORS are registered trademarks of Standard & Poors Financial Services LLC. CBOE Volatility Index and VIX are registered trademarks of Chicago Board Options Exchange, Incorporated. The methodology of the CBOE Volatility Index is owned by CBOE and may be covered by one or more patents or pending patent applications.
Research by S&P Indices Global Research & Design provokes discussion on investment matters related to benchmarking in the asset management, derivatives and structured products communities. The series covers all asset classes and is often used to float new indexing concepts or explain substantive changes to well-known S&P indices. Contact us to receive future reports: thoughtleadership@standardandpoors.com
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Directional Exposure To Volatility Via Listed Futures Agosto

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Directional Exposure To Volatility Via Listed Futures Agosto

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S&P INDICES | Research & Design

Access to Volatility via Listed Futures

Srikant Dash, CFA, FRM

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

VIX Spot Vs. S&P 500

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

Beta with the Spot VIX

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

Exhibit 7: Trailing 60 Trading Day Volatility (Dec. 2005 Aug. 2010)

Term Structure Decay

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

1.0% S&P 500 VIX Mid-Term Futures Index 0.5%

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

Exhibit 9: Index Returns (Dec. 2005 Aug. 2010)

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P Indices Global Research & Design Contact Information

+1 212-438-7834 +1 212-438-5057 +1 212-438-1677 +1 212-438-1493

berlinda_liu@ standardandpoors.com frank_luo@standardandpoors.com aye_soe@standardandpoors.com peter_tsui@standardandpoors.com

London Gareth Parker

Beijing Liyu Zeng

Hong Kong Simon Karaban

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

S&P INDICES | Research & Design

Access to Volatility via Listed Futures

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