Detalhes do Documento

Performance of VIX straddle and strangle strategies in portfolio management

Autor(es): Serafim, André Luís Ferreira

Data: 2018

Identificador Persistente:

Origem: Repositório Institucional da UNL

Assunto(s): Volatility; VIX; Portfolio Selection; Diversification; Options; Straddle; Strangle; VIX options


Volatility products have seen a growth in trading volume, partly due to the interesting characteristics these products demonstrate in relation to the market. The Chicago Board Options Exchange’s S&P 500 Volatility Index (VIX) is seen as a fear gauge and as such is normally used to hedge against big drops in market value as a form of insurance for a portfolio. This thesis extends the original Dash and Moran framework and tests new ways to use the exchange traded product associated with VIX. I study whether VIX option strategies, in specific Straddle and Strangle, can improve the risk adjusted performance of a portfolio of stocks, bonds, and commodities. The study takes place between the periods of 2006 and 2013 and relies on simulations of different portfolio combinations including the main instrument (equity, bond or commodity) and a percentage invested in the VIX strategy. We find that, in general, straddle strategies are not recommended since we obtain a lower volatility and Value-at-Risk with the impact of much lower returns making it an unattractive investment for any investor. On the other hand, the strangle strategy shows improvements in the overall performance of the equity and commodities portfolios mainly in the periods during which securities prices fall and with a low allocation to the strategy (lower than 2%) and highly Out-of-the-Money.

Tipo de Documento Dissertação de mestrado
Idioma Inglês
Orientador(es) Bravo, Jorge Miguel Ventura
Contribuidor(es) Serafim, André Luís Ferreira
facebook logo  linkedin logo  twitter logo 
mendeley logo

Documentos Relacionados

Não existem documentos relacionados.