22Dec/18

Reasonability and Sensibility

Reasonability and Sensibility

December 20, 2018. Following the Fed rate hike, stock indices dropped to new lows to confirm the entry of a bear market. This should not be a surprise to a significant portion of stock traders. Back to October this year, many people already had a pretty firm belief (still not 100% sure, as there is never ever a 100% certainty in this world) that the Bear was approaching to kill. And for some of them, the whipsaw patterns within last two months have been nothing but a further confirmation that the market was on its way to fall, and to fall heavily. However, not many of these believers took home a good profit even though their prediction turned out to be correct. Why? This question got me to examine two concepts: reasonability and sensibility.

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05Mar/17

VIX指数衍生品交易 基础篇 S&P 500 VIX期货指数

VXX、XIV、UVXY、SVXY等众多的VIX指数ETP产品,是市场上风险结构最为复杂的金融工具产品(注意我们强调金融工具产品,而不是金融产品)。

我们在前面多篇文章逐步介绍了与搭建这些ETP产品有关的基础产品的相关知识,也初步演示了部分量化分析方法和代码样本。其中的细节是读者需要深入理解并熟练掌握的。

在正式引入ETP之前,还有一个重要概念需要解释-这就是几乎所有VIX指数ETP产品所跟踪的S&P 500 VIX期货系列指数(S&P 500 VIX Futures Index Series)。有关详细内容,请读者参考S&P Dow Jones Indices官方网站查阅。

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