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Diversification and portfolio insurance; The strong negative correlation between the S&P/ASX 200 VIX and the S&P/ASX 200 means the addition of S&P/ASX 200 VIX Futures to a portfolio may deliver diversification benefits in a world where negative correlations are becoming harder to find (witness the rising correlation between international equity markets and the rising equity-bond correlation).
[citation needed] On March 26, 2004, trading in futures on the VIX began on CBOE Futures Exchange (CFE). [19] On February 24, 2006, it became possible to trade options on the VIX. [19] Several exchange-traded funds hold mixtures of VIX futures that attempt to enable stock-like trading in those futures. The correlation between these ETFs and the ...
In 2003, the underlying benchmark for the VIX was changed to the S&P 500. [18] The company launched tradeable products using VIX as the underlying index. [18] Cboe developed and launched a futures exchange, and in early 2004 the company began trading VIX futures, after a survey of Goldman Sachs salespeople showed interest in trading VIX futures ...
In finance, correlation trading is a strategy in which the investor gets exposure to the average correlation of an index.. The key to correlation trading is being able to predict when future realized correlation amongst the stocks of a particular index will be greater or less than the "implied" correlation level derived from derivatives on the index and its single stocks.
FTSE China A50 Index (was known as FTSE–Xinhua China A50 Index) is a stock market index by FTSE Group (FTSE–Xinhua joint venture until 2010), the components were chosen from Shanghai Stock Exchange and Shenzhen Stock Exchange, which issue A-share; B-share (share for foreigners) were not included.
(Reuters) -U.S. stock index futures edged lower on Friday, taking a breather after a sharp rally powered by a sweeping Trump win and an expected interest-rate cut took the S&P 500 futures above ...
On September 30, 2010, after almost five months of investigations led by Gregg E. Berman, [41] [42] the U.S. Securities and Exchange Commission (SEC) and the Commodity Futures Trading Commission (CFTC) issued a joint report titled "Findings Regarding the Market Events of May 6, 2010" identifying the sequence of events leading to the flash crash.
Volatility is measured as the standard deviation of S&P500 one-day returns over a month's period. The blue lines indicate linear regressions, resulting in the correlation coefficients r shown. Note that VIX has virtually the same predictive power as past volatility, insofar as the shown correlation coefficients are nearly identical.