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Instrumenty finansowe i strategie inwestycyjne oparte na zmiennosci – autorskie strategie i produkty finansowe neutralne rynkowo (Financial instruments and investment strategies based on volatility – proprietary strategies and market-neutral financial products)

Author

Listed:
  • Iwona Sroka

    (Wydzial Zarzadzania, Uniwersytet Warszawski)

  • Kamil Seliga

    (Wydzial Zarzadzania, Uniwersytet Warszawski)

Abstract

The paper presents a comprehensive introduction to volatility trading, from explaining the definition of volatility, through simple strategies for getting exposure to volatility, to advanced ETN products constructed from derivatives on the VIX index. The theoretical part discusses the idea of volatility trading derived from the assumptions of the Black-Scholes option valuation model. The remainder of this paper presents derivatives that provide exposure to volatility along with the opportunities and pitfalls faced by investors in this market. The practical part presents the proprietary approach to creating investment strategies based on the anomalies of implied volatility of the S & P500 and model portfolios built of products from the Studia Volatility ETP segment and the ETF for the S & P500 index, dedicated to cautious investors, which can be an alternative to mixed equity and bond portfolios.

Suggested Citation

  • Iwona Sroka & Kamil Seliga, 2021. "Instrumenty finansowe i strategie inwestycyjne oparte na zmiennosci – autorskie strategie i produkty finansowe neutralne rynkowo (Financial instruments and investment strategies based on volatility – ," Research Reports, University of Warsaw, Faculty of Management, vol. 1(34), pages 175-179.
    • Handle: RePEc:sgm:resrep:v:1:i:34:y:2021:p:175-179
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    File URL: https://www.sim.wz.uw.edu.pl/sites/default/files/artykuly/iwona_sroka_kamil_seliga.pdf
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    More about this item

    Keywords

    volatility; volatility exposure; derivatives; investment strategies; option pricing; investment portfolio;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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