Exploit Short-term VIX Reversion with VXX?
January 10, 2013 - Volatility Effects
Does the tendency of stock market volatility measures to persist offer an exploitable short-term reversion to mean? In other words, can traders win on average by speculating that market volatility spikes will soon reverse? To check, we first test for short-term reversion of the implied volatility of the S&P 500 Index (VIX) over its available… Keep Reading