HedgeFund面试问题, how to trade VIX ? - 未名空间MITBBS历史存档

HedgeFund面试问题, how to trade VIX ?# Stock

e*y2010-10-22 07:10

1 楼

Hi, All:
最近到一个著名HedgeFund面试了一下.
HedgeFund的面试问题， “如果你能预测^VIX明天的走向( with 60% of correct
ratio), how can you come out a trading strategy to profit from it ? "
I do not how to trade ^VIX, can anyone provide some suggestions ?
Thanks !

a*t2010-10-22 07:10

2 楼

Trade一件事的strategies很多，没有一个绝对正确的答案。
比如说你预测A会涨，你可以（1）Long A，（2）Long A futures，（3）Long A Calls
, (4) Short A puts,(5)long B (B and A are highly correlated),(6)以上任何组合
，（7）以上任何组合加hedge。如果预测会跌，也是一样。
我想如果你没有做过VIX，面试人没有道理问你VIX的机理什么的，关键是看你是否对这
种产品有粗浅的理解以及分析问题的方法。
VIX是和S&P相关的。Trade VIX可以和S&P相结合。同时VIX有futures和options,也可以
结合，互为hedge.
这是较稳妥平庸的回答面试的方式。当然你如果对VIX机理很了解就更加出彩儿了。

r*k2010-10-22 07:10

3 楼

Usually VIX is in opposite direction of s&p. If you predict VIX will go up,
then just simply short s&p.

T*U2010-10-22 07:10

4 楼

60%看到了吗？

m*02010-10-22 07:10

5 楼

it won't work neither,
check the statistics, you will see how tricky this question is.
60*88% close to 50%
still B&H or S&H SPY is no better than coin toss.

,

【在 r***k 的大作中提到】

: Usually VIX is in opposite direction of s&p. If you predict VIX will go up,
: then just simply short s&p.

e*y2010-10-22 07:10

6 楼

sell your prediction to other investors

m*02010-10-22 07:10

7 楼

it's HF, not FA.

【在 e**y 的大作中提到】

: sell your prediction to other investors

B*S2010-10-22 07:10

8 楼

Where does the 88% come from?

【在 m********0 的大作中提到】

: it won't work neither,
: check the statistics, you will see how tricky this question is.
: 60*88% close to 50%
: still B&H or S&H SPY is no better than coin toss.
:
: ,

w*s2010-10-22 07:10

9 楼

considered slippage?
其实如果60%，比较粗俗的做法就是算仓位做方向加止损止赢不就成了么？
没念过什么书，不知道这样做有啥不好的。

【在 B*S 的大作中提到】

: Where does the 88% come from?

l*t2010-10-22 07:10

10 楼

同时卖call 卖put. vix一降，二者都降。

r*k2010-10-22 07:10

11 楼

如果股票大涨或大跌，估计连内裤都要赔掉。

【在 l********t 的大作中提到】

: 同时卖call 卖put. vix一降，二者都降。

g*u2010-10-22 07:10

12 楼

You are asked to build a trading strategy with 60% correct ratio. This means
whatever method you give, it will be excuted a large number of times in
market in order to make sure profit with statistic significancy.
^VIX is an index so not tradable directly. There are derivatives using ^VIX
as the underlying, e.g. VIX futures and options. That would be the first
products you should look at. However, due to their lack of liquidity,
neither is suitable for a trading strategy to bet through a large number
of trades.
Since ^VIX is the flatten implied volatility (which means smile curve is
taken into account but represented by a single volatility index) of
SP500 index options, the next product you'll look at is SPX options, which
have very good liquidity for ATM near month contracts.
Without loss of generality, let's assume we think ^VIX will go up tomorrow.
The basic idea is to build a delta-neutral position with high sensitivity
to implied volatilities.
The first strategy comes out from your head will be a straddle, i.e., long
both front month ATM put and calls, and hedge any delta with SP500 futures.
This strategy doesn't have any liquidity concern, but there are two isses:
1. Since gamma is high on a straddle, it has to be actively monitored and
hedging position might have to be adjusted frequently. 2. Since theta is
high, the time decay may turn your gain from volatility into loss.
An easy solution would be, instead of using front month contracts, choosing
contracts with longer maturities. Both gamma and theta for the straddle in
that case will be significantly smaller, however the liquidity may not be
as good. There is a trade-off. The good news is for SP500, ATM contracts
3 or 4 months in the future are still have quite okay liquidity, thus
should work well.
If you get here, you get about 7 points out of 10.
To go further, there are other more complicated option combinations, e.g.
strangle, iron butterfly, or condor, etc. But they need more extensive
discussion on the choices between call and put, among many strike prices,
weight on each leg, how far to go in the calendar, and where to search for
liquidity. The basic idea is same: delta-neutral, high vega, keep gamma and
theta as low as possible. Depending on how much time you are given, these
may or may not really be the solutions the interviewer really expects from
you.

【在 e***y 的大作中提到】

: Hi, All:
: 最近到一个著名HedgeFund面试了一下.
: HedgeFund的面试问题， “如果你能预测^VIX明天的走向( with 60% of correct
: ratio), how can you come out a trading strategy to profit from it ? "
: I do not how to trade ^VIX, can anyone provide some suggestions ?
: Thanks !

a*b2010-10-22 07:10

13 楼

wow....

means
VIX

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

c*y2010-10-22 07:10

14 楼

nice post.

means
VIX

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

O*R2010-10-22 07:10

15 楼

膜拜！

means
VIX

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

c*y2010-10-22 07:10

16 楼

Can you use short straddle to eliminate time decay?

means
VIX

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

e*y2010-10-22 07:10

17 楼

谢谢，专家 !
认真学习，收藏了 !

means
VIX

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

e*y2010-10-22 07:10

18 楼

Thanks a lot !

Calls

【在 a********t 的大作中提到】

: Trade一件事的strategies很多，没有一个绝对正确的答案。
: 比如说你预测A会涨，你可以（1）Long A，（2）Long A futures，（3）Long A Calls
: , (4) Short A puts,(5)long B (B and A are highly correlated),(6)以上任何组合
: ，（7）以上任何组合加hedge。如果预测会跌，也是一样。
: 我想如果你没有做过VIX，面试人没有道理问你VIX的机理什么的，关键是看你是否对这
: 种产品有粗浅的理解以及分析问题的方法。
: VIX是和S&P相关的。Trade VIX可以和S&P相结合。同时VIX有futures和options,也可以
: 结合，互为hedge.
: 这是较稳妥平庸的回答面试的方式。当然你如果对VIX机理很了解就更加出彩儿了。

n*c2010-10-22 07:10

19 楼

Please revisit how Nick Leeson put Barings Bank down, :)

【在 c***y 的大作中提到】

: Can you use short straddle to eliminate time decay?
:
: means
: VIX

g*u2010-10-22 07:10

20 楼

Of course you can, that will make the whole combination into a butterfly.

【在 c***y 的大作中提到】

: Can you use short straddle to eliminate time decay?
:
: means
: VIX

m*02010-10-22 07:10

21 楼

我觉得这不是面试者的本意，否则就太简单了。这些每个熟悉基本option combo的人都
知道。
原题目应该是如果你有60%的概率预测明天VIX的方向，能不能设计一个statistical
arbitrage
的strategy。
这里条件有几个，一是明天，C-C的变化，而是magnitude不知道。
你说的那些要赢利都得算一大堆greek letters，和VIX的变化幅度满足一定关系才行。
或者你能证明，60%的概率，仅方向没有大小是不可能有statistical arbitrage也行。
一般问这种问题，不仅仅是期望你知道VIX的定义，几种衍生物，以及和SPX衍生物的
liquidity的取舍。

means
in
^VIX
first
number
is

【在 g****u 的大作中提到】

: You are asked to build a trading strategy with 60% correct ratio. This means
: whatever method you give, it will be excuted a large number of times in
: market in order to make sure profit with statistic significancy.
: ^VIX is an index so not tradable directly. There are derivatives using ^VIX
: as the underlying, e.g. VIX futures and options. That would be the first
: products you should look at. However, due to their lack of liquidity,
: neither is suitable for a trading strategy to bet through a large number
: of trades.
: Since ^VIX is the flatten implied volatility (which means smile curve is
: taken into account but represented by a single volatility index) of

c*y2010-10-22 07:10

22 楼

understood. Thanks.

【在 g****u 的大作中提到】

: Of course you can, that will make the whole combination into a butterfly.

s*s2010-10-22 07:10

23 楼

My strategy would be: long out-of-money SPX calls and puts to construct a
strangle, which is delta nuetual within a certain index movement window(say,
10%),the 60% can be used to estimate the strikes for calls and puts. Also,
hedge this position with futures, which has no vega.

【在 e***y 的大作中提到】

: Hi, All:
: 最近到一个著名HedgeFund面试了一下.
: HedgeFund的面试问题， “如果你能预测^VIX明天的走向( with 60% of correct
: ratio), how can you come out a trading strategy to profit from it ? "
: I do not how to trade ^VIX, can anyone provide some suggestions ?
: Thanks !

w*s2010-10-22 07:10

24 楼

太难了，觉得自己很蝌蚪

【在 m********0 的大作中提到】

: 我觉得这不是面试者的本意，否则就太简单了。这些每个熟悉基本option combo的人都
: 知道。
: 原题目应该是如果你有60%的概率预测明天VIX的方向，能不能设计一个statistical
: arbitrage
: 的strategy。
: 这里条件有几个，一是明天，C-C的变化，而是magnitude不知道。
: 你说的那些要赢利都得算一大堆greek letters，和VIX的变化幅度满足一定关系才行。
: 或者你能证明，60%的概率，仅方向没有大小是不可能有statistical arbitrage也行。
: 一般问这种问题，不仅仅是期望你知道VIX的定义，几种衍生物，以及和SPX衍生物的
: liquidity的取舍。

e*y2010-10-22 07:10

25 楼

Thanks,

say,

【在 s*****s 的大作中提到】

: My strategy would be: long out-of-money SPX calls and puts to construct a
: strangle, which is delta nuetual within a certain index movement window(say,
: 10%),the 60% can be used to estimate the strikes for calls and puts. Also,
: hedge this position with futures, which has no vega.

m*02010-10-22 07:10

26 楼

quant版上有人回了hedge with volatility swap，这个比较靠谱

【在 e***y 的大作中提到】

: Thanks,
:
: say,