Index Investing: From Theory to Practice · Dr MAI Huu Minh, TRAN Phan Bao Ngoc & HUYNH Nguyen Quoc BuuChapter 31 of 37 · Module 7: Latest index trends and innovations
CHAPTER 31
Derivatives-Based Indexes
Volatility indexes, option-strategy indexes and futures-based indexes
Opening question
“VN30 futures, S&P 500 options, the VIX, a 'covered-call index' — they all sound like derivatives to me. Are they the same thing, and which of them can I actually measure, track or buy?”
In this chapter
- The difference between index derivatives (Chapter 19) and derivatives-based indexes
- Four families: implied-volatility, option-strategy, futures-based and risk-control indexes
- How the VIX turns option prices into one number, and how to read it
- How a rolling futures index is calculated, and why VIX futures indexes decay
- Buy-write, put-write, collar and buffer indexes, with a worked covered-call month
- Volatility-target indexes and why insurers use them
- The option-income boom, and what Vietnam can build with VN30 futures today
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This chapter is in the full book
Chapter 1 is free to read online. The full text of chapter 31 — with its tables, figures, worked examples and practice lab — is available in the complete edition of Index Investing: From Theory to Practice (Volume 1, NXW Investment Library).
Read Chapter 1 freeGet the full book — contact@nxw.vnSections of this chapter
31.1 Index derivatives versus derivatives-based indexes
31.2 A taxonomy of derivatives-based indexes
31.3 Implied-volatility indexes: the VIX and its cousins
31.4 Futures-based indexes
31.5 Option-strategy indexes I: buy-write and covered call
31.6 Option-strategy indexes II: put-write, collars and buffers
31.7 Risk-control and volatility-target indexes
31.8 The product boom and the evidence
31.9 Asia and Vietnam
31.10 A checklist for evaluating a derivatives-based index