Author: Harbourfront Technologies

Does the Fed Put Really Exist?

The Fed, or Greenspan, put is a monetary policy tool used by the Federal Reserve to help stabilize the economy. The name comes from former Federal Reserve Chairman Alan Greenspan, who is credited with using the tool to help stave off a recession in the early 2000s. The Fed put …

Identifying Correlation Risks of Large Portfolios

Correlation is a statistical measure of the relationship between two variables. In trading, correlation is used to identify relationships between different securities. For example, a trader might want to know if two stocks move in the same direction. If they do, they are said to be positively correlated. If they …

Trading Volatility ETFs Using the VIX Term Structure

The volatility term structure is the relationship between implied volatility and time to expiration. The term structure is important because it provides information about the market’s expectations for future volatility. For example, if the term structure is downward sloping, it means that the market is expecting implied volatility to decrease …

Does Pairs Trading Deliver Alpha?

Pairs trading is a market-neutral trading strategy that involves buying and selling two stocks simultaneously. The idea behind pairs trading is to find two stocks that are in co-movement and to take advantage of the differential in their price movement. In order for pairs trading to be successful, you need …

A VIX Futures Trading System

VIX futures are a type of derivative that allow investors to bet on the future direction of the CBOE Volatility Index (VIX). The VIX is a measure of market uncertainty and is often referred to as the “fear index.” VIX futures allow investors to hedge against or speculate on future …