VIX Term StructureVIX contango short VXX
Persistent contango = sell volatility via short VXX or long XIV/SVXY
Source: quantpedia.com
VIX Term StructureVIX backwardation long vol
Backwardation = stress regime; long vol or hedge
Source: quantpedia.com
VIX Term StructureVIX/VXV ratio strategy
VIX:VXV >1.0 = backwardation/stress; <0.95 = calm
Source: quantpedia.com
VIX Term StructureVIX-VXV crossover signal
Use VIX/VXV cross as regime signal
Source: quantpedia.com
VIX Term StructureVIX futures roll yield
Front-month VIX futures decay creates persistent short-vol return
Source: libertystreeteconomics
VIX Term StructureVIX futures pack rotation
Roll up futures stack in calm; reduce in stress
Source: quantpedia.com
VIX Term StructureVIX futures spread (M1-M2)
Trade calendar spread of front two VIX futures
Source: quantpedia.com
VIX Term StructureSLOPE single-factor strategy
Johnson's 2017 SLOPE factor predicts variance/VIX/straddle returns
Source: travislakejohnson.com
VIX Term StructureVIX futures excess returns
Average front-month roll loses ~30%/year long; short captures premium
Source: libertystreeteconomics
VIX ETN/ETFShort VXX with risk caps
Persistent decay of long-vol ETN; size carefully (Volmageddon lesson)
Source: quantpedia.com
VIX ETN/ETFLong VIXY tail-hedge
Buy long-vol ETN as portfolio tail hedge
Source: libertystreeteconomics
VIX ETN/ETFSVXY (-0.5x) inverse
Reduced -1x exposure post-Feb 2018; lower blow-up risk
Source: quantpedia.com
VIX ETN/ETFVXZ medium-term hedge
Mid-term VIX exposure with smaller decay than VXX
Source: libertystreeteconomics
VIX ETN/ETFUVXY 2x leveraged caution
2x leveraged short-term VIX; high decay; tactical only
Source: quantpedia.com
Variance SwapLong variance swap hedge
Pay floating realized variance receive fixed; protects against vol spike
Source: libertystreeteconomics
Variance SwapShort variance swap premium
Receive fixed pay floating; harvest variance risk premium
Source: libertystreeteconomics
Variance SwapVariance swap calendar
Trade short-dated vs long-dated variance
Source: libertystreeteconomics
Variance SwapVariance swap minus realized
Forward variance vs realized for relative value
Source: libertystreeteconomics
VRP HarvestingIron condor short premium
Sell ATM iron condor 30-45 DTE; harvest VRP
Source: quantpedia.com
VRP HarvestingStrangle short SPX/SPY
Sell delta-neutral strangle; manage at 21 DTE
Source: quantpedia.com
VRP HarvestingDaily 0DTE iron condor
Sell 0-DTE iron condor 30-50 SD; harvest theta
Source: quantpedia.com
VRP HarvestingCash-secured puts ATM
Sell cash-secured puts at ATM; collect premium
Source: quantpedia.com
VRP HarvestingCovered call OTM
Sell OTM covered call against long stock
Source: quantpedia.com
VRP HarvestingVRP carry strategy
Capture difference between implied and realized vol
Source: libertystreeteconomics
VRP HarvestingSPY/SPX ATM straddle short
Short ATM straddle 30 DTE; manage when 50% credit
Source: quantpedia.com
VRP HarvestingDefined-risk credit spreads
Sell credit spreads with defined risk for VRP
Source: quantpedia.com
Vol SurfaceSkew steepening trade
Long ATM short OTM puts when skew flat
Source: quantpedia.com
Vol SurfaceSkew flattening trade
Long OTM puts short ATM when skew steep
Source: quantpedia.com
Vol SurfaceTerm structure relative value
Long short vol across maturities
Source: quantpedia.com
Vol SurfaceImplied skew vs realized skew
Trade differential between implied and realized skew
Source: quantpedia.com
Vol SurfaceSkew arb across indices
SPX skew vs NDX skew relative trade
Source: quantpedia.com
Vol SurfaceVega-neutral skew trade
Skew long-short with vega offset
Source: quantpedia.com
Vol-of-VolVVIX > 130 long equity
VVIX extreme = panic in vol-of-vol; long SPX reversion
Source: quantpedia.com
Vol-of-VolVVIX trend regime
Use VVIX trend as regime indicator
Source: quantpedia.com
Vol-of-VolVVIX vs VIX correlation
Trade dislocations in VVIX vs VIX historical relationship
Source: quantpedia.com
DispersionDispersion long single short index
Long single-stock vol short index vol; correlation play
Source: sciencedirect.com
DispersionVariance dispersion (Markowitz)
Markowitz-implied index vol vs market index vol
Source: sciencedirect.com
DispersionCorrelation trade index
Sell index implied correlation vs realized
Source: sciencedirect.com
DispersionSector dispersion vs index
Trade sector vol vs broader market vol
Source: sciencedirect.com
DispersionSingle stock straddle vs index
Long single-stock straddles short index straddle
Source: sciencedirect.com
Earnings VolEarnings IV crush sell
Sell strangle pre-earnings; vol crush post-announcement
Source: quantpedia.com
Earnings VolEarnings calendar spread
Long short-dated short long-dated to capture event vol
Source: quantpedia.com
Earnings VolEarnings IV percentile screen
Filter for earnings names with IV percentile >70%
Source: quantpedia.com
Earnings VolPre-earnings vol expansion
Long vol leading into earnings; close pre-announcement
Source: quantpedia.com
Vol Mean RevVIX 5-day mean reversion
VIX strong mean-reverting on 5-10 day horizons
Source: libertystreeteconomics
Vol Mean RevRange-bound VIX trades
Trade VIX in 12-25 range with options
Source: quantpedia.com
Vol Mean RevVIX percentile rank
Use VIX percentile rank for entry/exit signals
Source: quantpedia.com
Vol TargetingVol-targeted equity exposure
Reduce equity exposure when realized vol > target
Source: libertystreeteconomics
Vol TargetingRealized vs implied targeting
Target portfolio realized vol via dynamic exposure
Source: libertystreeteconomics
Vol TargetingEWMA-based vol targeting
EWMA vol estimate for adjusting exposure
Source: libertystreeteconomics
Vol TargetingGARCH vol targeting
GARCH(1 1) vol forecast for sizing
Source: arxiv.org
Vol TargetingConstant vol portfolio
Maintain constant 10% portfolio vol annualized
Source: libertystreeteconomics
Vol HedgingTail-risk put portfolio
Buy 5-10% OTM puts as systematic tail hedge
Source: libertystreeteconomics
Vol HedgingCornish-Fisher tail hedge
Use Cornish-Fisher VaR for tail-risk position sizing
Source: arxiv.org
Vol HedgingLong VIX call hedge
Buy VIX calls as portfolio hedge during calm
Source: libertystreeteconomics
Vol HedgingPut-spread collar protection
Long put short further OTM put for cheaper protection
Source: quantpedia.com
Vol HedgingRisk reversal as cheap hedge
Long put short call to fund downside protection
Source: quantpedia.com
Vol HedgingConstant Proportion Portfolio Insurance
CPPI to lock in floor while participating in upside
Source: quantpedia.com
Vol HedgingUniversa Investments tail-hedging
Spitznagel's systematic tail-hedge approach
Source: Universa
Vol HedgingVolatility-controlled allocation
Reduce risky-asset weight as vol regime rises
Source: libertystreeteconomics
Volatility CarryVolatility carry index
Long short-dated vol short long-dated; carry trade in vol
Source: libertystreeteconomics
Volatility CarryCross-asset vol carry
FX vol vs equity vol carry
Source: libertystreeteconomics
Volatility CarryCurrency vol carry
Long carry currencies' implied vol short low-yielders
Source: libertystreeteconomics
Volatility ArbVega-neutral vol arb
Long-short across vol metrics with vega neutralization
Source: quantpedia.com
Volatility ArbImplied-realized vol arb
Trade IV vs forward realized; harvest premium
Source: libertystreeteconomics
Volatility ArbSkew arbitrage
Trade skew dislocations across maturities or assets
Source: quantpedia.com
Volatility ArbTerm structure arbitrage
Trade vol term structure mispricings
Source: quantpedia.com
Volatility ArbCalendar spread vol arb
Long short across calendar months for vol convergence
Source: quantpedia.com
FX VolFX implied vs realized
Trade FX vol risk premium across major pairs
Source: libertystreeteconomics
FX VolEUR/USD straddle short
Short FX straddle to harvest VRP in major pairs
Source: libertystreeteconomics
FX VolFX risk reversal skew trade
Trade 25-delta risk reversal across G10 pairs
Source: libertystreeteconomics
FX VolCross-pair vol relative value
EURUSD vol vs USDJPY vol relative trades
Source: libertystreeteconomics
Bond VolMOVE index trading
Trade rates volatility via MOVE index
Source: libertystreeteconomics
Bond VolTreasury options strangle short
Short Treasury options strangles for VRP
Source: libertystreeteconomics
Bond VolSwaption skew
Trade swaption skew dislocations
Source: libertystreeteconomics
Commodity VolCrude oil vol harvest
Short crude WTI options strangles
Source: quantpedia.com
Commodity VolGold vol regime trades
Trade gold vol around macro events
Source: quantpedia.com
Commodity VolNatgas storage report vol
Trade NG vol around weekly storage report
Source: quantpedia.com
Crypto VolDVOL Bitcoin volatility index
Deribit BTC volatility index for vol trades
Source: quantpedia.com
Crypto VolBTC variance swap
OTC variance swap on BTC
Source: quantpedia.com
Crypto VolETH crash hedge puts
Buy ETH puts as portfolio crash hedge
Source: quantpedia.com
Crypto VolCrypto IV harvesting
Crypto VRP higher than equities; harvest with caution
Source: quantpedia.com
Greeks TradingVega trade pure
Pure vega via ATM straddles for vol exposure
Source: quantpedia.com
Greeks TradingVega-gamma scalping
Long gamma daily delta-hedging for realized vol capture
Source: quantpedia.com
Greeks TradingCharm decay trade
Trade charm decay over weekend for theta accel
Source: quantpedia.com
Greeks TradingVanna squeeze trade
Trade vanna-driven flows around expiration
Source: quantpedia.com
Greeks TradingVolga risk hedging
Hedge vol-of-vol risk via volga management
Source: quantpedia.com
Greeks TradingPin risk on expiry
Manage pin risk near expiration; close before pin
Source: quantpedia.com
Greeks TradingGamma flip dealer hedging
Track dealer gamma exposure for momentum/mean-rev regimes
Source: quantpedia.com
Vol IndicatorsGVZ (gold VIX)
Gold volatility index for gold options trades
Source: libertystreeteconomics
Vol IndicatorsOVX (oil VIX)
Oil volatility index for energy trades
Source: libertystreeteconomics
Vol IndicatorsEVZ (Euro VIX)
EUR/USD volatility index
Source: libertystreeteconomics
Vol IndicatorsRVX (Russell VIX)
Russell 2000 small-cap vol index
Source: libertystreeteconomics
Vol IndicatorsVXEEM (EM VIX)
Emerging markets ETF vol index
Source: libertystreeteconomics
Vol IndicatorsVXEFA (Developed Intl VIX)
Developed international vol index
Source: libertystreeteconomics
Vol IndicatorsSKEW index
CBOE SKEW measures tail risk pricing in OTM puts
Source: quantpedia.com
Vol IndicatorsPut-call IV ratio
Compare put IV vs call IV for skew
Source: quantpedia.com
Vol IndicatorsRealized correlation index
CBOE realized correlation index for dispersion trades
Source: sciencedirect.com
Vol IndicatorsImplied correlation IRC
CBOE implied correlation for dispersion strategies
Source: sciencedirect.com
Vol IndicatorsVRP percentile signal
Use VRP percentile for short-vol size adjustment
Source: libertystreeteconomics
30-60 DTE for gamma/theta balance
Gamma ScalpingDelta-neutral
Mid-DTE balances gamma exposure vs theta cost
Source: Pro Trader
Assignment risk short options
RisksMulti
Early assignment risk on ITM short calls/puts
Source: encyclopedia
Auto-hedge algos
Gamma ScalpingDelta-neutral
Algorithmic delta-hedging desk software (Bloomberg DLIB)
Source: encyclopedia
Banknifty vs Nifty vol
Index VolMulti
BANKNIFTY higher vol than NIFTY - relative vol trade
Source: Yashpal context
Bear-vol via call backspread
Bear VolShort
Sell ATM call buy 2 OTM calls
Source: encyclopedia
Bear-vol via long puts
Bear VolShort
Long puts to play vol on down moves
Source: encyclopedia
Bull-vol via long calls
Bull VolLong
Long calls only - capture vol on up moves
Source: encyclopedia
Bull-vol via long put backspread
Bull VolLong
Sell ATM put buy 2 OTM puts
Source: encyclopedia
Calendar spread term-structure
Term StructureMulti
Long back-month short front-month or reverse
Source: encyclopedia
Calendar spread vega trade
Vega TradingLong vega
Long back-month short front-month for vega
Source: encyclopedia
Cap-floor spread
Rate VolMulti
Caps + floors for rate-range trade
Source: encyclopedia
Commodity vol trades
Commod VolMulti
Trade commod vol via options on futures
Source: encyclopedia
Convex equity hedge OTM
HedgingLong vol
Far-OTM puts cheap convex hedge
Source: encyclopedia
Correlation swap
DispersionMulti
Trade implied correlation directly
Source: encyclopedia
Crisis-correlation hedge
DispersionMulti
Long correlation hedges crisis when corr spikes
Source: encyclopedia
Cross-asset crisis hedge
HedgingLong vol
Long vol across SPX HYG TLT for crisis hedge
Source: encyclopedia
Cross-asset gamma diversified
Gamma ScalpingDelta-neutral
Gamma positions across multiple underlyings
Source: encyclopedia
Cross-asset vol arb
Vol ArbMulti
SPX vs RTY vol RV trade
Source: encyclopedia
Crude oil vol OVX
Commod VolLong vol
Long crude vol via options
Source: CBOE
Delta-threshold rebalance +/-15
Gamma ScalpingDelta-neutral
Rebalance when delta drifts past threshold
Source: Volatility Box
Diagonal vega trade
Vega TradingMulti
Diagonal calendars for vega + directional bias
Source: encyclopedia
EM vs DM vol
Index VolMulti
EM equity vol vs DM equity vol
Source: encyclopedia
EU Stoxx vs SPX vol
Index VolMulti
V2X vs VIX cross-region vol
Source: encyclopedia
Earnings IV crush short
Earnings VolShort vol
Sell straddle pre-earnings collect IV crush
Source: encyclopedia
Earnings IV term-structure trade
Earnings VolMulti
Front-month vs back-month IV around earnings
Source: encyclopedia
Earnings calendar long-vol
Earnings VolLong vol
Buy short-dated straddle pre-earnings
Source: encyclopedia
Earnings season dispersion
DispersionLong vol
Higher dispersion in earnings season
Source: encyclopedia
Earnings vol-of-vol
Earnings VolMulti
Sub-VVIX style on single names
Source: encyclopedia
Equity put-skew long-only
Skew TradingLong
Long OTM puts in negative-skew equities
Source: encyclopedia
FX 1y vs 1m vol
FX VolMulti
FX vol term structure trades
Source: encyclopedia
FX butterfly trade
FX VolMulti
Trade ATM vs wing vol via FX butterflies
Source: encyclopedia
FX risk reversal trade
FX VolMulti
Trade FX skew via risk reversal
Source: encyclopedia
FX risk reversal vs spot
Skew TradingMulti
FX risk reversals reflect skew direction
Source: encyclopedia
Fixed-time delta-hedge
Gamma ScalpingDelta-neutral
Hedge every hour/day regardless of move
Source: Volatility Box
Forward-vol calendar
Term StructureMulti
Forward-starting vol via calendar spreads
Source: encyclopedia
Gamma risk near expiry
RisksMulti
Gamma explodes near expiry on ATM options
Source: encyclopedia
Gold vol GVZ
Commod VolMulti
Gold vol index trades
Source: CBOE
Greek-aware position sizing
DisciplineMulti
Size by vega risk not just notional
Source: encyclopedia
Heston model calibration
Vol SurfaceMulti
Heston SV model used widely
Source: Heston 1993
Hybrid time + threshold
Gamma ScalpingDelta-neutral
Time baseline + threshold override
Source: Volatility Box
IV crush surprise
RisksMulti
IV crush after expected event
Source: encyclopedia
Implicit-correlation trade
DispersionMulti
Trade equity correlation regime change
Source: encyclopedia
Implied vs realized correlation
Vol ArbMulti
Sell implied corr buy realized corr basket
Source: encyclopedia
Index vs single-stock dispersion
DispersionLong vol
Sell index vol buy single-stock vol on basket
Source: encyclopedia
Liquidity risk wide spreads
RisksMulti
Wide spreads on illiquid options
Source: encyclopedia
Local volatility Dupire
Vol SurfaceMulti
Dupire local vol model
Source: Dupire 1994
Long ATM straddle gamma scalp
Gamma ScalpingDelta-neutral
Buy ATM straddle delta-hedge with stock to capture realized vol
Source: Schwab
Long back short front backwardation
Term StructureLong vol
Stress regime when curve inverts
Source: encyclopedia
Long front short back contango
Term StructureShort vol
Sell front VIX buy back-month
Source: encyclopedia
Long strangle gamma scalp
Gamma ScalpingDelta-neutral
Buy OTM strangle (cheaper) + delta-hedge
Source: encyclopedia
Long vega via options
Vega TradingLong vol
Long-dated calls/puts for vega exposure
Source: encyclopedia
Long-IV vs short-RV arb
Vol ArbShort vol
Sell vol when IV consistently > RV
Source: encyclopedia
Long-RV vs short-IV arb
Vol ArbLong vol
Classic long-vol arb gamma scalp
Source: Demeterfi
Long-vega multi-asset
Vega TradingLong vega
Long vega across SPX RTY HYG TLT
Source: encyclopedia
MOVE index proxy
Rate VolLong vol
Long bonds + MOVE call as proxy
Source: encyclopedia
Macro vol hedge SPX
HedgingLong vol
Long-dated SPX puts as macro hedge
Source: Universa
Manual gamma scalp retail
Gamma ScalpingDelta-neutral
Disciplined manual rebalance for retail traders
Source: encyclopedia
Natgas vol high vol
Commod VolMulti
NG options highly volatile
Source: encyclopedia
Pin-risk near expiry
RisksMulti
Stocks pin to high-OI strikes at expiry
Source: encyclopedia
Pre-earnings reverse iron fly
Earnings VolMulti
Buy straddle finance with strangle credit
Source: encyclopedia
Pre-event vol kink
Term StructureMulti
Term structure kinks before known events
Source: encyclopedia
Quanto vol trade
FX VolMulti
Quanto vol from FX-equity correlation
Source: encyclopedia
Rates calendar trade
Rate VolMulti
Calendar trade in rate options
Source: encyclopedia
Realized-vol monitoring
DisciplineMulti
Track RV vs entry IV daily
Source: encyclopedia
Realized-vs-implied filter
Gamma ScalpingDelta-neutral
Only initiate when expecting RV > IV
Source: Vol Box
Risk reversal long-skew
Skew TradingLong skew
Long OTM put short OTM call
Source: encyclopedia
Risk reversal short-skew
Skew TradingShort skew
Long OTM call short OTM put
Source: encyclopedia
Roll-down vol curves
DisciplineMulti
Manage front-month roll-down losses
Source: encyclopedia
Rough Heston vs Black-Scholes
Vol ArbMulti
Rough vol models capture real price dynamics better
Source: Bayer
Rough volatility (rBergomi)
Vol SurfaceMulti
Bayer-Friz-Gatheral rBergomi rough fractional vol
Source: BFG 2016
SABR model calibration
Vol SurfaceMulti
SABR for FX/IR vol surface
Source: Hagan
SPX dispersion sector trade
DispersionLong vol
Sell SPX vol buy sector ETF vol
Source: encyclopedia
SPX vs SPY vol arb
Index VolMulti
Trade vol differences between SPX (cash) vs SPY (ETF)
Source: encyclopedia
SPY/QQQ gamma scalping retail
Gamma ScalpingDelta-neutral
Penny-wide spreads make retail gamma scalp viable
Source: Vol Box
Sectoral vol vs index vol
Index VolMulti
Sector vs broad-index vol relative value
Source: encyclopedia
Short gamma + delta-hedge
Gamma ScalpingDelta-neutral
Sell gamma + delta-hedge - profit from theta if RV<IV
Source: encyclopedia
Short vega via options
Vega TradingShort vol
Short calls/puts ATM for vega short
Source: encyclopedia
Skew arbitrage cross-strike
Skew TradingMulti
Trade pricing inconsistencies in vol surface
Source: encyclopedia
Skew-flat skew-trade
Skew TradingLong vol
Buy OTM put sell DOTM put when skew flat
Source: Goldman
Skew-implied directional bet
Skew TradingMulti
High skew = put demand = bearish flow signal
Source: encyclopedia
Skew-protected portfolio
HedgingLong
Use OTM puts to hedge equity portfolio
Source: encyclopedia
Smile interpolation
Vol SurfaceMulti
SVI / SABR parameterization for surface fitting
Source: Gatheral
Sticky-strike vs sticky-delta
Vol ArbMulti
Surface evolution model arbitrage
Source: encyclopedia
Stochastic vol with jumps
Vol SurfaceMulti
Bates Heston-with-jumps model
Source: Bates
Stop on vega blowout
DisciplineMulti
Cut position when vega-attrib loss > limit
Source: encyclopedia
Surface bumping for hedging
Vol SurfaceMulti
Bump-and-reprice for vega hedging
Source: Hull
Swaption straddle short
Rate VolShort vol
Sell swaption vol for rate-vol short
Source: encyclopedia
Theta budget per day
DisciplineMulti
Cap daily theta cost as %% of capital
Source: encyclopedia
VIX 3M vs 1M ratio trade
Term StructureMulti
VIX/VIX3M as regime filter
Source: encyclopedia
VIX call hedge cheap
HedgingLong vol
Cheap OTM VIX call hedge
Source: encyclopedia
VIX futures vega proxy
Vega TradingLong vega
VIX futures = SPX vol proxy
Source: encyclopedia
VVIX vs VIX arb
Vol ArbMulti
Trade VVIX/VIX divergences
Source: encyclopedia
Var swap dispersion
DispersionLong vol
Cleaner dispersion via var swaps
Source: encyclopedia
Variance swap vega exposure
Vega TradingLong vega
Var swap = pure vega exposure
Source: Demeterfi
Vol carry by selling SPX vol
Vol ArbShort vol
Persistent IV>RV creates vol carry
Source: Bondarenko
Vol surface arbitrage
Vol ArbMulti
Find inconsistencies in implied vol surface
Source: encyclopedia
Vol-position daily P&L attrib
DisciplineMulti
Decompose P&L into delta gamma vega theta
Source: encyclopedia
Volatility-of-volatility trade
Vol ArbMulti
Trade VIX options for VVIX exposure
Source: encyclopedia
Volatility-risk-premium harvest
Vol ArbShort vol
Negative-VRP factor short-vol systematic
Source: Bondarenko
XSP mini SPX vs SPY
Index VolMulti
Mini SPX vol trade
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.