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Trading the VIX – Part 2: VIX ETPs and Strategic Applications In Part 1 of this series, we explored the structure of VIX Futures, focusing on the roll-down effect in a contango VIX futures curve—common in calm market conditions. In Part 2, we turn our attention to VIX-related Exchange-Traded Products (ETPs)—specifically, the popular and liquid: • VXX –...

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Often dubbed the "fear index," the VIX gauges SPX options' implied volatility, typically rising during equity market declines and vice versa. It quantifies investor anxiety, demand for hedging, and market stress, crucial for traders and risk managers seeking to measure turbulence. The VIX calculates a constant 30-day implied volatility using SPX options expiring...

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You don’t need to reinvent the wheel to find new and effective trading tools. Often, enhancing classic indicators with a few thoughtful modifications can yield surprisingly powerful results. Here’s a simple yet effective way to upgrade the RSI and turn it into a more actionable entry signal. The Relative Strength Index (RSI) is a widely used oscillator that...

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Option Insights – Trading the Greeks Part 4 of 4: Time Value Trading and the Volatility Premium ________________________________________ Introduction to Time Value Strategies Time value strategies are among the most widely used option strategies. In their simplest form, these involve selling options, collecting the premium, and aiming to retain it—i.e., hoping...

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Option Insights – Trading the Greeks Part 3 of 4: Gamma Scalping Gamma Scalping is a trading strategy that combines long option positions with a hedging position in the underlying asset to isolate and profit from the convexity of options. It is essentially a non-directional swing trading strategy that aims to capture price swings—regardless of direction—by...

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# Option Insights – Trading the Greeks (Part 2 of 4) ## Option Convexity and Gamma Effects ### Gamma – The Convexity of Options Gamma measures how much the Delta of an option changes in response to movements in the underlying asset’s price. Mathematically, it is the second derivative of the option’s value with respect to the price of the underlying. In simpler...

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# Option Insights – Trading the Greeks (Part 1 of 4) ## Delta Targeting Options are often utilized by traders as a leveraged tool, akin to generating lottery tickets. By selecting the appropriate expiration time and strike price, it's possible to achieve significant leverage on an underlying asset, potentially yielding high profits in percentage terms, albeit...