UBS Equities-US Equity Derivatives Strategy _Conflicted Is VIX a fade he...-107645684

报告摘要

Global Research and Evidence Lab US Equity Derivatives Strategy Conflicted: Is VIX a fade here? Examining past

核心要点

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报告信息

文件全名: 《UBS Equities-US Equity Derivatives Strategy _Conflicted Is VIX a fade he...-107645684.pdf》
适合读者: 战略规划行业研究员
核心数据: backspread, collect $0.10 (buying 3x; -18% net delta).
should typically move ~1.5pts. higher for every down -1% move in SPX. Thus, a ~4pt.
tick higher in VIX should warrant a ~3% down move in SPX. VIX spot beta to SPX has
move to an SPX down ≥1% move in history. The last time we saw this degree of
VIX appears elevated relative to recent history, with SPX only ~3-4% from all-time highs.
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《UBS Equities-US Equity Derivatives Strategy _Conflicted Is VIX a fade he...-107645684》主要包含哪些内容?

Global Research and Evidence Lab US Equity Derivatives Strategy Conflicted: Is VIX a fade here? Examining past核心数据:backspread, collect $0.10 (buying 3x; -18% net delta).;should typically move ~1.5pts. higher for every down -1% move in SPX. Thus, a ~4pt.;tick higher in VIX should warrant a ~3% down move in SPX. VIX spot beta to SPX has。

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