Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days.

4 Pages Posted: 3 Jan 2015 Last revised: 6 Jan 2015

Date Written: January 5, 2015

Abstract

There is consensus in the literature that the 8 scheduled FOMC meetings are the most important regular trading news. In “When No News is Good News – The decrease in Investor Fear after FOMC announcements” the authors show that the VIX and VIX-Futures decrease significantly after the announcements of the meeting. This paper confirms these findings. It omits the usual academic fuss and concentrates instead on the mundane questions of a detailed trading strategy.

Suggested Citation

Donninger, Chrilly, Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days. (January 5, 2015). Available at SSRN: https://ssrn.com/abstract=2544445 or http://dx.doi.org/10.2139/ssrn.2544445

Chrilly Donninger (Contact Author)

Nimzowerkstatt OEG ( email )

Altmelon 110
Arbesbach, Lower-Austria A-3925
Austria

HOME PAGE: http://www.godotfinance.com

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