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: 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
Do you have negative results from your research you’d like to share?
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.