The VIX basis is risk premium that can be harvested (mainly by going short VIX futures when basis is positive aka VIX futures market is in contango)
❑ Combining negative VIX basis signal with negative IVR signal does a good job in predicting market crashes. Anticipated both the 2008 and2020 crashes
❑ Combining positive VIX basis signal with positive IVR signal does a good job in predicting bull markets with a VIX roll yield to be harvested.
Research Paper (Fill in the form to download it)
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Please read the important information below before continuing to our site
This website is targeted at institutional, professional or qualified investors only.
US PERSONS: The information contained in this site is not intended for nationals or citizens of the United States of America or “US Persons” as defined by “Regulation S” of the Securities and Exchange Commission under the US Securities Act of 1933, which notably applies to any natural person residing in the United States of America and any partnership or corporation organised or registered under US regulations. If you are a “US Person” None of the information contained in this website constitutes an offer by Melanion Capital to buy or sell financial instruments or to provide investment advice.Melanion Capital informs you that the information contained in this site is given purely by way of indication and provides a general presentation of our services and organisation. Before any investment in Melanion UCITS ETF, you must carry out your analysis of the risks of the product from a legal, fiscal, and accounting point of view, without relying exclusively on the information which you will be provided with. We urge you to consult your own advisers if you consider it necessary.Your access to this site is subject to compliance with the French legislation in force and to the “Legal notice/General conditions of access to the site”.
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