Defensive Volatility Index Apparatuses, Methods, and Systems

摘要

A rule-based signal-driven algorithmic index and associated financial products for providing downside protection against a volatile index by tracking a long-volatility position placed in the short term or the medium term of an implied volatility curve for a stock index, based on the steepness of the short-term end of the curve versus the steepness of the medium-term end of the curve.

主权项

1. A processor-implemented method for creating a signal-driven algorithmic defensive volatility index, the method comprising:
calculating, using an index calculator module, a signal based on the slope of a short-term portion of a volatility index futures curve and the slope of a medium-term portion of the volatility index futures curve; determining a long position in at least one of the short-term portion and the medium-term portion of the volatility index futures curve based on the calculated signal; and calculating a defensive volatility index value based on the at least one long position using the index calculator module.