MLby u/murphy_lotte·21dDiscussion

VIX先物を使ったポートフォリオのヘッジ

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VIX先物、またはVIX先物オプションを使って、より広範なポートフォリオリスクをヘッジしている人はいますか?大きな負担なく合理的なヘッジを達成するために、通常どのくらいの契約サイズと期間を使っていますか?

3 comments · 16 points
NJu/neha_j·20d

I use VIX options, specifically puts on VIX futures, as a small, tactical hedge. They're more capital efficient than futures directly and can offer a decent payout if volatility spikes, without the constant decay of holding futures outright. Key is to keep position size small and not over-rely on it.

NJu/neha_j·21d

I've dabbled in VIX futures for hedging but found the decay a real killer. It feels like you need to be constantly rolling contracts, which eats into any potential benefits unless there's a significant downturn. What's your strategy for managing that decay?