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

Last Updated on 10 February, 2024 by Rejaul Karim

In the remarkable work “Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days,” by Chrilly Donninger of Nimzowerkstatt OEG, the focus sharpens on trading strategies during the crucial FOMC announcement days, recognized as the most important trading news.

This paper offers a pragmatic and detailed approach to trading strategy, bypassing academic complexity. It aims to shed light on the mechanics of a short VIX-Futures strategy, providing practical insights for traders seeking to navigate these pivotal trading periods.

Abstract Of Paper

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.

Original paper – Download PDF

Here you can download the PDF and original paper of Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days..

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Author

Chrilly Donninger
Nimzowerkstatt OEG

Conclusion

In conclusion, “Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days,” emerges as a beacon of practical wisdom, illuminating the art of trading on FOMC announcement days.

Chrilly Donninger’s work offers a clear understanding of VIX and VIX-Futures dynamics following these crucial meetings and presents a focused and practical trading strategy.

This strategic playbook serves as a guide for traders, endowing them with valuable insights to navigate the nuanced landscape of FOMC announcement days with confidence and acumen.

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FAQ

1. What is the primary focus of the research paper “Trading the Patience of Mrs. Yellen. A Short Vix-Futures Strategy for FOMC Announcement Days,” and how does it contribute to understanding trading dynamics during FOMC announcement days?

The primary focus of the research paper is on trading strategies during the Federal Open Market Committee (FOMC) announcement days, considered the most important regular trading news. The paper specifically addresses the decrease in the Volatility Index (VIX) and VIX-Futures after these announcements, a phenomenon previously identified in the literature. Instead of delving into academic complexities, the paper aims to provide practical insights for traders, offering a detailed and pragmatic approach to navigate the intricacies of trading on FOMC announcement days.

2. What key findings does the paper confirm regarding the behavior of VIX and VIX-Futures after FOMC announcements, and how does it differentiate itself from academic discussions?

The paper confirms the findings from previous literature that the VIX and VIX-Futures exhibit a significant decrease after FOMC announcements. However, what sets this paper apart is its focus on practical, detailed trading strategy rather than academic intricacies. It aims to address the mundane questions of implementing a trading strategy during these crucial periods, offering actionable insights for traders.

3. How does the research paper contribute to the practical understanding of a short VIX-Futures strategy on FOMC announcement days, and what value does it bring to traders?

The research paper contributes to the practical understanding of a short VIX-Futures strategy on FOMC announcement days by offering a detailed and actionable trading approach. Instead of theoretical discussions, the paper delves into the mechanics of the trading strategy, providing traders with practical guidance. The value it brings lies in its focus on real-world application, allowing traders to implement strategies that leverage the observed patterns in VIX and VIX-Futures dynamics following FOMC announcements.

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