This article examines volatility trades in Lehman Brothers 20 Year US Treasury Index iShare (TLT) options from July 2003 through May 2007. Unconditionally selling front contract strangles and straddles and holding for one month is highly profitable after transactions costs.

This study examines the efficiency of VIX option trading strategies that exploit the VIX futures roll and the often substantial VIX futures volatility premiums from January 2007 through March 2014. The study first assesses the related issue of whether VIX options typically are overpriced by...

This study demonstrates that the VIX futures basis does not have significant forecast power for the change in the VIX spot index from 2006 through 2011 but does have forecast power for subsequent VIX futures returns. The study then demonstrates the profitability of shorting VIX futures contracts...