Trading Equity Volatility with a Bond Market Signal

Adding Treasury Volatility to a VIX Forecasting Model

I have discussed and tested strategies for trading volatility products in several previous posts. In this article, I explore a volatility trading strategy based on forecasting the VIX using information from both equity and bond volatility. The resulting signal can be used to trade either VIX futures or S&P 500 futures, and including bond volatility in the forecast significantly improves performance.