PCA for vix term structure

Pelman08 · Post by **Pelman08** » Sun Oct 20, 2019 7:16 pm

I have been using principle component analysis to trade the yield curve for a while now however I would like to know ,jow can I use principle component analysis to trade the vix term structure .

nikol · Post by **nikol** » Sun Oct 20, 2019 10:06 pm

In ~2003, Rebonato was already decomposing vol term-strike structures into PC's.

Pelman08 · Post by **Pelman08** » Mon Oct 21, 2019 12:14 am

thank you for replying to my message . Do u think you can explain to me how Rebonato used PCA to decompose and trade vol her-strike structures or cite me a paper on how they did it

frolloos · Post by **frolloos** » Thu Oct 24, 2019 7:01 pm

Does this help:

https://www.math.nyu.edu/faculty/avellane/SSRN-id3028910.pdf