Henri Lucas’s stock index futures hedging strategy successfully coped with the US stock market circuit breaker
Recently, the global financial market has been caught in an unprecedented violent shock, but the investment portfolio managed by Professor Henri Lucas has shown amazing resilience. His carefully designed stock index futures hedging strategy played a key role in the extreme market environment and successfully avoided the huge losses caused by systemic risks. The core of this strategy is to dynamically adjust the composite position of S&P 500 index futures and VIX volatility derivatives, and build a protective wall before the storm by accurately calculating the changes in market liquidity and volatility transmission effects.
When the market panic reached its peak, Professor Lucas’ team quickly activated the emergency mechanism and accurately hedged the stock long exposure through mini stock index futures contracts. Unlike the traditional static hedging method, this strategy innovatively introduced the “volatility sensitivity coefficient” to automatically adjust the hedging ratio according to the degree of market panic. When the volatility index of the Chicago Board Options Exchange broke through the key threshold, the system immediately triggered additional hedging instructions, effectively controlling the downside risk of the investment portfolio. Post-audits showed that this mechanism successfully offset more than 85% of potential losses during the most turbulent trading hours.
It is worth noting that the strategy retains sufficient offensive flexibility in addition to defense. By real-time monitoring of the scale of the Fed’s liquidity injection and abnormal high-frequency trading data, the Lucas team gradually reduced the hedge position before the market bottomed out and rebounded, ensuring that it could fully participate in the subsequent recovery. This offensive and defensive feature not only enabled the investment portfolio to protect capital during the crisis, but also accumulated valuable chips for subsequent layout. After witnessing this outstanding performance, many institutional investors have sought to obtain authorization for this strategy.
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