Two recent publications: volatility of volatility and put-call ratios
I wrote two articles this summer for Active Trader magazine. My article in the June 2013 issue, “Trading on uncertainty: Timing the volatility of volatility” explains the concept of the volatility of...
View ArticleWhat the FOMC Did to Volatility
I’m attaching a cross asset volatility monitor that allows you to compare price and volatility changes across equity, commodity, and currency markets. After Wednesday’s post-Fed rally, several things...
View ArticleVXST, VIX, VXV, and the rest of the curve
Rises in VIX and implied volatility in general tend to attract the attention of business reporters and other market watchers who do not usually follow options markets all that closely. I’ve seen...
View ArticleThe Rally No One Saw Coming
I was honored to be included again in Business Insider‘s quarterly review of important charts. My contribution is below, and you should click through for some insightful comments from some of the best...
View ArticleVIX Portfolio Hedging (VXH) Strategy 2013 Performance Review
In 2013, being maximally long stocks was the only game in town, and investors who sought the safety of hedging strategies lagged unhedged indexes. As we noted before, 2013 was a difficult year for call...
View ArticleNeutral is the New Bearish
I’ve updated the chart we showed last month (“The Rally No One Saw Coming“) with the trading range for the S&P 500 for 2014. Some of the most widely-watched someones – strategists at major banks...
View ArticleAre Short Volatility ETPs Worse than SPY?
“‘Volatility Tourists’ Get Crushed,” exulted a column in Barron’s on Friday, referring to losses incurred that day by short volatility ETPs like XIV and SVXY. I would approach the data a little...
View ArticleVIX Option Activity and Market Returns (Update)
The intuition around ratios of option trading volume is that large deviations from normal trading volume may indicate a significant change in investor sentiment, and especially a “capitulation” among...
View ArticleDoing What It Says on the Tin: The Value of Volatility ETPs
The iPath S&P 500 VIX Short-Term Futures ETN (VXX) launched in 2009, but after five years and many billions in transactions, it’s still a widely misunderstood product in some quarters. All of the...
View ArticleU.S. Market Risk Dashboard Update – No Warnings Signs, Yet
Given the fierce market selloff in recent sessions, I thought it would be helpful to check on our favored set of risk indicators for the U.S. market. As of the Monday close, VIX is above its two year...
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