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September 17, 2019

Markets And Volatility

By all definitions the past two years have been pretty challenging to many retail traders and not surprisingly the exhaustion I sense in the comment section is palpable. A lot of what has transpired can be attributed to a marked increase in realized volatility which over time has contributed to a now permanently elevated baseline in implied volatility.

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August 21, 2019

Risk On – Risk Off

Volatility is a tough beast to tame, despite the general consensus among finance geeks and quant traders that it’s a lot easier to predict than signed returns. GARCH is your friend but it gives us an unsigned return – a range of 20 handles means that the market could as easily run up 20 as it could drop by 20. So what do we do?

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July 29, 2019

Market Momentum Musings Summer 2019

In case you wonder, despite new meds I still feel like crap. But then again nobody likes a whiner plus as the saying goes: the show must go on. Alright, the month of July is finally nearing its sweaty end (yes I hate summer) which reminds me that I probably owe you a new market momentum update. And I may as well have called it a VIX update as most of my charts today revolve around our favorite and most misunderstood volatility index.

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July 2, 2019

The Most Feared Rally

I took a glance at a long term VIX chart this morning and realized that it had only dropped below its 11 mark once since January of 2018, and then didn’t remain there for more than a day. Admittedly the past 18 months have been turbulent for equities, which is evidenced by the fact that the SPX is currently trading merely 100 handles above the high painted on January 27th, 2018.

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NEW! Market Statistics
Cognitive Bias Carousel
  • Herding BiasHerding Bias
    Something very interesting happened during our trip back to Valencia last Sunday. After checking our luggage and passing through the airport’s security procedures we had a … more
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