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December 20, 2018

Evil Santa

Let’s face it, we have all been very very naughty over the past decade. And it was great fun while the easy money lasted but those days are over now and alas it is time to adjust our trading accordingly.

Clearly Santa is in a very foul mood this year and he’s not taking any prisoners, as a matter of fact he and his intrepid elves are working overtime to dish out some mighty comeuppance to any bag or purse holders.

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October 29, 2018

Monday Momo

Daylight saving time ended yesterday over here in Europe and it may actually have been the last time. Back in August the European Council declared the practice antiquated and recommended that member states stop changing their clocks in spring and autumn. However at the same time they left it up to the respective EU state and I’m pretty sure that, true to form as always, Spain is going to make a royal mess of it.

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September 10, 2018

Volatile Systems

You guys know I’ve been all over volatility, the realized and the implied kind, for a good part of this decade now. If you curious as to the reasons for my volatile obsession then the most salient one is that volatility is much easier to predict than signed returns. I’ve covered that topic in exhaustive detail over the past few years and today we’re actually going to put it to work.

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August 14, 2018

Realized Volatility Release

The eternal ebb and flow of realized volatility (RV) is a key concept in order to understand what has been happening in equities over the past week or so. For over six months now we’ve seen a marked increase in RV which in the process it has claimed numerous victims in both the bullish and bearish camps.

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