web analytics

The volatility game

Take a look at the table of charts below. Each smaller chart shows the 10 largest stocks for that S&P 500 sector. They are graphed with historical (also called realized or statistical) volatility on the horizontal, and implied volatility on the vertical. The dot...

When percents fail

Let’s think a bit about “signal generation”. When we test something in the market what we’re looking for is an answer to “What happens after _______ occurs?” This is really the essence of all backtesting and system...