Is this weird or not? The daily relationship between the S&P 500 and the VIX.
As I was wrapping up a Friday afternoon and getting ready to go play outside, I saw a post in a Facebook group where a guy asked what was up…
Chart of the day: volatility
Both the level of vol and the relationship of implieds to realized (historical vol) are important. Low vol environments bring some unique risks, but don't assume that vol "must" go…
Chart of the day: global stock volatility
Here's a chart I published yesterday in the research I write for Waverly Advisors. I thought no comment other than "wow" was needed... (Edit: my work is now available at…
Forecasting volatility
A lot of the questions I get from people are about volatility--how to measure it, how to trade, and even, in a basic level, what it means. I recently added…
What happens after big spikes in the VIX?
I ran a quick study this morning to look at what happens to stock market volatility following large single day volatile events. Note that we are looking at market volatility…