Research is essential. Without it, it?s difficult to tell whether you aren?t just trading noise.
Research & the Real World: A Naked Straddle Story
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Silver Setting Up for a Volatility Breakout
Silver prices have been really impressive in recent weeks:
Extreme Correlation Between Equity Returns and Implied Volatility
Everyone knows that implied volatility and stock returns tend to be negatively correlated. The results from a recent study we did showed, though, that when implied volatility and stock returns become too negatively correlated, volatility sellers should consider moving to cash.
The VIX Short Squeeze that Wasn?t
Since early 2012, hedge funds and other traders have been short S&P 500 volatility via VIX futures in sizes not seen before.
What Should You Look at After a VIX Spike?
Monday’s 1.9% decline in equities sparked the largest jump in the VIX since…
There’s certainly some value in knowing the end of that sentence, but unless you’re avoiding all financial media, you’ve probably already read a few variations of that story.
The Death Cross in Gold Looks Like Noise
There are plenty of reasons not to be bullish about gold.
Without the Yen, FX Volatility Is Still in the Dumps
Short yen really has been the trade that keeps on giving for old-fashioned blue-blooded hedges. FX vol up and (nearly) all down to the yen.
The VIX Term Structure Has Farther to Fall
As tail risks have fallen aside and markets have normalized over the last several years, most of the strange market phenomena from the financial crisis have reversed themselves.
When Will Gold Lose its Luster?
The outlook for gold in 2013 was more mixed than in years prior, but several investment banks maintained bullish price targets.
VIX Doomsayers Are Out of Data
Options markets are confirming the recent strength in stocks, and to such an extent that we may be looking at a new, calmer volatility environment for quite some time.
How Expensive Are Oil Options?
WTI crude oil options are priced at a substantial premium above the trailing volatility of the underlying. One month options using the VIX methodology (OVX) were priced at the Friday close above 24%, while the one month close-to-close historical volatility of USO was just 14%.
The Market Is as Nervous as Ever About Austerity Fetishism
In a recent note, Goldman Sachs economist Alec Phillips wonders whether the market is becoming less sensitive to political brinksmanship: