After the close on Thursday, even as traders were marveling at the 13% move after Google announced its earnings triumph, Baidu was also up substantially after hours (2.8%) on no apparent news.
Are Baidu & Google Earnings Related?
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A Question of Gamma
In a discussion I've been having with other volatility traders on LinkedIn, I've been trying to get the point across that a properly constructed and hedged calendar-spread portfolio won't exhibit the "exploding gamma" (their words, not mine) one sees in a single, one-strike calendar spread as expiration approaches.
The Evolution of Money and the Market
After the hail of fire that daring to suggest gold might be overpriced drew upon reposting my latest gold-bubble article on Seeking Alpha, I decided to stay away from writing anything that implies "value" is nothing but a social construct.
CBOE Publishing Intraday VIX Term Structure
One of the limitations of the VIX index is that it only provides a snapshot of SPX implied volatility at a constant 30-day duration.
Tremors in the Gold Bubble
This fall, I commented more than once on how frothy the gold craze has gotten, and explained why I think the gold equivalent of a tulip bulb in 1636 is in a bubble that could result in a dramatic crash.
Investors Still Haven't Understood Leveraged ETFs
When leveraged and inverse ETFs were first launched, many investors weren't aware of the negative effects that daily rebalancing would have on the long-term performance of those ETFs relative to their benchmarks
Implied Volatility May Be Higher Than It Appears
Several clients mentioned the sizable decline in implied volatility and characterized current levels of IV as too low to sell.
Delta, Like Everything, Decays
Standard accounts of the option Greeks will explain that delta measures the rate of change in the price of an option per unit change in the underlying asset.
Why Conventional Hedging Methods Fail
I am discussing the problems with conventional portfolio hedging methods because if widely-known conventional methods are suitable, then there’s little reason why anyone should consider a novel method.
Buying on the Dips in Your Strategy
If you're trading a strategy with a long-term record of solid performance and a steadily rising equity curve, a great time to increase your exposure to that strategy is after the strategy has suffered a losing period.
Trading the Volatility in Interest Rate Options
Traders have been increasingly eager to speculate on the future direction of interest rates. The volatility implied by options on 2-, 5-, 10-, and 30-year Treasury notes and bonds has lifted the Merrill Lynch MOVE Index above 110.
The Vicissitudes of Hedging Tail Risks
People are excited about tail risk. On the institutional side, banks and asset managers are packaging up complex, multi-asset hedging products and selling them to pension funds, endowments, and other natural longs. On the retail side, Barclays and others are getting great traction with products like VXX, VXZ, VXX options and now XXV.