Declining Liquidity

This article is behind a paywall. But the headline provides the key point: Liquidity of the E-mini S&P 500 futures contracts is shrinking – hit hard after the two volatility shocks …

Good News on the Data Front

Long gone are the days when the exchanges made the bulk of their money from trading. These days, the exchanges make the bulk of their profits from data. And my guess …

Crowding is Back

I recently recorded a video about market fragility and how Dispersion Trading can be an elixir to markets that experience explosive volatility out of nowhere. But what causes that explosive …

Something Missing?

If you’re into probability — that would be anyone who has ODDS in their name like I do — this is a thought-provoking chart from a Bloomberg article this morning. …

Does Momentum Still Work?

A couple of articles on momentum: This one about Blackrock and how it is sticking with momentum. This one is an academic paper about various anomalies, including momentum, that finds …

Volatility of Volatility

Here’s an interesting post about volatility of volatility. Volatility of Volatility as an Edge I’ve done some research myself on the subject and can confirm the results, which appear to …

Underdogs Win

With the Super Bowl being the largest betting event in the US, this seems appropriate. You’ll love having these hated stocks in your portfolio Trading is like betting against the …

Emerging Markets Since October 30

Emerging Markets (green line) beating both the S&P 500 (purple) and the Euro Stoxx 50 (orange). With so many people betting on risk-off environment, it’s pretty counterintuitive that the riskiest …