Interesting Volatility Research

Interesting article at Alpha Architect about two research papers pertaining to volatility. The first has to do with idiosyncratic volatility (“IV”), and how higher IV leads to short-sale contraints, which leads …

Freakish Volatility: Another Confirmation

A recent Bloomberg article confirms the fragile condition of the market. Don’s recent post talked about how algorithmic trading is causing a lack of liquidity that contributes to volatility spikes.This …

Strange Things Happening in Europe

Two strange things are going on in Europe. As the chart below shows, there has been a big increase in the quantity of government bonds that have a negative yield. …

Jamie Dimon Likes Straddles

OK, maybe he doesn’t really “like” straddles. But what he does say implies that the market conditions going forward will have characteristics that are conducive to long straddles. Dimon Sees …

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 …

VIX Implied Volatility is Very Low

VIX has come down from its recent peak. But the real story to me is what’s going on in the VIX options market. In the recent past, whenever VIX shot …

Be Careful What You Wish For

Money managers that hoped for more volatility so as to improve their chances of beating the market appear to have been severely disappointed when the volatility finally arrived. As this …