Volatility Tracker for the week of August 31, 2009
The CBOE Implied Correlation Index spiked to its highest level last week since the beginning of the rally that began this spring. [10] In a healthy, normally functioning market, companies that succeed will see their stock prices rise, while the stocks of failing companies will fall. In a healthy, normally functioning market, the stocks of winners and losers alike won’t rise or fall together in lock step; but the increase in [10]…
Volatility Tracker for the week of July 27, 2009
Equities continued to rally last week in defiance of any “overbought” technical readings. [4] Nevertheless, until the contrary signals noted last week abate – specifically, the term structure of volatility futures [7] and the VIX Premium Ratio [8] – I don’t anticipate much upside potential. Note that the Nasdaq 100 Implied Volatility Index (VXN) rose on the week [2] – though this is just as likely due to out of the money…
Volatility Tracker for May 31, 2009
Volatility marches ever lower. Backward-looking realized volatility tells a story of markets recovering from what – if the “green shoots” camp is right – will be a bottom that should hold for a decade; implied volatility likewise continues its steady push back toward the high end of what used to count as normal. Option sellers may be getting anxious about their recent good fortune, but none of the indicators below are suggesting any extreme conditions or…
Monday, August 31, 2009
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