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Tag Archive | "kurtosis"

Volatility Tracker: Implied Correlation as a Reflation Proxy

Monday, August 31, 2009

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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…

Volatility Tracker: Skewed Returns

Sunday, August 23, 2009

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Volatility Tracker for the week of August 24, 2009 ‘Reflation’ is the name of the conceptual cure for the cognitive dissonance experienced by any rational observer of this market. Equities returned to short-term overbought status this week [4] and options are relatively fairly priced [6]. At 16%, the 21-day realized volatility of the S&P 500 is as low as it’s been since the financial crisis began, though it would be folly to try to call a bottom in volatility, or…