My colleague at Expiring Monthly, Adam Warner, has taken people to task over the last several days for obsessing over the VIX, and especially for misapplying it: OK, what’s wrong with this statement: Look at that…$VIX drops below 20 and pigs fly again. Only reliable indicator that I know of that level. If you answered “everything” you would be correct. But let’s see how far off the reservation someone can go in 140 characters. And again, this is a very sharp mind, albeit…
Wednesday, January 6, 2010
Some interesting articles have been added to the forthcoming list at Quantitative Finance. Cites and abstracts are below, with links to preprints where available. I don’t have time to add commentary at the moment, but am happy to answer questions in the comments section. Abel Rodriguez & Enrique Ter Horst, “Measuring expectations in options markets: an application to the S&P500 index.” Extracting market expectations has always been an important issue when making national policies and investment decisions in financial markets. In options…
Thursday, October 1, 2009
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CME Group published the following product update today: Effective Sunday, October 11, 2009 (trade date Monday, October 12), the following changes to the listing rules for COMEX Gold options will occur: The strike price interval will be set to $5.00 (CME Globex strike price increment=5) increments for all trading months on all venues regardless of the level of the underlying futures prices. Currently, the strike price interval is dependent on futures price levels as follows: $5.00 (5) if futures prices are under…
Wednesday, August 19, 2009
The financial sector of the U.S. economy has had nearly a year to address the problems that exacerbated the crisis last fall. But many observers think that the banks haven’t done enough, and that another round of trouble may be developing for the sector. I will outline some of those concerns and then suggest some ways to use options to profit if there is indeed another shoe to drop in banking. The Thesis The primary obstacle facing large banks is that they…
Wednesday, August 12, 2009
It seems these days that the entire world is gasping at, of all things, minor twitches in out-month VIX futures. Earlier this week, Bloomberg’s strength ebbed and I caught them as, overcome, they whisper’d, “VIX Signals S&P 500 Swoon as September Approaches.” Like any financial headline that calls to mind men in breeches and whooping cough, this one should be regarded with skepticism. In the first place, VIX futures are signaling no such thing: even if the VIX popped up…
Tuesday, May 4, 2010
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