Back on October 9, we asked whether the TED spread is the new VIX: At this moment, the TED spread is the most important indicator to watch, because until the banks can honestly claim some hope of solvency and are able and willing to resume something approximating normal functioning, any other market activity is epiphenomenal at best. While the VIX deserves its popular title as the “fear index,” in this climate even it may be too broad a tool. The perception…
Sunday, May 4, 2008
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We’re talking stock volatility as well, not just the implied volatility in the options indexes. Mark Hulbert compiled data showing that the May-October period, which typically underperforms the October-April period anyway, fares even worse when the latter period has been weak: The stock market’s summer returns have been far more volatile following losing winters than winning ones. Consider the standard deviation of the Dow’s summer returns, which is one of the primary ways in which statisticians measure volatility. Following winning winters,…
Sunday, April 6, 2008
Make sure the fortune that you seek Is the fortune that you need. - Ben Harper, “Diamonds on the Inside” Typically, the biggest impact GDP has on the life of an options trader is the response of the markets to each new release of quarterly GDP estimates. But the whipsawing knee-jerk reactions of the markets to economic datapoints are immature and shallow, at best; traders who care only about the symbolic and immediately tradable impact of economic data are equally short-sighted. So forgive…
Friday, October 24, 2008
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