Tag Archives: market volatility
The daily returns of the S&P 500 exhibit mean-reverting behavior since the late 1990s but the index reached new all-time highs recently. I show in this article that this has been accomplished at increasing risk, despite beliefs that volatility is … Continue reading
Although the high of VIX was below 11 on January 27 of this year, the SPY ETF has gained 1.11% since. Some traders expected a quick rise in volatility and shorted the market but any gains in VIX evaporated fast … Continue reading
Despite calls for a 15% to 25% correction, this stock market has shown resilience, ignoring geopolitical and financial risks. Bears are on the run and permabear analysts are busy deleting gloom and doom tweets from the past. In a period … Continue reading
Large gains in excess of 2.5% occur primarily during downtrends and they cause short squeezes and bull traps. Thus, those participants that affect these large changes know what they are doing. A backtest reveals the risks faced by bulls.