Tag Archives: market volatility

Not The Quietest Period In Stock Market History

Last year due to very low volatility in the stock market there were numerous articles and posts in financial blogosphere and social media about “the quietest period in stock market history.” Here I use three volatility metrics to debunk those … Continue reading

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Reversion To The Mean [Premium Articles]

A brief analysis of reversion to the mean of 252-day highs in S&P 500 and a look at recent volatility. For access to premium content, you must be a subscriber. Please login if you are already a subscriber or subscribe¬†to … Continue reading

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A Mean Reverting Stock Market With Increasing Risk

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

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VIX Is Fooling Bears

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

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