Tag Archives: market volatility

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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