Tag Archives: short volatility

Tail Risk Financialization

I scanned a universe of about 700 large cap stocks, popular ETFs and major equity indexes and I could find only two occasions when a liquid security dropped more than 90% in a few days, similar to what occurred in … Continue reading

Posted in Market Statistics | Tagged , , | Leave a comment

Derivatives of Derivatives of Derivatives And The Modern Alchemists

The difference between the old alchemists and the modern financial alchemists is that actions of the latter group endanger the stability of an already fragile financial system.

Posted in Risk Management | Tagged , , , , | Leave a comment

Short Volatility Strategy With Contango Filter

This article shows an example of a short volatility strategy developed with DLPAL S. The strategy incorporates a contango filter and is validated on strictly positively correlated securities.

Posted in DLPAL software, Trading Strategies | Tagged , , , , | Leave a comment