Tag Archives: VIX
A popular volatility strategy is generating a large loss year-to-date after spectacular returns last year. This can be attributed to rising volatility and a crowded space. For access to premium content, you must be a subscriber. Please login if you … Continue reading
Some claim there was VIX manipulation on April 18 due to a spike near the open caused by an order imbalance. I have identified the manipulation on the chart below.
Twenty one days ago there was an all-time high in S&P 500 and SPY. Since, the 21-day standard deviation of returns has surged from 0.22% to 1.62% and the 14-day ATR as percentage of closing price to 1.8% from 0.67%. … Continue reading
Due to the impact of short volatility strategies on recent correction, we include below a technical development in volatility space as of the close of yesterday. For access to premium content, you must be a subscriber. Please login if you … Continue reading
Spectacular drawdown levels in some popular volatility ETNs vindicate analysts who warned about the perils of the short volatility trade.