Tag Archives: VIX

S&P 500 and VIX Statistics

The chart below shows statistics of diverging and non diverging returns of S&P 500 and VIX. The count of diverging returns in 252 days is currently at 185. Note that near the 2000 and 2008 tops this count was above … Continue reading

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S&P 500 – VIX Correlation And Selection Bias

An interesting article in Zero Hedge yesterday referred to a positive correlation between S&P 500 and VIX and pointed to several instances in the past when this signaled a major top or a large correction. Does this pattern have any … Continue reading

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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.

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Scary VIX Charts

A few VIX charts published in financial blogosphere yesterday do not impress me. VIX has stayed low for longer than usual. But VIX represents a specific measure of volatility. If a different measure is considered, there is nothing unique taking … Continue reading

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Non-Tradable Illusions: The Volatility Example

Many articles, papers and books have been written about trading strategies and portfolio allocations with analysis and backtests based on non-tradable indexes. In many cases the conclusions are mere illusions caused by non-tradability.

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Some Common Traits Of Reckless Speculators in Financial Markets

Reckless speculators in the financial markets have some common traits.

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