Tag Archives: VIX
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
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
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.
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
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.
Reckless speculators in the financial markets have some common traits.