Tag Archives: VIX

SPY ETF Volatility

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

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Volatility Space Development [Premium Articles]

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

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The End Of Short Volatility Trade

Spectacular drawdown levels in some popular volatility ETNs vindicate analysts who warned about the perils of the short volatility trade.

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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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