Tag Archives: VIX
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.
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