Tag Archives: 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
What is the normal level of synchronization between S&P 500 and VIX price action and is a higher correlation between them a signal of a regime change? These and other questions are answered below. For access to premium content, you … 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.
In the last three days the S&P 500 has moved less than 0.33% overall but this has also happened a few times in the 60s and 70s. Extremely low volatility in stock market indexes is not a new phenomenon but its … Continue reading
Each time there is profit taking in the stock market, the permabears of the early phase of the uptrend show up as volatility bulls. This is hilarious.