Tag Archives: volatility

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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Is Loss of Sync Between S&P 500 And VIX Signaling Regime Change? [Premium Articles]

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

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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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Extremely Low Volatility Is Not A New Phenomenon

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

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