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- Nouriel Roubini and the VIX
- Bill Luby submits: Call me crazy, but lately I have been pondering the sudden disappearance of Nouriel Roubini from the media scene. You could probably add the likes of Meredith Whitney and others to the list of media sensations who rose to fame as a result of successful predictions...
- External links 2009-06-11
- Rare Batman Pattern Forming in the VIX
- Bill Luby submits: Just as it seemed as if the end of the world was nearing, I am pleased to report a rare Batman pattern forming in the VIX and in the implied volatility of the SPX and SPY. The chart below shows the right...
- External links 2008-10-23
- SPX Put Bomb Update
- Bill Luby submits: Last Wednesday, in SPX Options Carpet Bomb Pushes VIX SOQ to 63.04, I reported on a series of transactions involving some 285,000+ SPX put contracts that one party apparently purchased at the open. At the time, my angle on these transactions focused on the ability of...
- External links 2008-10-29
- Keep an Eye on Emerging Markets Bonds
- Bill Luby submits: I know a number of equities-only investors who have started following the bond markets for the first time ever over the course of the past year after becoming tired of being blind-sided by inter-market relationships. Of the many credit market data points, LIBOR, the TED spread,...
- External links 2008-11-02
- Why Should Anyone Care About Historical Volatility?
- Bill Luby submits: Two weeks ago in The VIX in the Context of Historical Volatility of the SPX, I used a chart to demonstrate how the VIX which is essentially the implied volatility of the SPX compares across various SPX historical volatility lookback time frames. Why should...
- External links 2008-11-03
- VIX Below 10 Day SMA
- Bill Luby submits: Rob Hanna at Quantifiable Edges had a study up yesterday with the title VXO Suggesting A Pullback Is Likely. In his previous Is A Low VIX A Short Trigger? Rob concluded, contrary to popular wisdom and quite correctly: “Owning the S&P 500 when the VIX...
- External links 2008-11-06
- VXV's First Birthday
- Bill Luby submits: One year ago the CBOE launched the VXV, which is a variant of the VIX that calculates implied volatility in SPX options over the course of the next 93 days instead of the 30 day time window used by the VIX. In December 2007,...
- External links 2008-11-13
- The VXV Is One Year Old
- Bill Luby submits: One year ago the CBOE launched the VXV, which is a variant of the VIX that calculates implied volatility in SPX options over the course of the next 93 days instead of the 30 day time window used by the VIX. In December 2007, with the...
- External links 2008-11-14
- Newly Introduced VIX and More Global Volatility Index
- Bill Luby submits: As representatives of the G20 assemble in Washington to discuss the state of the global economy, this seems like a good time to take the wraps off of the VIX and More Global Volatility Index. Without getting into all the details, the Global Volatility Index calculates...
- External links 2008-11-15
- S&P 500 Fifty Day Historical Volatility May Have Just Peaked
- Bill Luby submits: Something interesting happened yesterday that has happened very rarely over the past two months or so: 50 day historical volatility (HV) in the S&P 500 index dropped. While that fact in itself might not be worthy of a headline next to the latest installment of ‘Adventures...
- External links 2008-11-18
- XLF's 'Concrete Shoes'
- Bill Luby submits: Lately there have been quite a few days when it looks as if the market is wearing ‘concrete shoes’ and will never be able to keep its head above water. Time and time again the financials look like those concrete shoes: financials plunge; the market follows....
- External links 2008-11-19
- 2008: The Year in Global Volatility
- Bill Luby submits: In November I launched the VIX and More Global Volatility Index, which is a weighted average of the implied volatility in options for equities in the 15 largest global economies. I will have more to say about the Global Volatility Index in 2009, but want to...
- External links 2009-01-04
- More on PUT Returns
- Bill Luby submits: Given the surprising interest in put-write strategies and the CBOE PutWrite Index (PUT), I have spent some additional time with the PUT data to see what sort of secrets I might be able to uncover. I must confess that the more I dig, the more I...
- External links 2009-01-13
Additional Resources
- Graphing Performance of Put-Write and Buy-Write
- Bill Luby submits: I was pleased to see the strong response generated by Friday’s The Often Overlooked Put Writing Strategy, particularly in some of the comments at Seeking Alpha. A number of questions came up regarding the reasons why two strategies that are synthetically equivalent (i.e. share the same...
- External links 2009-01-12
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