Author: Mike Shell
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Asymmetric Volatility
Asymmetric Volatility is an observed phenomenon that volatility is higher in declining markets than in rising markets. You can probably see how we can relate this as asymmetric risk: the downside risk is higher… Read More
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The VIX is Asymmetric, making its derivatives an interesting hedge
The VIX is asymmetric, its distribution is non-symmetrical, it is skewed because it has very wide swings. The volatility of volatility is very volatile. There is an asymmetric relationship between stock index returns and the… Read More
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It’s official: extreme greed is driving the stock market
In Is the VIX and indication of fear and complacency? I pointed out a few reasons I believe a low VIX level can indeed be a signal of greed and complacency and a high VIX level… Read More
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Is the VIX an indication of fear and complacency?
In Declining (Low) Volatility = Rising (High) Complacency I concluded that right when investors are the most complacent, the trend changes. Prices fall, volatility spikes up. They feel more sure about things after prices have been… Read More
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What does a VIX below 11 mean?
It means the expected forward volatility for S&P 500 stocks is 11%. That can be compared to historical volatility and realized volatility as it plays out. The VIX is determined by how put and call… Read More
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What does the VIX really represent?
The VIX is a gauge of S&P 500 options buying and selling. It measures the cost of insurance. When there is more buying than selling in the option market, the market is buying protection, and… Read More
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The VIX, my point of view
I believe we are naturally attracted to a strategy based on our personality. I am a trend follower most of the time, until the trend gets to an extreme. That is, I identify the directional… Read More
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The VIX, as I see it…
The CBOE Volatility Index (VIX) reached a low point last week not seen since 2007 as evidenced by the chart below. To see a closer view of the last period, below I included the last… Read More
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Is the tide going out?
“ It’s only when the tide goes out that you learn who’s been swimming naked.” -Warren Buffett, 1992 Letter to Berkshire Hathaway Shareholders The question: is the tide going out? more importantly, are… Read More
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Science: systematic study of the structure and behavior…
Investment management, executed properly, may be more scientific than you think. Read More