Category: ASYMMETRY® Observations

The Cboe VIX Strangle IndexSM (STRG) is inspired by the option strangle strategy.   According to Cboe, the objective of a  strangle is to capture the volatility premium inbedded in option prices, but  with less… Read More

The U.S. stock market has got off to a strong start for 2023, so far.  Investor sentiment is trend following .  Below is a chart template I call “Trend Following + Nothing”.  It’s a simple… Read More

With all the news surrounding China lately, I encourage you to watch this video from Ray Dalio, co-founder of Bridgewater Associates, the largest hedge fund manager in the world.  Ray recently retired from Bridgewater, and… Read More

Nat gas, short street name for Natural Gas, has crashed since December.  S&P GSCI Natural Gas Index provides investors with a reliable and publicly available benchmark for investment performance in the natural gas market.  The… Read More

In What is Trend Following? , I said,  Trend following is a directional trading strategy that uses price-based “technical” indicators to identify trends with the objective of gaining exposure to the direction of the price trend,… Read More

Someone on Twitter asked, “How do you define trend following?” My official answer:  Trend following is a directional trading strategy that uses price-based “technical” indicators to identify trends with the objective to gain exposure to… Read More

When I started testing and developing trading systems two decades ago, I didn’t approach it as the typical data-mining Quant, but instead as a trading practitioner. I was already a chartist and focused on directional… Read More

There are a few key return drivers for stocks and bonds, and the level, rate of change, and direction of interest rates is one of them.  Rising rates decrease the amount of money available, or… Read More

As investment risk managers, measuring risk involves many dimensions of risk of loss. Volatility indexes, for example, provide us with valuable insight into  investors’ expectations to big moves up or down.   Nations TailDex® is at a… Read More

Tactical traders and hedge fund managers seeking asymmetric hedging opportunities can use VXX and VIXY to capitalize on volatility spikes while maintaining limited downside risk. Since both ETFs track short-term VIX futures, they tend to… Read More