Category: Volatility Expansion
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When Volatility Gets Asymmetric
Realized volatility has reached an extreme low. See the implications at Volatility Expansions Eventually Follow Periods of Low Volatility. Read More
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Using Volatility for Asymmetric Risk Reward
Volatility trading may be used for asymmetric risk/reward when the odds are in our favor. That’s the proposition of: What Does a Volatility Contraction Mean? Read More
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Expected volatility for the S&P 500 is fading
Expected volatility for the S&P 500 is fading. A CBOE Volatility Index (VIX) level of 15.78 signals the market expectation for annualized vol over the next 30 days has now declined to 15.78%. Options speculators… Read More
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The stock market uptrend is strong, but it’s entering a higher risk level
The year 2020 has been quite a ride for most of us. It started out with the stock indexes trending up, then collapsing over -30% in March. Now, the stock market proxies are reaching new… Read More
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Volatility, Put/Call Volume, and such
I see some hedging demand in the options market. The ratio between Index puts and calls doesn’t get much higher than this. The CBOE Index Put/Call Ratio is elevated at 1.86, indicating probable hedging in… Read More
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So far, 2020 has shown us some fine examples of risk, investor sentiment, divergence, and volatility
Implied volatility, as measured by the CBOE Volatility Index (VIX) has trended up about 50% since the most recent low on June 5th. I’ll call it a moderate volatility expansion. Normally a volatility expansion from… Read More
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A new volatility expansion
And just like that, we have another volatility expansion. Yesterday, in Global Macro: Volatility expands and divergence between sectors I suggested “It is likely we’ll see a volatility expansion from here.” Indeed, with the VIX and… Read More
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Global Macro: Volatility expands and divergence between sectors
Implied volatility is mean revering in some ways. Volatility expands and contracts, so it oscillates between a higher level an a lower range. I was monitoring various measures of volatility, such as the CBOE Implied… Read More
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Volatility contraction, sentiment shifts, and most are participating in the uptrend
On February 6th, I shared and observation in “19 is the new 20, but is this a new low volatility regime?” the lower level of implied (expected) volatility at the time may be driven by two… Read More