Category: Volatility Expansion
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Why I’m not surprised to see such a volatility expansion
On November 15, 2019, I published “Periods of low volatility are often followed by volatility expansions” and included the below chart. The point is just as the title said, when stock prices trend up quietly,… Read More
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Expect wider price swings in a volatility expansion
I know, it sounds obvious, but yeah, expect wider price swings in a volatility expansion. The CBOE S&P 500 Volatility Index (VIX) is a popular measure of the stock market’s expectation of volatility based on… Read More
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What volatility expansions tell us about expectations for stock market trends
A volatility expansion implies that stock prices are expected to spread out more, as measured by the (VIX) CBOE Volatility Index. Currently, it’s at 28, which would imply a 28% expected volatility over the next… Read More
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19 is the new 20, but is this a new low volatility regime?
We used to say the long term average for the Cboe Volatility Index VIX is 20. Some would mistakenly say that VIX “reverts to the mean”, suggesting it is drawn to the average level of… Read More
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Volatility is trying to settle down
The Cboe Volatility Index VIX is back to its average of 15 over the past year, which implies volatility of 15% for the S%P 500 for the next 30 days based on options prices. Indexes… Read More
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Here comes the volatility expansion, but is the coronavirus outbreak in China to blame?
The Dow Jones Industrial Average is down 460 points and headlines mostly blame the coronavirus outbreak in China as it spreads around the world. A few headlines this morning: Stocks Tumble Around the World on… Read More
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How low can implied volatility VIX go?
Volatility measures the frequency and magnitude of changes, both up and down, that we experience over a certain period of time. When we speak of volatility in the financial markets, we necessarily mean the magnitude… Read More
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Volatility is expanding, a little
To no surprise, the CBOE S&P 500 Volatility Index that represents the market’s expectation of 30-day forward-looking volatility, is trending up. So far, it isn’t much of a volatility expansion, but it’s elevated somewhat higher… Read More
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How will the conflict with Iran impact global equity markets?
On December 30th someone tweeted the headline: IRAN WARNS U.S. ITS MIDDLE EAST DOMINANCE IS OVER AFTER NAVAL DRILLS WITH RUSSIA, CHINA I replied and shared the link to the Newsweek article about the threat… Read More
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Trump impeachment, Trump tweets, stock market trends, trend following, and volatility
When Donald Trump was elected the President of the United States the headlines read like this one from MarketWatch: Dow futures plunge 750 points as Trump takes key battleground states Stock markets are not handling… Read More