Category: VXX Trading Strategy
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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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Measuring the volatility expansion
To no surprise, we are observing a volatility expansion. I say it isn’t a surprise, because I shared my observation on July 28th in Is volatility setting up for an expansion? the following: I’m not going… Read More
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Expected Volatility Stays Elevated in 2018
In late 2017, implied volatility, as measured by the VIX CBOE Volatility Index, was at abnormally low levels. I pointed out many times that vol is mean reverting, so when expected volatility is extremely low… Read More