VIX: Pushing-In and Pulling-Back
Posted in Market Comments on Mar 26th, 2011
A quick review of a the VIX term structure as it stands now compared to start of year prices.
Tag Archive 'VIX'
Implied Volatility Squared
Posted in Analysis, Article Review, Market Comments on Mar 14th, 2011
VIX is a market estimate of expected volatility measured over S&P 500 options. But how does the implied volatility of a volatility estimate vary over strike range and term structure? This article reviews VIX’ smiling smirk and the reasons for its formation.
Tricky VIXy
Posted in Analysis, Market Comments on Feb 25th, 2011
VIX is moving again and, as in her habit, she is moving hard and fast. If you like that kind of rough tumble action then this post might give you some insights into her enticing curves.
A VIXen Curve
Posted in Analysis, Market Comments on Feb 5th, 2011
There are few things nicer in the early hours of the morning than seeing a smoothly convex term structure (or maybe that’s just me). This article reviews the progress over the VIX term structure and, what appears to be, some progression from steepness to smoothness.
The Contango Price Back
Posted in Market Comments on Jan 30th, 2011
Understanding the VIX Contango can give some insights into the potential of future uncertainty sentiment. This post reviews a VIX contango hedge.
VIX Breakout Over Friday Trading Period
Posted in Market Comments on Jan 30th, 2011
The VIX has given us one of its characteristic break-outs last Friday. It will be interesting to see how volatility therefore gets priced back to the underlying S&P500 benchmark over the next few days.
Chart of the Month: VIX Volatility Planes and S&P500 returns
Posted in Analysis, Market Comments on Jan 15th, 2011
Graph of the month or, probably more accurately, of the the year gone by: an Artemis Capital render of the 2010 VIX curve and S&P500 returns.
