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.
Tag Archive 'Volatility'
The Egyptian Stock Exchange remains closed to this date despite increased domestic stability. This is disconcerting given the external interest shown in a resurgent and democratic Egypt. Markets should be open and able to price both downside risks and upside potential.
Events in the Middle East are proving exciting to both political and market watchers globally. The rise of democracy is both a fruitful base for economic development but also, potentially, a new a source of uncertainty that must be priced-in accordingly. However, Egypt’s relatively peaceful political transition may just prove to be the right base to build upon, both economically and politically, for the coming century.