Tags » Volatility

Explaining Low Vol In Dollar Terms (Literally)

Via Nedbank, h/t Mehul Daya

Globally, across asset classes, volatility remains compressed. This despite record high levels of political uncertainty and the prospect of the US Federal Reserve raising interest rates (and thereby shrinking its $4.5tn balance sheet later this year). 433 more words


Kolanovic Warns Of "Market Turmoil," "Tail Risks" As Gandalf Ruins Your Friday

It’s one prominent voice right after another these days.

Seemingly everyone is now concerned that the lull in markets (as evidenced by suppressed vol. across assets, record high stock prices, and still tighter tights in credit) will invariably end in tears. 236 more words


Bond Valuation

Introduction to Bonds

  1. Bonds are Long Term Debt Securities, that are issued by Corporations and Government Entities
  2. Purchasers of Bonds receive Periodic Interest payments, called…
  3. 1,477 more words

One Chart Shows The Stunning Disconnect Between Markets And Reality

Earlier, we brought you some excerpts and visuals from what one might call Goldman’s “magnum vol-pus” on the low vol. regime entitled “The upside of boring: Risks & asset allocation in low vol regimes.” 152 more words


Goldman Asks: How Long Can The Market Stay 'Boring' And When Will Volatility Spike?

We’ve been pretty keen on noting the market’s veritable obsession with low volatility.

Indeed, at least one analyst has dubbed it a “VIX-ation.”

It’s evolved (or maybe “devolved” is better) into a game of one-upmanship among analysts and on Tuesday evening, Goldman delivered their “ 665 more words


An Out of Sample Update on DDN's Volatility Momentum Trading Strategy and Beta Convexity

The first part of this post is a quick update on Tony Cooper’s of Double Digit Numerics’s volatility ETN momentum strategy from the volatility made simple blog (which has stopped updating as of a year and a half ago). 952 more words