What’s as good as gold, but potentially much more volatile?
The Swiss franc.It has indeed often been cited as being as good as gold.But while, on the surface, its similarities with the yellow metal might seem obvious, there is one very...
Crouching Vix, hidden volatility
As FT Alphaville has written before, the volatility is out there.You just have to look for it — and not by glancing at industry-standard, the CBOE Vix index.A point aptly...
Reader Q and A: Straddles and Implied Volatility
Right before the close last Wednesday I placed an ATM straddle that proved to be profitable and I closed it after the IV spike on Thursday. I shouldn't have come back for more, but I placed another ATM straddle Monday before the close and even with the...
Reader Q and A: Straddles and Implied Volatility
Right before the close last Wednesday I placed an ATM straddle that proved to be profitable and I closed it after the IV spike on Thursday. I shouldn't have come back for more, but I placed another ATM straddle Monday before the close and even with the...
Silver Implied Volatility Rises Over 50
Yesterday, in the awkwardly titled Is Volatility a Better Play for Silver than Direction? I noted that silver implied volatility had managed to push to heretofore unseen heights and argued that future projections based on SLV options prices had led to ...
Silver Implied Volatility Rises Over 50
Yesterday, in the awkwardly titled Is Volatility a Better Play for Silver than Direction? I noted that silver implied volatility had managed to push to heretofore unseen heights and argued that future projections based on SLV options prices had led to ...
[FOW Amsterdam] Vix wagging
What do dividend futures have in common with the Vix, and Vix futures?Our hypothesis: both have seen excessive demand from structured products desks skew price discovery in their markets....
Chart of the Week: Historical Volatility Plummets in Seasonal Swoon
‘Tis the season for the annual holiday effect in which historical volatility (HV) has a strong tendency to plunge and drag implied volatility down with it. This is a subject I have tackled on a number of occasions in the past (see links below) and is...
Risky business in correlation and volatility
Don’t short schadenfreude yet – it’s still tough at the hedgies.From Reuters on Tuesday:The average hedge fund inched up 0.2 percent last month [on the Hennessee...
