Monthly Archives: August 2011

Waiting For Godot: Implied Volatility Is Realised Volatility

Implied volatility in the VIX, which is calculated to measure the expected range of movement over the next 30 days, is really mostly backward looking.  In fact, when contrasted with ATR-15 (Average True Range), we find that it is nearly … Continue reading

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The Fat Pitch

On August 17th, 1998, the Russian government, decimated by falling oil revenue resulting from the Asian financial crisis, devalued the ruble, defaulted on its domestic debt, and declared a moratorium on payment to foreign creditors.  The S&P 500 was almost … Continue reading

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The Continuing Middle Case

Bewildering to bulls and bears alike:  Despite the persistent private economy slack, many economic data points are downright V-shaped.  Coincident indicators with a high signal value like the ISM surveys reflect the likely middle case, weak (0-3% real GDP) economic … Continue reading

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