Monthly Archives: January 2012

Indicator Update

Here at Macrofugue, we occasionally publish some charts from our pool of proprietary indicators. Realised Volatility Premium, which is simply Realised Volatility net of Implied Volatility: When this value goes positive, it has presaged increases in implied volatility — as … Continue reading

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(Folly of) Forecasting the Year Ahead: Annual Volatility

Since 1957, the S&P 500 has had a low-to-high average mean range of 27.61% (or a median of 24.05%).  The highest was 92.33% – which we say in 2008.  The smallest was 9.76% – which we saw in 1993. So, … Continue reading

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