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Tag: Volatility

Derivatives
Investments & markets
We are currently in the unusual market situation called "market up, vol up", where volatilities go up while the market rallies. It is driven by retail...
Derivatives
Investments & markets
UBS got flack for recommending VIX ETFs to its clients. This suitability case has in fact deep roots in a significant ETF classification challenge: many product...
Derivatives
News
On February 5th, 2018 (Volmageddon) the volatility reverse ETF XIV lost 96% of its value in the space of a few hours. Its iNAV was also...
Investments & markets
News
This week saw some really unusual moves, 10Y repo, intraday volatility, stock rotations, A harbinger of more volatility to come?...
Derivatives
Investments & markets
Geode handles $700 bn of Fidelity's index tracking assets. Geode Diversified, the much smaller hedge fund business, took a 36% loss on COVID's volatility rally. It...
Derivatives
News
Infinity Q may be the new variance swap skeleton. The New York hedge fund has just been suspended by the SEC pending valuation of its variance...
Derivatives
Investments & markets
‘When you combine ignorance and leverage, you get some pretty interesting results.” Warren BuffettThree good notes from the derivatives research teams of Morgan Stanley, Société Générale,...
Derivatives
Investments & markets
GameStop's rally and its short squeeze are more than just market exuberance. Thanks to low-cost trading, employees working from home, and a Fed-induced market rally, retail...
Investments & markets
News
A good note from Ralph Sueppel on the relationship between market volatility and macroeconomic uncertainty....
Derivatives
News
Skew is well explained by the sum of TWO return expectation Gaussians. The model reviews these distributions and leads to an interesting market structure interpretation, with...