Category Archives: Uncategorized

Correlation Between SPX and VIX

Last week, many traders noticed that there was a divergence between SPX and VIX. It’s true if we look at the price series. Graph below shows the 20-day rolling correlation between SPX and VIX prices for the last year. We can … Continue reading

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Correlation Breakdown

The US equity market just reached new highs, and it broke many records.  For example, Bloomberg reported that the US market had not been overbought like this in 21 years. The S&P 500 Index’s superlative start to 2018 is making … Continue reading

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Goldman Sachs Expressed Concerns About the Growth of Volatility Exchange Traded Products

We have written about how the increase in popularity of VIX-related Exchange Traded Products could impact the financial market: Is Volatility of Volatility Increasing? What Caused the Increase in Volatility of Volatility? Recently, Goldman Sachs derivatives analyst Rocky Fishman expressed … Continue reading

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Most Important Investment Lessons of 2017

On this last day of 2017, we are going to list some of the most important lessons of the year. In May, Paul Singer of Elliott Management laid out some of his major investment lessons in his letter to investors. … Continue reading

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Mean Reverting and Trending Properties of SPX and VIX

In the previous post, we looked at some statistical properties of the empirical distributions of spot SPX and VIX. In this post, we are going to investigate the mean reverting and trending properties of these indices. To do so, we … Continue reading

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Liquidity Risk and Exchange Traded Funds

The sell-off in the high yield bond Exchange Traded Funds space last month reminds us of an important risk factor: liquidity. But what exactly is liquidity risk? According to Aleksander Kocic, derivatives strategist at Deutsche Bank AG, Liquidity transforms the … Continue reading

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Interview with Robert Shiller, 2017 Truman Medal Recipient

Robert James Shiller  is an American Nobel Laureate, economist, academic, and best-selling author. He currently serves as a Sterling Professor of Economics at Yale University and is a fellow at the Yale School of Management’s International Center for Finance. Shiller … Continue reading

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