S&P500 Sector Correlations: The Spectrum of SPY Forward Returns and Volatility
In this post we explore how we use correlations and volatility to determine market risk and return profiles (reading time… Continue Reading
The Huge Implied-Realized Volatility Spread Part 1
$VIX is calculated at 21.53% as of the close on December 24th. Compared to March where it was calculated near… Continue Reading
VIX Backwardation PT3: The M1-M2 (VX1,VX2) Spread Risk
In our first two posts here and here about backwardation we described the fundamental meaning of an IVX backwardation. Namely… Continue Reading
DIX PT1: Measuring SPX Forward Risk by DIX Size
Everyone is talking about big DIX (Dark Index TM). DIX recently printed ~51%, the second biggest DIX observation in the… Continue Reading
The VIX, More Like Last Month or More Like Next Month?
In our last post: https://www.discretionarydystopia.com/mind-the-volatility-gap-spread/ We described that the VIX index should be thought of relative to historical volatility. And… Continue Reading