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
Finance
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
Mind the Volatility Gap (Spread)
VIX is f***g high right? How high is VIX? The blue line on the histogram is VIX as of close… Continue Reading
Liquidity Risk PT2
In our last post, https://www.discretionarydystopia.com/liquidity-risk-pt1/ we highlighted how liquidity risk relates to our every day lives. In this post we… Continue Reading