Neutral is the New Bearish
Some of the most widely-watched someones – strategists at major banks and asset managers who release price targets each year – are included here with...
Author : Condor Options
VIX Portfolio Hedging (VXH) Strategy 2013 Performance Review
In 2013, being maximally long stocks was the only game in town, and investors who sought the safety of hedging strategies lagged unhedged indexes. As...
Dispersion and Stock-pickers’ Markets
“[W]hat does it mean to say that a particular index (or portfolio) is diversified? Or more diversified than another, or more now than it was...
The Rally No One Saw Coming
I was honored to be included again in Business Insider‘s quarterly review of important charts. My contribution is below, and you should click through for...
How Constant Maturity Indexes Can Mislead You
A constant maturity index of implied volatility provides a point estimate for IV at a specific time to expiration – for example, 30 calendar days...
Option Value as a Function of Downside Beta
The chart below shows the relative attractiveness of major ETFs for hedging and speculative trades based on their market beta and implied volatility. Specifically, the...
Euro Option Volatility Hits the Lowest Level Since 2007
Developed market (ex-Japan) 2Y percentile ranks for 3M IV are all below 20%. Option premiums rose slightly for the week for the S&P 500 as...
The Gamma Problem for Straddles, Or Why VIX Futures Are Necessary
One of the frustrating things about buying straddles is that the more correct you are, and the more quickly you are proven correct, the more...
Covered Call Indexes Around the World
Would you have been better off selling covered calls over the last few months, or just buying and holding the underlying asset? The following chart...
VT: Sector Volatility and Relative Value, Correlation and Convexity, and VIX
Equity sector volatility monitor: The left half of the table above shows price levels, price changes over the past week and month, and six month...