Sometimes an online option calculator isn’t enough and you’d like to implement the Black & Scholes (B&S) option pricing equations in Excel. If you’re just playing around it doesn’t matter how you structure the calculation. In fact, for clarity’s sake, it’s probably a good idea to spread out the calculation across multiple cells. However, if you’re planning to do some serious work with multiple B&S …
Hardly a month goes by without some pundit trumpeting that the VIX is broken. But before you worry too much, consider some of the non-obvious characteristics of the Cboe’s Fear Gauge. I often hear people in the finance industry saying that “The VIX® is broken”. The specifics of what they say varies a lot, but the typical pronouncements go something like this: These boil down …
Effective May 2nd, VXXB and VXZB, Barclays’ short- and medium-term volatility funds will be renamed to VXX and VXZ. This is a market maneuver by Barclays to recapture the brand value of the original, very successful, VXX and moderately successful VXZ products introduced in 2009. The original products matured in January 2019 so Barclays had to create VXXB and VXZB as replacement products. However, there’s …
The CME, a well-respected, USA-regulated futures exchange, has been trading BitCoin futures since December 2017. These futures make it possible to trade on Bitcoin’s value without being exposed to the uncertainties of the mostly unregulated Bitcoin exchanges. To understand Bitcoin futures you need to recognize, among some other things, that these futures are not in the business of predicting Bitcoin’s price. Bitcoin Futures are Not Trying …
Update UBS decided to shutdown their EVIX & EXIV long / inverse volatility funds that are based on the European VSTOXX volatility futures effective April 9, 2020 I suspect this occurred because they never gathered enough assets to be profitable. In May 2017 VelocityShares introduced two volatility funds, EXIV and EVIX, which track European volatility futures. In digging into these funds I’ve encountered a dense …
