No, the VIX is Not Broken

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. First a Summary These charts list possible explanations for perceived VIX “brokenness” Complaint Market in Low Volatility State (21-day std dev close-to-close log returns < 10%) Market in High Volatility State VIX too high …

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Deciding What to do Next

Years ago I had a meeting with my manager regarding three projects that I was responsible for. Each of the projects had considerable technical problems, tight deadlines, and were short on resources. In the course of the conversation, I asked my boss what his priorities were on the projects. He said all three projects had number one priority. Aargh… Absent useful guidance from others, how …

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Goodbye VXXB, We Hardly Knew Ye

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 …

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Goodbye VXX, Hello VXXB

Update 2-May-2019 As Eli Mintz of VIX Central predicted, Barclays changed the tickers for VXXB and VXZB back to VXX and VXZ. This change is effective 2-May-2019. As I note below in the post, Barclays has done this sort of thing before to preserve the branding of a popular product. I doubt the ticker changes will fix one thing that Barclays lost with the VXX-VXXB …

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Precisely Forecasting Price Ranges with Volatility

Using a tool like Bollinger Bands® to forecast future price ranges is a time-honored technique but its calculations are simplified and in some situations flawed. Incorporating the log-normal nature of stock prices into the calculations gives better answers. One greed inducing aspect of volatility is that it enables us to make theoretically sound forecasts about the future.  It doesn’t matter whether it’s stock prices, annual …

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