Originally posted 10-Jan-2012 One forecaster has correctly predicted the S&P 500 year-end close within an average of 2% for the last 4 years: Year End Estimated Actual % Difference 31-Dec-08 879.82 903.25 +2.66% 31-Dec-09 1111.92 1115.1 +0.286% 30-Dec-10 1211.92 1257.88 +3.79% 30-Dec-11 1248.29 1257.60 +0.75% 31-Dec-12 1418.30 ?? This forecast is not from a human, or a computer program—it’s the year-end closing value …
Since the CBOE’s introduction of Weekly options, our opportunities to take advantage of expiration day dynamics have quadrupled for many stocks/indexes. Depending on your position, it is fascinating/horrifying to watch the premium collapse on options in their last couple hours of trading. Jeff Augen in SFO weekly has written an interesting article (New Approach to Trading on Expiration Day) on some of the underlying mechanisms behind …
One of the persistent characteristics of the CBOE‘s VIX® index is the Christmas Effect—the tendency for VIX to drop down to relatively low levels during the Christmas holidays. The CBOE’s VIX volatility December futures predict this drop for months in advance, and it has come to pass again this year. I am aware of at least three possible explanations for this: Option market makers and others …
Based on searches that lead people to Six Figure Investing, these are the top 11 questions people ask about dividends: When is XYZ’s ex-dividend date? This information can be hard to find. Some companies provide the entire year’s dates on their webside (e.g., iShares), others like Vanguard only reveal the information a few days before the ex-dividend occurs. I have summarized / estimated ex-dividend dates …
If your interests are related to the simulation / backtest of volatility exchange-traded products like VXX and XIV, then you should review the products I have listed here. While the indexes discussed in this post can be used to compute the prices of the volatility ETPs it is not an entirely straightforward process. I have generated both the Excess Return (ER) and Total Returns …
