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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How Does VelocityShares’ ZIV Work?

Just about anyone who’s looked at a multi-year chart for a long volatility fund like Barclays’ VXX has thought about taking the short side side of that trade. VelocityShares’ ZIV is an Exchange Traded Product (ETP) that allows you to hold a short volatility position while avoiding some of the issues associated with a direct short position in VXX.  Because ZIV is tied to VIX …

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Free Bitcoin/Bitcoin Futures/GBTC Quotes, Charts, & Historical Data

Finding quotes and historical data for Bitcoin, Bitcoin futures, Bitcoin options can be an adventure.  Below I’ve assembled links to the online resources that I’ve been able to find. In many cases, data is available from multiple sources.  I did not attempt to list all of them. BTC Quotes Yahoo Finance (BTC-USD) Does not identify which exchange (s) it is using Shows market cap, supply, volume …

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A Better Way to Model the VIX

Models are useful. They help us understand the world around us and aid us in predicting what will happen next. But it’s important to remember that models don’t necessarily reflect the underlying reality of the thing we’re modeling. The Ptolemaic model of the solar system assumed the Earth was the center of everything but in spite of that spectacular error, it did a good job of …

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One Reason Why the New VIX Calculation is Better

The CBOE changed the way the VIX® was calculated on October 6th, 2014—asserting the change would provide a more accurate assessment of expected volatility.  The new process does look better to me, but I’ve been surprised that the new VIX and the old VIX (listed as VIXMO) sometimes differ by as much as plus/minus 10 percent. Disagreements between the two indexes are not due to …

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