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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What Caused the Volatility Tsunami on 5-Feb-2018?

In the afternoon of February 5th, 2018, what looked like a bad day for a group of high flying volatility-based products turned into a devastating decline.  Four factors combined to ruin their day: A Flawed Architecture Relying on the Past to Predict the Future Billions Under Management A Record-Breaking VIX® spike Twenty-five minutes before the close of the New York Stock exchange on February 5th, …

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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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