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Recovery from the Tech Crash v.s. the Great Recession

Since November 2009 I have been tracking the sometimes eerie day to day correspondence between the current value of SPY and its value 6 years ago.    In 2011 the market moved up strongly in the first half, a performance considerably stronger than its counterpart 6 years ago.  No double dip, no “square root.”   This has been a powerful bull market. . .. . .. . …

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XIV termination

UPDATE Credit Suisse terminated XIV due to a greater than 80% drop in its indicative value on 5-Feb-2018.  The final payout was $5.99 per share.  The last day of trading was the 15th of February 2018. In the prospectuses for  XIV, there are some disconcerting discussions about termination events. For XIV the termination event is triggered if the daily percentage drop exceeds 80%. I did …

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VIX Term Structure

Anyone that follows volatility closely knows that short term views on volatility are much more dynamic than longer term. For example, if the market is moving from a dip into a “V” style recovery the CBOE’s 9 day expectation of volatility VXST, will drop much more than the 30 day VIX. A chart showing volatility expectations vs time is called a volatility term structure.  The …

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