Historical Volatility Rolling Indexes: 2004 — 2014

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 …

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A Brief History of Fear—VIX Over the Last 30 Years

One of the scariest things about market panics is their unpredictability.  All of us remember the dark days of 2008 and 2009, not so many the October 1987 crash.   For me, both of those crashes carried the same sense of disruption—the feeling that things would never be quite the same again. I’ve been looking at the history of volatility because it’s clear to me …

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