First off, let me apologize to all my readers for infrequent posting. I was very busy moving to NYC and just did not have the time to follow up on all the news in the volatility universe or questions that you emailed me. Also, I would like to thank my friend Ethan for all his help.
Last week vixandmore wrote two excellent posts about stress indexes, namely St. Louis Fed Financial Stress Index and Kansas City Financial Stress Index, here and here. I previously mentioned STLFSI and its relationship with VIX here.
I don't have any criticism for the indexes, however I think that practically they are useless - STLFSI is published weekly with at least one week lag (right now the latest release is dated 9/24/2010), and KCFSI is published once per month. If you're trading, such delays are simply impractical, and reconstructing indexes from raw data to create daily values seems like a lot of work.
Good luck traders, and hedge your deltas!
Weekly market report
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
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As I am sure all of you know Russia has began a full scale war against my home country Ukraine. Please make no mistake - Putin's goal ...
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Many investors are looking at VIX and VSTOXX indexes as a leading indicators of volatility in equity markets, however many are confused by t... -
Wall st delivered a mixed bag of news with VIX, VNKY, and VSTOXX and their underlying markets almost unchanged. VXD - volatility index based...
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