Apr 10, 2012

Artemis Capital Management - Volatility at World's End

Christopher Cole just released his latest research letter titled "Volatility at World’s End: Deflation, Hyperinflation and the Alchemy of Risk"

Main topics addressed:
Central Banks, and monetary regimes influences on equity and volatility markets.
Vol/Vol of Vol risk premiums implied by the term structure of volatility futures.
Implication of inflation on stock markets - the right tail risk.
TVIX debacle.

2 comments:

  1. Anonymous4/10/2012

    can you please post a pdf. googledocs is blocked @work

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  2. Hi ~,
    Thanks for posting this. Most of it makes sense to me, but can you explain the logic behind the short interest on VXX vs monetary expansion graph? Since VXX just started in 2009 this seems to be a ridiculous comparison, not to mention that the two curves don't even look that correlated.

    -- Vance

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