I used to review activity in the volatility futures markets and indexes every week. Now that I have more time I decided to update the charts, and write the commentary, but I spent a lot of time just automating the chart generation. Also, international volatility futures - VSTOXX, VNKY, VHSI, and RTSVX are yet to be added. Meanwhile I suggest readers check out a new page on this blog - Volatility Bookshelf, where I recommend the books to read and few to skip. If you have any suggestions, add them in the comments, or send an email.
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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If you're working with daily data (without access to intraday data) and need to calculate volatility, then using close-to-close squared ... -
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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Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is d...
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