Week In Volatility

Volatility News:

Equity markets up, volatility indexes down -  no need to regurgitate old news, just summarize the stats: VIX fell 2.77 , VSTOXX  lost 4.39, VNKY is the only index that has gained 0.13 - I am planning a post analyzing the complete divergence of VNKY from other vol indexes... Speaking of  Technical glitch created bad price for Nikkei Volatility Index on Mar 4th

Two books coming out in the second edition: Volatility Trading by Euan Sinclair and Inside the Black Box by Rishi Narang. I wrote before about Volatility Trading; Rishi Narang's book is not volatility focused but covers quantitative strategies in detail, and specifically explains how strategies interact, and under which circumstances they succeed or fail, what quantitative strategies can accomplish and what they cannot. It is a straight-forward non quantitative book that is meant to provide an overview of quant trading ecosystem without technical jargon.

























1 comment:

  1. Anonymous3/14/2013

    Could help me here, please.
    If the VIX March futures are no longer accounted for VIX spot calculation, April and May are in play, why at the March futures expiration, on March 20th, its price must be equal to the SPOT VIX? Is it mandatory, or could the market close on the 20th, with the VIX SPOT > March Future?

    Thanks,

    José Fonseca

    ReplyDelete

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...