Volatility at Worlds End: Two Decades of Movement in Markets

Chris Cole of Artemis Capital Management has created something really amazing - a muti-media mashup of visualization of the term structure of implied volatility, and historical events over the last two decades. Check it out!

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.

OVX Futures Launch a Dud; GVZ futures back from the dead

Crude Oil ETF Volatility Index launched on Monday did not trade a single contract. Links to market data are absent from CFE website, but datafiles themselves are available:

• J (Apr 12)
• K(May 12)
• M(Jun 12)
• N(Jul 12)

Volatility futures markets were slightly down - unched from last week. VXEEM  futures traded almost 1000 contracts last week, but VXEWZ was struggling, trading only 157 contracts. Most surprising thing however was GVZ - GLD-based volatility contract launched almost a year ago, that has not traded a single contract in over half year trade one (1) contract on Monday. Probably someone made an error.