Weekly market update and results summary

In November of last year I published a post demonstrating that using VIX + normal distribution, or +/- 1 std 68% rule is far far different from real distribution of short-term SPX returns. To validate this, and demonstrate concrete results to the readers I started publishing weekly market forecasts where I predict 50% confidence intervals for the next trading week. If my methodology was well calibrated we would see SPX finish the week inside the range 50% of the time, and 50% outside of the range - this what 50% confidence range means. 

Last week I wrote that after 2 months ( 8 forecasts ) we can start looking at the data and drawing conclusions. The results are in: 4 out of 8, or 50%, which is obviously the best result I could hope for. 

In the following weeks I plan on starting publishing 50% confidence ranges for cryptocurrencies as well; I think some readers will find this helpful for their trading. If you are looking to trade crypto options there is no better exchange than Deribit about which I wrote many times. The exchange has 90% market share of all crypto options volume, and is the most advanced in terms of technology and API integration.

 

 

DBCVIX Index

Deutsche Bank Currency Volatility Index was developed to provide an implied volatility benchmark for major currency markets. The index is designed to represent investors’ expectation of future volatility, and is calculated as the weighted arithmetic average of the 3-month level of implied volatility for 9 major currency pairs - with weights:

1. EURUSD 35.90% 
2. USDJPY 21.79% 
3. GBPUSD 17.95
4. USDCHF 5.13% 
5. USDCAD 5.13% 
6. AUDUSD 6.41% 
7. EURJPY 3.85% 
8. EURGBP 2.56% 
9. EURCHF 1.28% 

IVs are calculated at 4pm London BBA fixing, with the weights corresponding to the average daily turnover in each cross. 

Unless you have access to Bloomberg, the only source for the data is CNBC website.

Here are 2 files: 1 year of daily data, and 5 years of weekly data. Enjoy!

364 days, almost one year since the full-scale invasion, but russian soldiers have been killing Ukrainian citizens in Crimea and Donbas since 2014. In occupied territories russian have created concentration and torture camps. 

"Izoliatsiia" is best known for its system of cruel physical torture which is applied to prisoners of all ages and genders. The most common method of torture is exposure to electricity. A newly arrived prisoner is immediately lowered into the basement, stripped naked, tightly taped to a metal table and connected to two wires from a field military phone. Then water is poured over the person and electric current is released. Among the prisoners of the concentration camp, one is considered to be lucky if the wires are tied to one’s fingers or ears. More often, one wire is connected to the genitals, and the second is inserted into the anus.

Source

This is what is at stake, this is the russian plan for Ukraine, this is what we are fighting for. Readers from USA, Canada, Europe, and others - thank you for supporting Ukraine!

 

Weekly market update

Wall Street experienced mixed results on Tuesday, with the S&P 500 falling by -0.28% and the STOXX 50 rising by 1.83%. The VIX and VSTOXX fell by -0.51 points and -1.24 points, respectively. The Nikkei 225 experienced a slight dip with a fall of -0.57%, while the VNKY fell by -0.82 points. These results occurred despite strong supplier-level inflation.
This could indicate that investors are confident in the market's ability to weather rising prices and remain stable in the near term.

 

 

 

 

I have been publishing weekly ranges for nearly 2 months now, probably it is time to look at the results of this experiment and make some conclusions. Unfortunately I did not keep a spreadsheet for the forecasts, so will have to enter them manually. Until next week!

Weekly market update

The stock markets had a turbulent week, with the S&P 500 falling by 1.11% and the STOXX 50 dropping 1.41%. The VIX rose 2.20 points to 20.53, while the VSTOXX rose 3.71 points to 20.47. 

The rebound in stocks appears to have lost steam, but the metal markets have been boosted by China's reopening and tight supplies. Despite the overall market pessimism, there may be potential for investors to capitalize on the tight supply and increasing demand for metals.

Weekly market report

 Wall Street had a strong week as major indices rose, with the S&P 500 up 1.62% and the STOXX 50 up 1.91%. This was largely driven by the tech sector, with the Nasdaq surging thanks to gains in tech stocks. Travel stocks also enjoyed strong gains as they recovered from pandemic struggles. Additionally, private equity firms are tapping into insurers' cash reserves to accelerate growth. The VIX and VSTOXX both fell, by -0.18 points to 18.33 and -0.53 points to 16.76 respectively.