Volatility Landscape: Storms over Europe—Again

With no government in place its hard to see how the Greeks can do anything, much less exit the Euro, but at least the Eurozone leaders appear to be moving past denial, shifting into anger.   A few links: Head of European Central  Bank says: “…unsustainable unless further steps are undertaken“ Goldman Prepares for Worst-Case Outcome in Europe “…examining all euro-denominated contracts“ One idea floating around, …

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The Volatility Landscape

I’m starting a new feature on my blog that will show up in my side bar—The Volatility Landscape.  In this space I will post alerts,  news,  predictions,  volatility ETN/ETFs that I think should be avoided, links to white papers/ newsletters, my wish list of volatility items, and a link to my Volatility Tickers master list of all US listed volatility funds. A few comments about …

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The Double Dip is Dead, but What About Volatility

March 9th marked the 3 year anniversary of the current bull market.  The S&P 500 has scored an impressive 110% run-up, and I think we can officially declare that the dreaded double dip recession didn’t happen. However for the buy and hold investor there isn’t a lot to celebrate.  We are still 16% below the S&P 500’s 2007 peak.  Not including dividends a January 1, …

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Backtesting the short term volatility spectrum

Update:  UBS terminated all of their ETNs except for XVIX on September 12, 2012.   They never gathered enough assets to be viable. Until recently if you wanted to be long or short on volatility Exchange Traded Products (ETP) your only choices were based on short term 1-2 month rolling volatility futures (e.g., VXX, TVIX, or XIV), CVOL‘s mix of the 3-4 month rolling index …

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Volatility contango—from the beginning

Bill Luby, of VIX and more, recently pointed out that the 1st / 2nd month volatility futures had recently set a record (now 70 days) for continuous time spent in backwardation—where the value of the 1st month is higher than the 2nd month.   Not just a trivia question, this condition has been feathering the pockets of those holding volatility ETNs like VXX / TVIX, …

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