The Huge Implied-Realized Volatility Spread Part 1
$VIX is calculated at 21.53% as of the close on December 24th. Compared to March where it was calculated near… Continue Reading
General
VIX Backwardation PT3: The M1-M2 (VX1,VX2) Spread Risk
In our first two posts here and here about backwardation we described the fundamental meaning of an IVX backwardation. Namely… Continue Reading
DIX PT1: Measuring SPX Forward Risk by DIX Size
Everyone is talking about big DIX (Dark Index TM). DIX recently printed ~51%, the second biggest DIX observation in the… Continue Reading
The VIX, More Like Last Month or More Like Next Month?
In our last post: http://www.discretionarydystopia.com/mind-the-volatility-gap-spread/ We described that the VIX index should be thought of relative to historical volatility. And… Continue Reading