2017 was a historically low-vol year, rewarding options sellers despite selling lower option premiums as the year progressed. Like they…
Prices Are More Than Expectations This week I came across this tweet by @NewRiverInvest: Breakevens are not inflation expectations (thread) It explains how…
Trading Volatility: Correlation, Term Structure, and SkewColin Bennett http://trading-volatility.com/Trading-Volatility.pdf The book is a broad reference on basic option theory, dispersion,…
I'm about halfway through Colin Bennet's terrific book Trading Volatility, Correlation, Term Structure and Skew (pdf). Bennet is (or was) the…
In my short post Is Volatility A Risk?, I urged that any definition of risk: should be evaluated by its usefulness. Any…
The treasury issues EE Bonds that yield 3.5% guaranteed if held for 20 years. In the interim, they are totally illiquid.…
In some corners of asset management, marketers are offering to lock up your money to "save you from yourself". These…
Compounded returns experience "variance drain". This idea captures the fact that typical result of compounded returns is lower than if…
You will be working from home more often. Not all of you but many of you. That means browser tabs…
One of my favorite follows on #voltwit is @SqueezeMetrics. The account more colloquially known as "the Lemon" has a personal…