Seems that the cold came back here, nevertheless the coffe in Friday’s afternoon after work with TLBS is a must, not in the outside this time… thanks for another tremendous article!
Really educational - thanks for showing the correlation, and the importance, of VIX to ERP.
Now if only we had a crystal ball showing VIX closing prices for any given day.
Did you backtest these correlations during your research? I wonder if you could see VIX being tied more closely with ERP today than it was, say in the 2000s - or was the correlation always in the same band? Ie. has volatility trading become more prevalent in the last decade?
Thx for the great post, would you mind goin into details of constructing the fixed vol strike? That sounds a bit “unintuitive” to me compared to the concept of fixed strike vol.
This is really interesting. Would this imply that a drop in prices in spx accompanied by flat vix means the market is pricing in a deterioration in fundamentals? Maybe I need to re-read, but haven’t thought of the markets from this perspective before.
Such a nice post! Thanks Bear!
Any source where to find a fixed-vol strike chart of the market?
Seems that the cold came back here, nevertheless the coffe in Friday’s afternoon after work with TLBS is a must, not in the outside this time… thanks for another tremendous article!
Thanks Bear, how do you apply this to an individual stock? Do you use Std. Deviation, option spread or something else?
All the best!
Really educational - thanks for showing the correlation, and the importance, of VIX to ERP.
Now if only we had a crystal ball showing VIX closing prices for any given day.
Did you backtest these correlations during your research? I wonder if you could see VIX being tied more closely with ERP today than it was, say in the 2000s - or was the correlation always in the same band? Ie. has volatility trading become more prevalent in the last decade?
How did you normalize for Vix though? How mathy can it get?
Thx for the great post, would you mind goin into details of constructing the fixed vol strike? That sounds a bit “unintuitive” to me compared to the concept of fixed strike vol.
Crazy good!
This is really interesting. Would this imply that a drop in prices in spx accompanied by flat vix means the market is pricing in a deterioration in fundamentals? Maybe I need to re-read, but haven’t thought of the markets from this perspective before.