Spx had a rather long streak of low volatility. There is no predictive value or signal here, i just wanted to eyeball & visualize how long the low vol streak lasted and how it compared to other low vol streaks. Here are all the Spx low vol streaks (close to close change > +/-1%) that lasted

While seeing some “sell in may” headlines a while ago, thought i’d pull up the monthly mean returns for spx and vix. I wanted to see them on an even keel, so that each month starts at 0%, to better gauge their monthly behaviour 1 2 3 4 5 6 7 8 9 import pandas as pd import numpy as np import

Well, Its here, spot Vix close below 10. From what i read from the web, people are piling into short vol strategies on an escalating scale. I suspect unwinding of that trade will be rather brutal. I wish good luck to every short vol trader out there and dont forget to wear a helmet 🙂 1 2 3 4 5 6 7

This monday, we were witnesses to a rather large decline in Vix. Taking a quick look at how often drops like this happen and how has Vix behaved after large single day drops 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 import pandas as pd import numpy as np import matplotlib.pyplot as plt import

Since today is Fed day, i thought id take a look at how rate decisions have affected Vix. Vix data starts from early 90’s so we’ll have start from there. 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 import quandl import pandas as pd import numpy as np import matplotlib.pyplot as plt import seaborn

Nothing quantitative here, just taking a look at how the AAII setiment has been when Spx is making new 21 week rolling highs. The recent AAII setiment has turned siginificantly negative even as Spx is plowing up and wanted to see when has that happened in the past.

Spx is on a low volatility streak, taking a look at how long the streaks usually last and how the current streak relates to past instances. Also looking at Spx returns once the spell breaks – as do probably most others, i expected volatility to pick up, that does not seem to be the case. Bill Luby

As of yesterday (25’th january 2017) Vix Term Structure closed at 0.794. By Vix Ts im mean the ratio between 1 month and 3 month implied Spx volatility. Taking a quick look at what low Vix Ts values have meant for Vix returns going forward and run a bare bones backtest to gauge the initial

Taking a look at Vix single day spikes, since there have been two rather significant and rare single day spikes of 39 and 49% in 2016. Note im not talking about Vix daily swings, but single day spikes from close to close. The intention here is to gauge how Vix has historically behaved after

A quick look at annual returns over the 100+ years of daily percent change (close to close) data that we have on dow jones 1 2 3 4 5 6 7 import matplotlib.pyplot as plt import pandas as pd import numpy as np import datetime dj = local_csv("DjiaHist.csv", date_column = "Date",