This is a summary of links featured on Quantocracy on Thursday, 03/26/2020. To see our most recent links, visit the Quant Mashup. Read on readers!
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Correlations go to One [Alvarez Quant Trading]There is a saying: in bear markets correlations go to one. I wanted to see how true that is for both stocks and a basket of ETFs. Now they dont go to exactly one, not that I expected that, but they take some large steps towards one. Definitions When calculating correlation, I am using the daily percentage move of the stock. When I give a date range, the last day of the range is the day
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Correlation Between the VVIX and VIX indices [Relative Value Arbitrage]The VIX index is an important market indicator that everyone is watching. VVIX, on the other hand, receives less attention. In this post, we are going to take a look at the relationship between the VIX and VVIX indices. While the VIX index measures the volatility risks, VVIX measures the volatility-of-volatility risks. Its calculation methodology is similar to the VIXs except that instead of