This is a summary of links featured on Quantocracy on Thursday, 03/28/2019. To see our most recent links, visit the Quant Mashup. Read on readers!
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Differences Between the VIX Index And At-the-Money Implied Volatility [Relative Value Arbitrage]When trading options, we often use the VIX index as a measure of volatility to help enter and manage positions. This works most of the time. However, there exist some differences between the VIX index and at-the-money implied volatility (ATM IV). In this post, we are going to show such a difference through an example. Specifically, we study the relationship between the implied volatility and
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An End of Quarter Edge [Quantifiable Edges]It is worth noting that Friday is the last trading day of the quarter. And the last day of the quarter has some interesting characteristics. I often hear the term window dressing mentioned by the media when referring to end of quarter activity. The suggestion is that fund managers will make late adjustments to their portfolios, in order to make them appear more attractive. So their list of