This is a summary of links featured on Quantocracy on Monday, 10/31/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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Slava Ukraini! Latest from Quantocracy contributor in Ukraine: Volatility and Price of a Straddle, Are They The Same? [Only VIX]Yesterday I found another piece of ignorance on Medium: Stop Watching The VIX, Just Make Your Own tl;dr : Just use ATM straddles. This is of course not correct. As I have written before on this blog that (skipping mathematical rigor) the value of ATM straddle is or about 80% of the expected volatility. So if SPY = $400 and VIX = 20, the expected volatility is $400 * 20/100 = $80, then 1 year ATM
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Volatility-based Equity Allocations [Finominal]The VIX currently trades within its top quartile since 1990 Using volatility to time equity allocations is a widely used strategy However, it is challenging to pursue this over the long-term INTRODUCTION The One Ring from J.R.R. Tolkiens Lord of the Rings saga is a plain gold ring unless it is thrown into a fire, when Elvish runes appear that roughly translate into One Ring to rule them all,