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//Interesting Volatility Research //

Don FishbackVolatility

Interesting article at Alpha Architect about two research papers pertaining to volatility. The first has to do with idiosyncratic volatility (“IV”), and how higher IV leads to short-sale contraints, which leads to overvaluation, and subsequent bigger declines. Research that I performed last year confirmed that stocks with the biggest short sale contraints fell the hardest. By looking for stocks with the … Read More

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//Record Increase In The Volatility of Volatility //

Don FishbackVolatilityLeave a Comment

We all know that volatility picked up in a big way when Trump tweeted that fateful Sunday morning. And although the increase was large, it was nowhere near a record by any measure. But what about the volatility of volatility itself? Did volatility start to fluctuate more than normal? Now remember, implied volatility is the expectation of what volatility is … Read More

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//Freakish Volatility: Another Confirmation //

Don FishbackVolatilityLeave a Comment

A recent Bloomberg article confirms the fragile condition of the market. Don’s recent post talked about how algorithmic trading is causing a lack of liquidity that contributes to volatility spikes. This article confirms that the volatility spikes are occurring without the simultaneous spikes in stock volume that you might usually expect. The author, Rachel Evans, highlights the negative correlation between … Read More

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//Strange Things Happening in Europe //

Don FishbackStock Market, VolatilityLeave a Comment

Two strange things are going on in Europe. As the chart below shows, there has been a big increase in the quantity of government bonds that have a negative yield. The big bear market that hit US stocks in the 4th quarter of last year has had a huge impact on rates both in the US, and especially in Europe. … Read More