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//What is a Volatility Shock? What Causes Them? Why Should I Care? //

Bryan StrainFree Educational Video, General Investing, Options, Stock Market, VolatilityLeave a Comment

If you are an investor in the stock market, you should care, and this is why. A volatility shock occurs when there is a sudden and drastic change in the CBOE Market Volatility Index (VIX). On February 5th, 2018 a volatility shock occurred and $1.837 Billion was lost in trading with just one asset according to Bloomberg and on top of … Read More

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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