CO Agriculture has entered Bear Mode. For details, check the Trend Mode Report.
Given recent market action – which asset classes are overbought/sold? Check out the O/O Report.
Top-sided Trend Space across asset classes. Trend Index at 95% and only CO Precious Metals in Bear Mode. For details, checkout report Trend Mode.
Author(s): Jens Jackwerth, Grigory Vilkov
Date: September 23, 2013
Abstract: Using non-parametric methods to model the dependencies between risk-neutral distributions of the market index (S&P 500) and its expected volatility (VIX), we show how to extract the expected risk-neutral correlation between the index and its future expected volatility. Comparing the implied correlation to its realized counterpart reveals a significant risk premium priced into the index-volatility correlation, which can be interpreted as the compensation for the fear of rising volatility during and after a market crash, i.e., fear of crash continuation for a prolonged period of time. We show how the index-volatility correlation premium is related to future market returns and explain its economics.
Contained 2M-movements across asset classes. Prepare for breakout. Check out the O/O Report, AssetClasses.OverBoughtSold.MT_20131002.