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.
Calendar #Backspread: $JWN sell NOV13 55 calls @ 2.52, buy JAN14 65 calls @ 0.29, ratio 8.4. Event P&L / Max Risk 15.2. #options
Contained 2M-movements across asset classes. Prepare for breakout. Check out the O/O Report, AssetClasses.OverBoughtSold.MT_20131002.
Profit Protection Overlay: protect profits in EQ China, $FXI. Sell underlying and purchase #options FEB14 41 calls, ppo.
Profit Protection Overlay: protect profits in EQ US Financials, $XLF, roll #options DEC13 19 calls to DEC13 20 calls. PPO details.