Sample Research Archive 2017 i
What Just Happened? The 'low volatility' short VIX trade is getting very dangerous. -14 June 2017
The idea that the widespread lack of volatility in equity markets means that risk is low is simply false. It has made selling volatility a crowded trade and if there is a rush to the exits it will be very painful for people who believe that this time is different.
What Just Happened? The FTSE 100 index shows that volatility tells you nothing about risk. -2 June 2017
Volatility in the FTSE 100 index is lower than it had been since June of 2005, but the tails of the return distribution have been fattening dramatically for the past 6 months.
What Just Happened? Fat Tails in the French equity market. -2 May 2017
The 'CAC 40's outsize surge in response to the French presidential elections is a perfect example of why fat tails matter. Low volatility of returns does not mean low risk when the tails of the returns distribution are fat. With the final election round only days away, the CAC 40 Index remains primed for large moves.
What Just Happened? Is the CAC 40 Index primed for a major move in reaction to the French elections? -17 April 2017
The 'European VIX' has just bounced off its all time low on French election jitters. But the CAC 40 Index has been showing signs of increasing risk for several months. The tails of 5-day returns on the Index are fatter than it has been since 1987.
What Just Happened? Is the VIX sleepwalking through another blow-off top? -15 March 2017
The 'fear index' is looking more and more like a complacency index.