Wednesday, November 30, 2016

OPEC cuts oil production!

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It seems the mass media just can't get it right. First they were wrong about the Brexit vote (Leave!), then the presidential election (Trump!), and now OPEC's decision to cut (Cut!).  At one point today Brent Crude futures were trading over 10% on OPEC's decision to cut production by about 1.2 million BPD. This was OPEC's first cut since 2008.




Wednesday, November 09, 2016

Donald Trump won the presidency

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Today was a historic day for the United States, with Donald Trump becoming the 45th president of the United States. With almost all of the online presidential polls indicating Hillary was going to win with about 85% odds in her favor(with notable exception Nate Silver) , things were looking like a done deal for Hillary and the Democrats. Things started to change as soon as the voting had stopped in Florida and the tallies started coming in. It was apparent as soon as Trump gained traction in Florida that the market was reacting negatively.  As time went on and Trump gained  in Indiana and North Carolina the market reacted much more negatively, so much so that ES ultimately touched limit down (-5%). It wasn't until later on in the night after Hillary conceded that the market started to come off the lows. Once Trump gave his victory speech the market went into rally mode and came all the way back to down -30. ES ended the day up 1.11% and the Vix Index was crushed.


It all came down to Florida.
 

HUGE range for ES. From Limit down (-107 ES pts, to close up 25pts)




Vix crushed as usual. Looks similar to Brexit spike but on a much more condensed time frame.

Sunday, February 28, 2016

S&P 500 Full Historical Volatility Chart

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Please note the Values plotted are formatted as a percent. You can multiply by 100 to get what you would expect. In future charts I create I will adjust this (Google sheets formats slightly different vs Excel). I created this chart using historical data from Yahoo Finance imported into Google Sheets and then I created a chart from my published google sheet using Google Fusion tables. Here is a chart S&P500 Historical Volatility going back to 1950. I have plotted 30 and 60 day Histoical(realized) Volatility, as well as 5 vs 30 day Volatility on the chart. The chart will be not be updated, but in the future I will make charts that will. I plan on making other charts comparing S&P500 Historical Volatility vs the VIX index so we can see the difference between Realized and Implied Volatility for the S&P500 Index.

Tuesday, January 19, 2016

VIX vs VXV

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A popular Vix spread among traders is the VIX / VXV spread; or 30 vs 93 day volatility. You can read more about it on the VIXANDMORE Blog.

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