Volatility Rank vs. Variance Premium

If you’re just looking at the vol of a single stock through time, selling it when its vol gets high is usually the wrong way round... Usually implied vol is understating, you know, implied vol might do this when the realized V is doing that.

The interesting thing about financial markets is that so many systematic strategies are operating today. The reliance on experience and discretion is becoming less and less of the overall makeup of things. Passive flows are obviously taking over a lot and the active space is turning more systematic. To be fair, the market has become significantly

... See more

There’re a bunch of stats outside the markets that show some kind of extremity, like the number of state based armed conflicts nearly tripling since the 60’s, or global freight ships experiencing nearly 19x more delays they did in 2016. But these are pinpricks of colour, the markets are mirrors. If the world is getting more extreme, our collective,... See more