Systematically Trading Volatility Spreads

Download PDF Introduction The following article is heavily inspired by the paper “Investment Strategies with VIX and VSTOXX” (Stanescu, Tunaru, 2012) which analyzed different volatility trading strategies. The strategies are either based on a simple signal or the forecasting of spreads through GARCH models. After analyzing a more recent dataset Read more…

Market Recap 25/09/2022

Download PDF USA The start of the week can be described as the calm before the storm in major US stock indices, as investors digested last week’s higher-than-expected inflation print and were waiting on the Federal Reserve to announce their policy decision on Wednesday. Accordingly, no index posted significant gains Read more…

Our view on EURUSD

Download PDF A persisting trend DISCLAIMER: The EURUSD pair is an exception to general FX notation. We comply with the quoting convention adopted in the industry: when the Dollar strengthens against the Euro, EURUSD moves lower, and vice versa. For charting purposes, however, we use the USDEUR time series. The Read more…

Market Recap 18/09/2022

Download PDF Sentiment in global financial markets was once again largely affected by rising inflation fears. USA The week started with a continuation of the relief rally in risky assets, as sellers momentarily reduced their pressure. The scenario was quickly reversed as soon as traders’ expectations for Tuesday’s inflation reading Read more…

Market Recap 1/05/2022

Download PDF USA Major market indexes registered significant losses for the fourth consecutive week, highlighting April 2022 as the worst month for the markets since March 2020. The S&P 500 is still in correction territory, losing 8.8% in the last month, and being down approximately 14% from its January all-time Read more…

Market Recap 24/04/2022

Download PDF USA Following signs of a more hawkish central bank policy, bond markets in the US sold off substantially over the course of the week. On Tuesday, Charles Evans, the Chicago Fed’s president defined a year-end range for the policy rate between 2.25 and 2.5 per cent as realistic, Read more…

Level K Thinking

Download PDF Introduction “For it is, so to speak, a game of Snap, of Old Maid, a pastime in which he is victor who says Snap neither too soon nor too late, who passes the Old Maid to his neighbour before the game is over, who secures a chair for Read more…

Market Recap 10/04/2022

Download PDF Sentiment in global financial markets was once again largely affected by the developments of Russia’s invasion of Ukraine, and by the Federal Reserve policy. USA The declarations of Fed Governor Lael Brainard on Tuesday and the release of minutes of the Federal Open Market Committee of mid-March on Read more…