Download PDF Introduction On Friday October 13th, Cboe (Chicago Boards of Exchanges) officially launched four new volatility credit indices. In the current high interest rate environment, investors are becoming increasingly wary of the aggregated impact of high rates on highly levered balance sheet, thus increasing the relevance of the new Read more…
Download PDF What are 0DTEs? Zero Days to Expiry (0DTE) options are options that expire on the same day they are purchased; this gives them an unusually high amount of leverage that is hard to find anywhere else. Due to theta, the extrinsic value of an option declines exponentially as Read more…
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…
Download as PDF Introduction The expected excess market return, or equity risk premium, is an unobservable element crucial in many financial applications ranging from corporate finance to asset pricing. Over the years, many researchers have studied the expected market return by tackling the estimation from different perspectives leading Welch, Goyal Read more…
Download as PDF Introduction Back in December we published an Article called “Democratic Primaries: A markets perspective” in which we provided an overview of the most significant Democratic candidates, namely Berny Sanders and Elizabeth Warren from a more liberal, left-wing side and Joe Biden and Michael Bloomberg from a more Read more…
United States After the French election relief and solid first quarter earnings reports the US equities finished the week higher. Slightly more than half of the S&P 500 has reported, showing positive signs of improving economic growth, with best performers tech and industrial companies. The S&P 500 after the rally Read more…
United States Amidst continued geopolitical uncertainty and mixed corporate earnings results, US equities experienced a week of sideways movement. Later in the week however, the major indices recovered some of their previous week´s losses as confidence in president Trump´s tax reforms strengthened again. US treasury secretary Steven Mnunich announced that Read more…
Introduction Volatility is a key feature of financial markets. It is commonly used as a measure for risk and is a common an indicator of the investors’ fear and concern about the future. While higher volatility means bigger profits and losses in a directional strategy (one which bets on a Read more…
United States On the week ended February 17, 2017, US stocks closed at record highs as investor sentiment remains positive given the possibility of changes to US corporate tax structure, as well as the likely loosening of regulations. The Dow Jones Industrial Average increased by 1.4% to 20,624, while the Read more…
United States Not really a Black Friday for the US stock market. All the three major indexes continued their rally closing at historical highs and with similar gains. The S&P 500 closed at 2,213.25, up 1.4% from last week, the Dow Jones closed at 19,152.14, up 1.5% while the Nasdaq Read more…
United States On the week ended November 18th, stocks continued their post-election rally. Investors appear optimistic of President-Elect Donald Trump’s proposed expansionary fiscal policies. The Dow Jones Industrial Average ended a seven-trading-day post-election rally on Wednesday, during which it gained more than 5.7% reaching a new all-time high. The S&P Read more…
United States On the week ended November 4th, election uncertainty overshadowed improving fundamentals and sent US stocks to their ninth consecutive decline. Over the week, the Dow Jones Industrial Average declined -1.0% to 17978, the S&P500 Index declined -1.4% to 2097.40, and NASDAQ declined -2.1% to 5080. The last heavy Read more…
United States Disappointing earnings from Apple and Amazon heavily weighed on the Nasdaq, falling 1.3%. Positive surprises from large companies, such as Procter & Gamble, helped to offset some disappointments in the tech sector, resulting in the S&P 500 falling 0.7%. So far, the earnings seemed solid, as this is Read more…
[edmc id= 3872]Download here the Market brief[/edmc] USA Earnings season is over and in the tech sector we observed important market reactions: the most notable one was AAPL 10% depreciation caused by its disappointing results. The hedge fund manager Karl Icahn expressed a bearish view on US stocks for the Read more…
Can volatility indices provide useful signals on the “underlying” market? We tried to figure it out analysing some relations between the VIX and other indices provided by the Chicago Board Options Exchange. The VIX index, which is derived from prices of a basket of out-of-the-money options on the S&P500, represents Read more…