[edmc id= 3343]Download here the Weekly Market Brief[/edmc] United States US economic data came in mixed, giving supple reason for the volatility seen in financial markets. The S&P 500 is trading near 2014 lows, due to intense dollar weakness on the back of the futures market pricing in almost 0% chance 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…
The VIX, known also as the Wall Street’s fear gauge, is the most common measure for expected volatility in the equity market. It is implicitly derived from the price of currently traded options on the S&P500 and over the years it evolved into an asset class of its own. Short-selling volatility Read more…
One of the tools traders have found to cope with the shortcomings of the Black and Scholes models has been to allow for non-flat volatilities, which means that the implied volatility of an option does not depend merely on the historical volatility in the underlying, but also on the strike Read more…
US US equities failed to push through record territory and retreated from last Friday’s all-time high driven down by disappointing earnings reports and poor economic data. On Friday, the S&P 500 closed down at 2,108.29 from its Monday record peak of 2,125. Nasdaq Composite, the tech-heavy index, fell to 5,005.39 Read more…
The FTSE100 index has recently touched its all time high. Is this peak justified? Most likely not, in our opinion. There are both long term and short-term reasons to expect the most important UK index to decline in the near future. Long Term: global economic growth and interest Read more…
US Big news has struck the US economy this week and in particular the ones oil-related has had a strong effect on the market. The US economy has been once again the main driver of the fall in oil prices this week as the country’s stockpiles of crude last week Read more…
“Fear tends to manifest itself much more quickly than greed, so volatile markets tend to be on the downside. In up markets, volatility tends to gradually decline.” Philip Roth Introduction As options and other products whose price depends on volatility have become widespread, studying its behaviour is now a key Read more…
US The week ended with a boom for the US economy as the November jobs report was released on Friday. 321,000 new jobs were created in the last month, well ahead of economists’ forecasts of 230,000. This piece of news puts the US economy on track to achieve the best Read more…
The recent OPEC’s meeting amplified the downward trend in Oil price as the counsel decided not to cut Oil supply. The cartel decided – tough not unanimously – to leave the current OPEC supply target at 30 million barrels per day. The target was actually not respected for the last Read more…
US The week just past us was one of slight gains in US equity markets, with most volume on Tuesday and Wednesday due to the Thanksgiving holiday on Thursday. The week opened with a soft print of the US services PMI, then trading became jittery for the S&P 500 as Read more…
US US equities continued to trade sideways in the last week due to the lack of news catalysts. The only major pieces of news out were the number of initial and continuing jobless claims diffused on Thursday and the retail sales figures released on Friday. The anticipation of the former Read more…
On normal market days, the (positive) correlation between gold and silver is quite high. Looking at the chart below, it looks like silver gives chase to the movements in gold and follows them quite closely. One thing we can observe though is that downside changes in gold reflect more heavily Read more…
US It has been a busy week for US markets, filled with plenty of data and the outcome of the midterms on November 4th. The result of these was a Republican takeover of the Senate, and in all the expression of dissatisfaction or anger at Mr Obama’s performance. The S&P Read more…
US After turmoil in the recent weeks US equities are back to all-time highs. Very solid data on consumer confidence and a Q3 GDP growth rate print of 3.5%, above a lower forecast of 3%, propelled the S&P 500 to 2018.05. Not even the completion of tapering on Wednesday stopped Read more…