In this post, we are going to construct snapshots of historic S&P 500 index constituents, from freely available data on the internet. Why? Well, one of the biggest challenges in looking for opportunities amongst a broad universe of stocks is choosing what stock “universe” to look at. One approach to dealing with this is to …
There are 2 good reasons to buy put options: because you think they are cheap because you want downside protection. In the latter case, you are looking to use the skewed payoff profile of the put option to protect a portfolio against large downside moves without capping your upside too much. The first requires a …
One of the things I’ve noticed from staring at the screen all day for the last few months is that most of the large negative returns in US stock indexes have come overnight. What do you mean by “overnight”? The core stock trading session for US stocks is between 9:30 am and 4 pm Eastern …
In the eye of the recent storm, with VIX up over 50, many traders were looking to “short the VIX” using products like TVIX. “Surely it’s going to coming back down?” Well yeah, it will, eventually, but that doesn’t mean that you can profitably short VIX products. First, some basics… What is VIX? VIX is …
To say we’re living through extraordinary times would be an understatement. We saw the best part of 40% wiped off stock indexes in a matter of weeks, unprecedented co-ordinated central bank intervention on a global scale, and an unfolding health crisis that for many has already turned into a tragedy. As an investor or trader, …
The vector autoregression (VAR) framework is common in econometrics for modelling correlated variables with bi-directional relationships and feedback loops. If you google “vector autoregression” you’ll find all sorts of academic papers related to modelling the effects of monetary and fiscal policy on various aspects of the economy. This is only of passing interest to traders. …
