Blogs
SVB: Commodity Side Effects
March 29, 2023The recent spikes in implied volatility due to the fallout from SVB were not just confined to equity and fixed income. Less reported on and less appreciated, commodities were affected as well. Although their movements in price and implied volatility ...
Read more0DTE Options: Institutions Get Short
February 22, 20230DTE options are the latest novelty in derivative markets. These options are listed daily and expire at market close on the same day. Since their inception last year, the popularity of this product among investors has skyrocketed, peaking at over ...
Read moreThe War in Ukraine: Commodities Adapted
February 22, 2023Last week marked the one year anniversary of the start of the war in Ukraine, and the ultimate outcome is as unclear as it was a year ago. War is never predictable (as Mike Tyson put it, “Everybody has a ...
Read moreA Year in Volatility Across US and Europe
January 18, 2023From the War in Ukraine, to supply chain issues, rising energy prices and inflation, and Fed rate hikes, 2022 was an eventful year, to say the least. It was also characterized by heightened volatility in the US and Europe, as ...
Read moreMega Tech Crash Risk Outpaces Index
January 13, 2023One investing theme in 2022 was the failure of tail-risk hedges amid a grinding bear market. The performance of protective put strategies, an oft touted hedge to down markets, was suboptimal. As a baseline example, the CBOE 5% Put Protection ...
Read moreExamining Anomalies: Part 2 – High Year-End Expectations: Should You Count on a Santa Claus Rally?
December 22, 2022Industry research has empirically proven different types of calendar anomalies. Most scholars have a difficult time rationalizing these phenomena, and many even dismiss them. In this series, we look to elaborate on these anomalies in the equity market and extend ...
Read morePound Crash Risk and Upside in UK Equities
October 31, 2022The British Pound Sterling (GBP) has experienced historical levels of turmoil over the past month and traded at record lows compared to the dollar. The freefall in the GBP can be attributed to multiple macroeconomic shocks, including higher energy prices ...
Read moreInflation: Commodity Prices Unsupportive
September 28, 2022Last July, I wrote about inflation and one of its main drivers, commodity prices. I made the case then that although the Fed was aggressively moving to limit inflation through higher rates, commodity prices had been decreasing sharply since mid-June and ...
Read moreExamining Anomalies: Part 1 – What is the Best Day to Buy Stocks and Options?
September 8, 2022Industry research has empirically proven different types of calendar anomalies. Most scholars have a difficult time rationalizing these phenomena, and many even dismiss them. In this series, we look to elaborate on these anomalies in the equity market and extend ...
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