Condor Options

Options: How to Be Risk-Averse

Seth & Joe,

Thanks. I don't really have any control over this or any idea what might be wrong - this seems like something for the SA staff to sort out.

In any event, I always suggest people use Firefox, Safari, Chrome, or homemade papyrus before resorting to Internet Explorer.

Weekly Volatility Tracker: All That Glitters Is Volatile

Given how new those products are, I think it would be a bit hasty to draw such sweeping conclusions at this point. I don't trade VXX or VXZ since I have access to the CBOE volatility futures. But I disagree with your claim - evidence so far suggests that VXX does track its target range quite well.

Remember that the "real VIX" (if by that you mean the spot VIX) is just a statistic and is not directly tradable.

Weekly Volatility Tracker: Implied Correlation as a Reflation Proxy

For annualized realized volatility: calculate the standard deviation of log returns over the period required, multiplied by the square root of 252. This can be done easily in a spreadsheet.

Weekly Volatility Tracker: Implosion in S&P 500 Volatility

Thanks, Alex.

VIX tracks 30 (calendar) day implied volatility, and can be lagged and compared to the 21 (trading) day realized vol. There isn't a 60-day version; the 90-day implied index, VXV, is certainly worth watching, but I haven't added it to chart #5 since it might make things a bit too crowded. The ratio of VXV and VIX is tracked in chart #8, what I'm calling the "VIX Premium Ratio."

Bond Market Leadership

Also, the quote from Brett Steenbarger didn't get formatted properly when transferred from the blog: his quote ends with "...over more speculative alternatives."

Bond Market Leadership

The chart was moved - it's the chart above that text.

Monday Equity Volatility Report

The implied volatility indexes covered here already serve precisely the function you describe. They state an annualized 30-day implied volatility (forward-looking) for the asset in question, within one standard deviation.

VXV, one of the components in my VIX Premium Ratio, tracks a similar three month estimate for the S&P 500.

VIX Premium Ratio Finally Perks Up

Alex, yes, today's realized vol corresponds to implied vol one month ago. So given today's realized vol, I want to know what the implied vol was one month ago, and that's what is reflected in the chart.


On Jun 11 03:39 AM Alex F. wrote:

> Either I'm having a brain fart or you are constructing the implied/realized
> volatility ratio incorrectly.
>
> Implied volatility is a measure of expected volatility over the next
> month.
>
> Realized volatility is a measure of realized volatility over the
> previous month.
>
> So today's realized volatility value corresponds to the implied volatility
> one month ago. Therefore, you should lag the realized volatility
> and not implied.

Feed Your Hedge Against Volatile Markets

@granger: we've written about that topic here: www.condoroptions.com/.../

@Augustus: thanks for your response. To your point about hedging with different indexes, note that in the article we're just suggesting hedging with QQQQs for portfolios that are heavy in other Nasdaq names; certainly a small cap-heavy portfolio should use IWM instead.

@koko: you can sell calls every month; it's better to choose strikes using implied volatility and delta readings, rather than choosing them by price.

Trading Put Options With Buffett

DEcho: thanks!

kkin365: I don't think we ever said that a retail investor can compete against Buffett on knowledge or skill. The only claim we made is that individual retail investors have a flexibility advantage over any large institution. For confirming evidence, just witness the difficulty that major banks, funds, and prop trading desks have had unwinding positions recently.

Trading Put Options With Buffett

Yeah, that's a good question. We assumed he's happy with the positions on their own terms and isn't going to rush to deploy those premiums elsewhere. There's a warning elsewhere in this year's letter along the lines of "don't expect us to keep up past rates of performance - it's just too hard to find enough good opportunities for all this capital."