Thursday, May 20, 2010

Guest Columnist for Steven Sears at Barron’s

Steven Sears at Barron’s has once again been kind enough to give me an opportunity to author a guest column for The Striking Price while he is on assignment.

With the VIX in the 40’s this week, I elected to write about how difficult it is to forecast volatility. In The Perils of Predicting Volatility, I talk about how the VIX typically underestimates large volatility spikes and overestimates the extent to which volatility will remain high following a VIX spike.

The Barron’s article integrates many of the ideas I have been blogging about for the past few years, some of which are included in the links below.

For those who may be interested, the last time I contributed to Barron’s was with Take a Longer View on Volatility – a subject that I think is quite timely today, given the recent volatility surge.

For more on related subjects, readers are encouraged to check out:

Disclosure(s): short VIX at time of writing

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