VIX and More

Tuesday, December 31, 2013

VIX Futures Term Structure in 2013 Looks a Lot Like 2012

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This was a very quiet year for the VIX, with the volatility index posting its second narrowest range for the year since 1995, trailing only ...
Sunday, November 3, 2013

The Evolution of the Holiday Effect in VIX Futures

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[The following originally appeared in the November 2012 edition of Expiring Monthly: The Option Traders Journal. I thought the contents migh...
Thursday, October 31, 2013

Halloween Monsters

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In the spirit of the day and lacking the resources and imagination to do something as elaborate as the Guillermo del Toro couch intro for t...
Thursday, October 24, 2013

The New VXST and the VXST:VIX Ratio

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At the beginning of the month several interesting announcements came out of the CBOE Risk Management Conference in Portugal. One which parti...
Wednesday, October 23, 2013

Performance of VIX ETPs During the Recent Debt Ceiling Crisis

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Since the first big wave of VIX ETPs hit in 2010, I have periodically plotted all these products on a grid that used the y-axis for leverag...
Tuesday, October 8, 2013

A History of the VIX During Recent Debt Ceiling and Sequestration Battles

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Democrats and Republicans have been fighting over budgets and related matters since before any of us were born and while the debate has been...
Friday, October 4, 2013

Event Risk, Event Theta and the Next Week

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Weekends pose an interesting set of problems for the investor/trader, particularly when there is an ongoing crisis or a reasonable risk that...
Saturday, September 14, 2013

Revisiting the VIX:VXV Ratio

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Two of my favorite bloggers, who hail from very different corners of the investment landscape, both happened to mention me in reference to t...

Best VIX/Volatility/Risk Conference of 2013?

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I am going to go out on a limb and project that the second annual CBOE Risk Management Conference (RMC) Europe , which is held at the Penha ...
Thursday, August 29, 2013

Watching Two Key Emerging Markets Currencies

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With Syria and the Fed grabbing most of the headlines in the last few days, I wonder how many people have emerging markets currencies at th...
Tuesday, August 20, 2013

Pricing of VIX August and September Calls

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The monthly VIX futures and options expiration is a fascinating time from an options strategy perspective, as it marks the point in time i...
Thursday, August 15, 2013

SPX Pullback Table: The Fall From 1709

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I can’t remember the last time that the S&P 500 index pulled back a little from a recent high and I did not get at least one request to ...
Wednesday, August 14, 2013

Expanded Performance of Volatility-Hedged and Related ETPs

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When I recently assembled Top Posts of 2013 (Through First Half of Year) , several themes jumped off the page. The top four posts of the yea...
Friday, August 9, 2013

Fox Business TV Appearance on Gerri Willis Show

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Last month I wrote a guest column for The Striking Price on behalf of Steven Sears at Barron’s , entitled: How to Spot Risk Early . That co...
Monday, August 5, 2013

Updates for Newsletter/Stock of the Week and EVALS; Launch of New Investment Management Business

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Just a quick note to inform readers that I recently provided updates and some performance data for the VIX and More Newsletter and also for...
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About Me

Former Chief Investment Officer at Luby Asset Management LLC in Tiburon, California. Previously worked as a full-time trader/investor and also a business strategy consultant. Education includes a BA from Stanford and an MBA from Carnegie Mellon. Useless trivia: I once broke the world pogo stick jumping record without knowing it.
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