News category: EQD Research

Stocks were mixed last week with the S&P 500 (SPX) and Nasdaq-100 (NDX) losing value and the Russell 2000 (RUT) gaining slightly. All volatility indices were higher, even the Russell 2000 Volatility Index (RVX) by a tad, despite the rise in RUT. Also, long weekends typically provide a headwind to volatility indices, due to the

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Concerns about the economy possibly falling into recession along with pending higher interest rates weighed on the U.S. equity markets last week. Small caps led the way lower as the Russell 2000 lost over 4%. Large cap stocks held up best with the S&P 500 dropping just over 1% on the week.

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Things are getting relatively quiet as the S&P 500 was up only 0.06% on a week over week basis. Additionally, the high – low range for the S&P 500 was under 3% each of the past two weeks, the first time this has happened since November of last year. Diminishing realized volatility is impacting volatility

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Stocks were mixed last week with the S&P 500 and Nasdaq-100 gaining ground and Russell 2000 dropping slightly. Volatility index performance varied as well with VVIX moving up a bit, but the other three indices losing value. RVX dropped a significant amount considering the Russell 2000 lost value last week as well. The VIX term

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Last week was huge for stocks and a bear for volatility. We made it through the Fed meeting unscathed and confident in our central bank’s ability to manage the economy. Of course, time will tell, but for the moment, it seems to be all good. Finally, the situation in Ukraine is still fluid, but the

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The French presidential election takes place next month. Russell Rhoads, head of research at EQDerivatives, considers some possible trading strategies using historical data from the VSTOXX and VSTOXX futures.

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Professionally, I split duties between EQDerivatives and the Kelley School of Business at Indiana University. The people I interact with through my EQDerivatives affiliation are among the smartest derivative and volatility traders in the world. At Kelley, the graduate classes I teach expose me to very intelligent people as well. However, the Kelley students are

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Download Paper The latest paper focuses on how Nasdaq-100 (NDX) options offer efficient solutions for managing risk associated with a portfolio that is focused on new economy stocks. In addition, we look at the unique behavior of NDX options relative to other broad based index options. Finally, this paper touches on structured solutions using NDX

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The Cboe Volatility Index (VIX) and Euro Stoxx 50 Volatility Index (VSTOXX) have both received a lot of attention lately. This is due to both remaining at elevated levels responding to increased uncertainty regarding both economic and geopolitical events we are all dealing with. However, over the course of last week, VSTOXX progressively widened the

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The Nasdaq-100 (NDX) had quite a ride in February. At the worst point of the month (Feb 23) NDX was down 9.5%, but did manage to finish strong putting up about a 4.6% loss for the month. Over the final three trading sessions of the month NDX rose 5.4% so it may be that momentum

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