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This article explains how the VIX® Index and volatility revert to the mean and why a variance risk premium occurs.
Financial advisors and investors demand novelty as the cost of attention. Given near-term outlooks on stock market volatility, a genuinely original analogy is Moon : tides : : VIX : volatility.
This is the story of how Chicago evolved from a wilderness outpost of 350 residents in 1833 to the global capital of derivatives trading.
Why consider volatility as a separate asset class? Because it is endemic.
I use a mathematical model to illustrate the parallel paths traveled by infectious viruses and market volatility.
Option prices, including the VIX index, have failed to provide advance warning of market crashes from Black Monday to last year’s coronavirus crash.