Sentences with phrase «between implied volatility»

Attempts to explain the relationships between implied volatility and equity, and also corporate bonds.

The chart above illustrating the spread between implied volatility and realized volatility indicates that more often than not that spread is positive.

Not exact matches

Does the U.S. stock market volatility risk premium (VRP), measured as the difference between the volatility implied by stock index option prices recent actual index volatility, usefully predict stock market returns?

, Paul Schneider, Christian Wagner and Josef Zechner examine relationships between low - beta / low - volatility stock anomalies and implied stock return skewness.

These divergences in monetary policy between the Fed and the BoE on the one hand and the ECB and BoJ on the other imply probable further volatility in the currency, fixed income and equity markets.

Implied volatilities in the US and Europe have returned to levels that were typical between 1992 and 1996.

This study provides a straightforward linkage between corporate CDS and equity option by inferring stock volatility from CDS spread and, thus, enables a direct analogy with the implied volatility from option price.

2) Do you think there is a chance that the implied volatility for options on SLV will rise from their current low levels between now and mid-January 2019?

«Identifying VXX / XIV Tendencies» finds that the Volatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIVVolatility Risk Premium (VRP), estimated as the difference between the current level of the S&P 500 implied volatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIVvolatility index (VIX) and the annualized standard deviation of S&P 500 Index daily returns over the previous 21 trading days (multiplying by the square root of 250 to annualize), may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

«Identifying VXX / XIV Tendencies» finds that S&P 500 implied volatility index (VIX) futures roll return, as measured by the percentage difference in settlement price between the nearest and next nearest VIX futures, may be a useful predictor of iPath S&P 500 VIX Short - term Futures ETN (VXX) and VelocityShares Daily Inverse VIX Short - term ETN (XIV) returns.

The difference between stock and bond yields narrowed dramatically, and option implied volatility was making a bold effort to escape earth orbit.

They consider four potential predictors: (1) the default spread (between Moody's BAA and AAA rated bonds); (2) the broad stock market dividend yield; (3) the implied volatility of the S&P 500 Index (VIX); and, (4) the monthly net aggregate flow into the hedge fund industry.

They are both numbers between 0 and 100, higher numbers imply higher volatility.