There can be no single indicator to time a $VIX or $SPX trade. Even if it were, some machine would have by now already learned how to front-run it. So I'm the last person to suggest there is a publicly available indicator that one may have identified
Dec 5, 2021 • 8 tweets • 2 min read
1/n S&P500 1month ATM volatility at 22.3 implies ~1.4% daily move for the $SPX in the next month. That’s what statistics tells us for a sole time-series that is an index. But there’s more going on under the hood.
2/n ATM option vol mirrors investor expectations for volatility realized around the current level of the market. If you want a concrete estimate for future index volatility regardless of price levels, then it’s actually variance swaps you need. Enter, the $VIX index.
Jun 28, 2019 • 7 tweets • 2 min read
1/ Got been asked if Korean Autocallables is in top-5 issues when discussing vol, what would the other four be.
First and foremost, I would say you have to have your investing environment right, so here goes, by no particular order:
2/ Correlations between index constituents. $ICJ $JCJ. To make the point: First day in history when something like all but two shares in $SPX closed down, was Feb 5, 2018. Another two such days followed in December of same year.
