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Market conditions: Major economic events — such as interest rate changes, unemployment data, market crashes or geopolitical tensions — can impact market volatility and, consequently, implied ...
The resulting VIX index formulation provides a measure of market volatility on which expectations of further stock market volatility in the near future might be based. The current VIX index value quotes the expected annualized change in the S&P 500 index over the following 30 days, as computed from options-based theory and current options ...
Implied volatility, a forward-looking and subjective measure, differs from historical volatility because the latter is calculated from known past returns of a security. To understand where implied volatility stands in terms of the underlying, implied volatility rank is used to understand its implied volatility from a one-year high and low IV.
Catastrophe bond market nears $50 billion after back-to-back years of record issuance. Sales of catastrophe bonds surged to $17.7 billion this year, up 7% from last year's record to bring the total market to $49.3 billion.
Meanwhile, the Federal Reserve is expected to cut interest rates by 25 basis points on Thursday, while China's central bank is set to unveil some form of economic stimulus measures later this week ...
A volatility surface using coordinates a non-trivial moneyness M and time to expiry τ is called the relative volatility surface (with respect to the moneyness M). While the spot is often used by traders, the forward is preferred in theory, as it has better properties, [6] [7] thus F/K will be used in the sequel. In practice, for low interest ...
The CBOE Volatility Index , the market’s fear gauge index, closed the week at 20.37, just above its long run mean. That’s a far cry from its spike above 65 on Monday, a level that’s ...
S&P 500 with 20-day, two-standard-deviation Bollinger Bands, %b and bandwidth. Bollinger Bands (/ ˈ b ɒ l ɪ n dʒ ər /) are a type of statistical chart characterizing the prices and volatility over time of a financial instrument or commodity, using a formulaic method propounded by John Bollinger in the 1980s.