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  • Derivative Demons

    Alexander Gloy

    Derivatives are not bad per se. They can help transfer risk. Transfer in time or to a different holder or both. But risk never goes away. In May 2022, the CBOE (Chicago Board of Options Exchange) introduced options on the S&P 500 stock index with expiration on every single day of the week. Meaning traders…

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  • What the hell just happened? Part 1

    Alexander Gloy

    Part 1 Most of the year, the S&P 500 Index traded sideways in a narrow range (+- 3% from end of 2014). Then, suddenly, this: The German DAX-Index had been up 26% by April, but had to give up all of its gains: A measurement of expected volatility, the VIX-Index, surged to the highest level…

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  • Volatility ETFs’ crazy churn

    Alexander Gloy

    Two volatility ETFs (VXX and UVXY) are having almost half of the trading volume in the world’s largest ETF (SPY). How come? First, the facts: SPY is heavily traded (19% of assets daily turnover) compared to IVV (also referring to the S&P 500). But then come the volatility ETFs. Tiny VIXY (assets $145m) turns itself…

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