AAPL to NVDA rolling 1 year realized correlation of daily returns

'The Edge of 17' is a brilliant Stevie Nicks tune from 1981. In markets, 17 is a number in equity derivatives right now.. 1) the one-day VIX, 2) the 3m VIX future 3) 1 year SPX implied vol .... all at 17.

let's throw in SPX 1y realized correlation - the most interesting of

SPX in a 22 handle high to low range...40bps... 'sell eclipse vol' the backtest will forever tell us

Saying #24 of '25 Sayings on Vol and Risk' is that 'the correlation of vol and the vol of correlation are not your friend'... the second part of this speaks to the inherent instability in correl relationships. Here's one to peak at...MSTR stock price vs vol...Bottom panel is

here's the latest episode of the Alpha Exchange, a conversation with Mandy Xu, Head of Derivatives Market Intelligence at Cboe Global Markets. Really enjoyed soliciting Mandy's insights on market risk readings like skew, implied correlation and the new VIXHY (high yield). We

I love the Soros notion of reflexivity in markets. Market prices can't be evaluated in isolation because they impact the economy, wealth, the Fed and investor psychology, all of which in turn, impact market prices.

Outside of markets, there are other areas where reflexivity is

In case curious around the decided HUMP in the VIX futures curve, here's a pic and some of what we can expect this year based on 2020. First, sadly, when it comes to elections, skepticism is a hard habit to break. There's no reason to think this should go smoothly.

What did we

nothing earth shattering here, but like this rendering of 1m bitcoin returns vs. 1m change in implied vol (using the T3 Bitvol index). Simon Ho . Essentially implied vol is long a straddle on spot...both big up and down moves in spot can lead to big moves up in implied vol.