papers.ssrn.com/sol3/papers.cf… Systematic Investor Sentiment and Market-Anomaly Comovement by Guo and Wu. "We uncover a systematic comovement between market and anomaly returns (MAC) and demonstrate that it originates from investor sentiment. MAC is persistently negative over time, with

papers.ssrn.com/sol3/papers.cf… A Tail of Five Skews by Suvak and Masturzo. The usual Pearson measure of skewness depends on the 3rd moment and is very sensitive to outliers. The authors define in Equation 5 a robust measure of skew that "measures the average absolute value of large

github.com/vivek-v-rao/No… Simple returns are S(t)/S(t-1) - 1 and log returns are log(S(t)/S(t-1)). Log returns are better fit by a Student's t distribution than the normal, but the log t distribution has an infinite mean and cannot be used to price options unless it is tapered.

It's risky to hold VIX futures, especially shorts, into expiration: papers.ssrn.com/sol3/papers.cf… Has Manipulation in the VIX Decreased? (2023) by Baumgartner and Guettler "We find indications of upward manipulation in the VIX index: The settlement price is on average 5.5% above the

With a Merrill Edge account retail investors can access BoA research. The Oct 10 9:31pm issue of the weekly Systematic Flows Monitor says CTAs equity longs in SPX and NDX at their breaking point CTAs entered Friday with stretched longs in the S&P 500 and NASDAQ-100 that were

Not the main point of the paper, but the authors write "With about 450,000 straddle returns over the 1996-2020 period, the sample includes about 1,500 firms per month. The average straddle return is -4.6% per month, with a standard deviation that is nearly 40%." This gives a

papers.ssrn.com/sol3/papers.cf… Too Good to Be True: Look-ahead Bias in Empirical Options Research is another paper by some of the same authors, finding previous results on option return predictability to be overstated. After correcting for biases they find (Table 2) that you should sell

bloomberg.com/news/articles/… "Autocallables are the driving force behind an ongoing boom in structured notes, which are increasingly in demand from wealthy American investors, often as a way to keep earning good returns while limiting potential downside. But the strategies weren’t

Leveraged ETFs have embedded daily put options, since long investors can "only" lose 100% of their money. If you want to short VIX futures through an ETP, a long SVIX position has this embedded put but shorting VXX does not. If you assume log returns of VXX are normally

hudsonrivertrading.com/hrtbeat/engine… "At a very high level, our engineering is divided into two major groups: Trading Tech and Research & Development. Trading Tech is primarily concerned with what needs to be done in order to actually trade, with special focus on “today”. This includes

barrons.com/articles/fed-d… Prediction Markets Can Help the Fed Solve Its Data Problem by Derek Horstmeyer "Typically, the Fed plays a game of back and forth with investors, simultaneously guiding them on where they see rates going but also listening to investors on what their

papers.ssrn.com/sol3/papers.cf… Long-Term Benefits of Call Overwriting by Medvedev finds that over 2012-2025 the bid implied vol of SPX ATM call options has been only 0.25% above future realized vol (Exhibit 5), insufficient to justify selling covered calls given their negatively skewed

Interesting paper by Xiao et al., but there was a paper papers.ssrn.com/sol3/papers.cf… The Memorization Problem: Can We Trust LLMs' Economic Forecasts? by Lopez-Lira et al. with the answer "no". "We show that LLMs can accurately recall the exact numerical values of key economic

paulsenperspectives.substack.com/p/economic-new… Jim Paulsen says current low values of the San Franciso Federal Reserve’s Daily News Economic Sentiment Index (DNSI) are bullish for stocks. DNSI historical data through Oct 12 is at frbsf.org/research-and-i… , as is Python code to compute it.

bloomberg.com/opinion/articl… Stocks which "leapfrog" to the S&P 500 index without earlier being in the S&P Midcap 400 have larger pops than those that "graduate" from the Midcap index.

VIX options settle to the same VIX Special Opening Quotation (SOQ) that VIX futures do, so they are priced off VIX futures. Yahoo Finance and other sites give wrong VIX option implied vols because they price VIX options off spot VIX. I've read CBOE LiveVol gets it right. You can

Since the CME Span 2 margin framework was introduced in 2024, futures maintenance margins can be different for longs and shorts if VaR estimates are asymmetric due to skewed returns. For Dec ES futures the margins are $21,343 and $20,010 for longs and shorts