Yes, Volatility is back!

After 2 years of low volatility (cf. blog: VIX at 24 and so what?), market is now… different. To apprehend and visualize this spike in recent volatility, the Average True Range (ATR) can be very helpful. 6 weeks ago, I looked at the daily ATR for more than 1,300...

VIX at 24 and so what?

Back in March, I tweeted about the VIX and the number of days it was above 16 year to date. What is the VIX? The VIX represents one standard deviation of the market’s estimation of changes in the price of the S&P500 during the next 30 days. Why did I choose...
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