What is volatility and what causes it to rise and fall? How volatility itself contributes to more volatility such as in the example of the chaotic UK government bond market where long-term yields have increased by 4% in 2022.
Topics covered include:
How the role of volatility has changed in financial marketsWhat caused UK interest rates to spike and long-term bond investors to lose 50%What is liability-driven investmentWhat drives increases in volatility and volatility spikes and spillovers are more frequentHow to earn income from shorting volatility and what are the risksWhat we can learn when financial securities blow up
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Show Notes
The volatility virus strikes again by Eric Lonergan—Financial Times
How ‘Liability-Driven’ Pension Funds Triggered UK Bond Panic by Loukia Gyftopoulou and Greg Ritchie—Bloomberg
UK government debt and deficit: December 202—UK Office for National Statistics
Markets are more fragile than investors think by Robin Wigglesworth—Financial Times
Volatility and the Alchemy of Risk: Reflexivity in the Shadows of Black Monday 1987—Artemis Capital Management
What Caused the Volatility “Volmageddon” on 5-Feb-2018 by Vance Harwood—Six Figure Investing
Gamma Explained—Merrill
Delta Explained—Merrill
Inside Volatility Trading: Is VIX Backwardation Necessarily a Sign of a Future Down Market? by Scott Bauer
Investments Mentioned
WisdomTree CBOE S&P500 PutWrite Strategy ETF (PUTW)
Simplify Volatility Premium ETF (SVOL)
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159: What You Need To Know About Volatility
283: Why You Should Care About Carry Trades
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