Page 9 - Implied Volatility News Today

Logica Capital commentary for the month ended July 31, 2022. Market indices charged upward with vigor while VIX/Implied Volatility were decimated in July.

Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern

Natixis quants find novel way to speed up volatility smile modelling

Single stock ‘micro’ hedges have offered more protection in this year’s sell-off

Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders

Logica Absolute Return (LAR) - Upside/Downside Convexity - No Correlation

Logica Capital commentary for the month of March 31, 2022. With early/mid-month fireworks to the downside and threats of a lower low, we continued to observe a muted reaction from implied volatility

USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher

In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market

EUR/USD one-week implied volatility surged to a November 2020 high as the Euro continues to trade in a familiar range. Retail traders are increasing upside exposure, hinting at further losses.