Logica Capital April 2022 Commentary
Logica Absolute Return (LAR) - Upside/Downside Convexity - No Correlation
Source: valuewalk.com
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Logica Capital March 2022 Commentary
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
Source: valuewalk.com
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Source: risk.net
Estimating value-at-risk using quantile regression and implied volatilities - Journal of Risk Model Validation
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market
Source: risk.net
Euro Remains at Risk as EUR/USD Implied Volatility Surges and Retail Traders Go Long
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.
Source: dailyfx.com