After a short stint in hospital and some time to rest, I’m recovering nicely and it’s time to resume the podcast episodes.
A big thanks to everyone who sent me well wishes, I really do appreciate it.
In this podcast episode we’re going to be talking about something that can have a huge impact on the markets and on trading strategies. It’s something that can happen very quickly and cause a lot of damage, and that is spikes in volatility.
And our special guest to discuss volatility spikes today is Andrew Thrasher, who published a research paper called ‘Forecasting a Volatility Tsunami’, which won the Charles Dow award in 2017.
Whenever the VIX is at low levels we here all about in the mainstream media, with the implication that it’s about to rise, however a low level in the VIX alone doesn’t necessarily mean volatility is going to increase, and in our chat today Andrew is going to explain why and he’s also going to share his research and the 3 key factors that can actually improve predictions of volatility spikes.
In our chat today you’ll here:
- How volatility is usually interpreted and why this common approach is unreliable and missing a key part of the picture,
- Why a low VIX reading alone is not a good predictor that volatility will rise,
- 3 key factors that can improve predictions of volatility spikes,
- Plus much more.
- You can learn more from Andrew at Athrasher.com, yourlifeafterwork.com or on twitter at @AndrewThrasher
- Here’s the blog post we discuss towards the end of our chat: http://www.athrasher.com/week-review-equity-strength-breadth-participation-sector-performance-crypto-stocks-earnings-expectations/
- You can find Andrews award winning paper ‘Forecasting a Volatility Tsunami’ on SSRN
- Books mentioned in the show:
Watch Andrews Webcast presentation
Click here to watch Andrew Webcast presentation for the CMT association, titled ‘Forecasting a Volatility Tsunami’.
Note: You need to be a CMT member to watch it – if you’re not currently a member you should join!
Get the Transcript
4 February 2018