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- Performance 2012 … and best wishes for 2013 !
- Must read for Berkshire Hathaway fans
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- Black Swan on XIV historical data and pricing model since VIX futures available (2004)
- jrv on XIV historical data and pricing model since VIX futures available (2004)
- Black Swan on XIV historical data and pricing model since VIX futures available (2004)
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Monthly Archives: August 2011
Irene damages extremely good for United States Gypsum
Irene damages hit at the heart of USG production/distribution center. Irene will cause a tremendous amount of drywall / sheetrock / gypsum board damage specially due to floods and as a result of gypsum board forming ‘mold’ when constantly exposed … Continue reading
Speech by Jean-Claude Trichet, President of the ECB at Jackson Hole
I had to “bookmark” this excellent economics speech by Jean-Claude Trichet. Its emphasis is on the European Community and it provides one of the few good comparison studies with the USA. Being a rare and substantial source of macro economical … Continue reading
Possible bottom or at least good enough stock prices to add more
If we aren’t in the process of bottoming I do not care, better, since it will give more time to keep on adding if you have a cash hoard. I do feel comfortable already adding to my principal positions: Berkshire … Continue reading
XIV graph and data since VIX futures available (2004)
Using the same futures data used to calculate the VXX a fellow yahoo VXX message board poster calculated the historic XIV values. The idea is good but the model accuracy can be improved by using more data available. For that … Continue reading
VIX contango – backwardation historical graph
Here below you can see the vix futures contango backwardation graph with all the vxx data since vix futures were available. This is simply the daily percentual difference between the 1st month and 2nd month VIX futures. As you can … Continue reading
VIX vs VXX historical graph
I am immediately starting to get feedback from readers with the results of the analysis of the historical VXX data available here. What was obviously missing was a relation between the VIX (blue, right axis) and the VXX (purple, left … Continue reading
VXX historical data and pricing model since VIX futures available (2004)
I gathered all the VIX futures since they started being used on the 26th March 2004 up to now. I used them to calculate the VXX. I also used the data to calculate the contango and backwardation everyday since back … Continue reading
Posted in General
Tagged backwardation, contango, S&P 500 VIX Futures Index, vix, vxx, vxx graph, xiv
36 Comments
Benefits of shorting a TLT deep in the money call instead of TLT directly
I do not in general like inverse ETFs, I actually do not in general like any ETFs because most track the underlying bad and lag it and the inverse or leveraged ones working with derivatives are even worse in that … Continue reading
