Monthly Archives: October 2013

Both gold and oil are inverse to dollar strength. Positive correlations: both up -> good market gold up, oil down -> bad for market gold down oil up -> good for market.

Buy XIV when there’s bearish signals while vix < 20?

A strategy to hedge oil price increase

VIX peaks seems to be indicate trend Resistance and support Frequency of VIX Peaks Construct and study a sequence of VIX peaks

http://www.seminar.hec.ulg.ac.be/docs/Sem21.10.10_Cogneau.pdf http://en.wikipedia.org/wiki/Resampling_(statistics) Consider contango Use interpolation or extrapolation for scenarios with no or limited number of historical data Issues: didn’t consider whole term structure Didn’t consider days to mature (Front month futures movement along with spot is affected by how … Continue reading →

VXX and VXZ Pair Trading USO UNG pair trading Risk/reward ratio based on contango decay and spike probability for a period of time. corrlelation or cointegration of contango 12 and 4-7 Contango (12 and 47) vs. VIX VIX histogram Who’s … Continue reading →