In my post “Engineering a Synthetic Volatility Index” I discussed a technique that I’ve developed to monitor broad market volatility with a Synthetic Volatility Index. Today I’m going to quantify our index by applying it to a liquid universe of equities as a simple entry filter. If volatility indeed has an …
Category: Volatility Strategies
I employ volatility analysis extensively in the hedge fund I manage both at the individual stock level and at the index level. Both types of analysis are essential if you hope to trade successfully, so in today’s blog I’m going to discuss each of them. Index volatility will however form …