Bill Luby Blog | Talkmarkets | Page 1
A private investor, with a focus on volatility, market sentiment, technical analysis, and ETFs.
Contributor's Links: VIX and More

Bill is Chief Investment Officer of Luby Asset Management LLC, an investment management company in Tiburon, California. Investment manager with an emphasis on volatility derivatives (VIX options, futures and exchange-traded products), ETPs and liquid alternative investments. Research ... more

All Contributions

Latest Posts
1 to 16 of 36 Posts
1 2 3
Euro Zone VSTOXX ETNs Land On U.S. Beaches
Think the market is too complacent about election in France? Worried that the euro area is going to crumble under the weight of Italy’s struggles? Investors in the US will have another way to translate these ideas into actionable trades.
Clustering Of Volatility Spikes
When it comes to measuring volatility clusters I am of the opinion that realized or historical volatility is a more important measurement than implied volatility measurements, such as is provided by the VIX.
SPX 1, 2 And 3-Year Returns Following Top And Bottom Five (and Ten) VIX Average Annual Readings
After one year, the S&P performance following the low VIX is about 20% higher than after the high VIX. For two years, the difference jumps to 40% and by the third year the cumulative performance differential is approximately 90%.
Putting Low Stock Volatility To Good Use
Lately, it has been the persistent low VIX readings (including the first sub-10 VIX print in a decade) in conjunction with a new administration and extremely high policy uncertainty that has been difficult for investors to digest.
VIX ETPs Flash Some Green In 2016
The VIX index was down 22.9% for the year, while the front month VIX futures product ended the year with a loss of 18.3%.
The 2016 VIX Futures Term Structure: Extraordinarily Average
Traders of the full range of VIX products hopefully know by now that the entire VIX product landscape is based -- and priced -- off of VIX futures and one of the most important aspects of VIX futures is the shape of the term structure.
The Year In VIX And Volatility
While the year ended on a relatively quiet note, I suspect 2017 will have much more in the way of new surprises, including swans of many dark hues.
2016 Predictions: Both Idiocy And Genius
The moral of the story is: When it comes to volatility, expect the unexpected.
Average VIX And Volatility For Last Fourteen Presidents
For investors in general and volatility traders, in particular, this is one of the more interesting questions going into 2017. Should the VIX be higher or lower in the context of a Trump Administration relative to the Obama Administration?
Post-Election Risk Trending Up In Treasuries And The Euro, Down In U.S. Stocks
More risk is certainly on the horizon and if history is any guide, an Americentric, equity-centric view of the investment world is likely to be slow in identifying those risks.
Top VIX Crashes In History
The volatility landscape is changing and the rise of VIX futures and VIX ETPs are no doubt an important part of that change.
VIX Sets New Record With Nine Up Days In A Row
Over the course of the past few days I have been tracking the slow grind upward in the VIX, noting that it had been up seven, eight and eventually nine (as of Friday) days in a row.
How To Play A Volatility Spike
I always try to keep my subject matter linked to current events, but the irony is that when the signal comes to grab my bat and make my way to the on-deck circle, invariably the markets are hit with a bout of volatility.
VIX Median Reversion And Five-Year Moving Averages
The current five-year median VIX is 15.07, while the five-year mean VIX is 16.63.
Economic Data Surprise Index Shows Continued Weakness
If the Fed is indeed data dependent, then there is no avoiding the conclusion that aggregate data relative to expectations has been a disaster for the past 1 ½ months.
Updated VIX ETP Landscape, Including VMAX And VMIN
When one is trading VIX ETPs, it is always essential to consider the degree of contango (or backwardation) in the VIX futures, which can translate into substantial negative roll yield.
1 to 16 of 36 Posts
1 2 3