The most downwardly volatile market in general

S

sj8070

hi all,

I am currently working an one of my most promising and interesting strategies to date, and I look forward to sharing it with this forum once complete.

But first, a question...

Which is the most downwardly (or upwardly (e.g. VIX)) volatile security in the marketplace since 2007?

i.e. assume all securities have a neutral bias (EMH) but we can speculate that one direction may be more likely than another, as the magnitude of any given move may differ

For example, in the period, S&P went up with ~55% probability over any given day. Here i force the beginning and end levels (1406.58) to be the same to reduce any bias.
 
let me rephrase

The S&P is more likely to go Up than Down on any given day.

This does not mean the S&P tends to trend upwards necessarily - Down moves tend to be bigger than Up...


Is there another market that is more extreme than the S&P, generically, in this regard?

i.e. has very large down moves and small incremental up moves
 
Quote from sj8070:

let me rephrase

The S&P is more likely to go Up than Down on any given day.

This does not mean the S&P tends to trend upwards necessarily - Down moves tend to be bigger than Up...


Is there another market that is more extreme than the S&P, generically, in this regard?

i.e. has very large down moves and small incremental up moves
More...
Look at the implied volatility skew for different asset classes.
 
Quote from sj8070:

Implied or actual?

In fact a spread between the two might be the most interesting measure
More...
Well, implied is easier to look up :)

Agreed about the spread being interesting.

Questionable as to how valuable vs misleading. Thoughts?
 
for the last few days I have been comping Implied vol (same for both calls and puts due to put call parity) and Actual downward vol

Implied vol is in fact higher by a touch on the S&P.

Selling OTM puts is a long run winner, clearly due to the increased prevalence of Long RM portfolios hedging with OTM puts

But my work on binaries is not finished, I have something, I'm just not sure why or how it works

more to follow
 
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