Reflections on recent volatility

Euan Sinclair

Journal of Investment Strategies

Abstract: The equity volatility in the second week of February 2018 was unprecedented. Volatility events do not generally erupt from nowhere and, by a number of measures, 2017 was one of the least volatile years ever. Further, the increase in volatility was dramatically greater than would normally follow from the equity movement. Option sellers were hurt, and there were major repercussions for volatility exchange-traded notes, where issuer rebalancing exacerbated the move. It is likely that, in future, this space will be restructured and greatly diminished in volume and importance.

References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.risk.net/journal-of-investment-strateg ... on-recent-volatility (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ6:5472761

Access Statistics for this article

More articles in Journal of Investment Strategies from Journal of Investment Strategies
Bibliographic data for series maintained by Thomas Paine ().