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Tag Archive: Volatility smile


Life is uncertain and volatility could be best understood by one’s life, sometimes you are on peak sometimes low. IMG-20160214-WA0004-2Loves, hatred, emotions, excitements, are the various factors that define the volatility of life.

Moving down to markets Volatility is the inherent behaviour of the markets that’s the reason trader makes and loses money.

The markets are volatile so does the life.  It’s important to curb the volatility and see the things from the long-term horizon.  The high tides do not last forever so does the calm sea-shore.

The nastiest thing I’ve ever told anyone (a finance fellow angry with me): “When you have absolute intellectual and more disrespect for someone, the only real compliment you can possible get from his in making him angry”
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Zero Hedge is one of my favorite blog on the risk analysis and for the global events, the blog argues that we are living in the Golden blogAge of Central Bankers, and that wreaks havoc on the fundamental nature of market expectations data.

  • The VIX  (Volatility Index) is not a reliable measure of market complacency.
  • The wisdom of crowds is non-existent.
  • Fundamental risk/reward calculations for directional exposure to any security are problematic on anything other than a VERY long time horizon.
  • I’d rather be reactive and right in my portfolio than proactive and wrong.

The Golden Age of the Central Banker is a time for survivors, not heroes. And that’s the real moral of this story.

Let’s dig deep to understand the most basic question in risk management. Continue reading

Time and Tide waits for no man...

Was going through a post on Black Scholes and the normal distribution By Cathy O’Neil, a data scientist from mathbabe.
Its surprise to notice that what people in finance do or do not assume about how the markets work. I wanted to dispel some myths (at the risk of creating more).

Quantitative trading and Quantitative risk has big difference in them so lets try to figure it out.

Markets are not efficient

In quantitative trading, nobody really thinks that “markets are efficient.” That’s kind of ridiculous, since then what would be the point of trying to make money through trading?
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