QuantCrunch

11/08/2021

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02/03/2021

04/07/2020

SPX forwards vs spot changes, impacted by dividend forecast dropping and interest rates getting cut.

SPX forwards vs spot changes, impacted by dividend forecast dropping and interest rates getting cut. ...

03/25/2020

SPX 3 months implied volatility vs spot 10 days realized volatility

SPX 3 months implied volatility vs spot 10 days realized volatility ...

03/25/2020

SPX 3 months implied volatility estimation based on the price dynamic. The realized volatility explains 3/4 of the implied volatility dynamic.

SPX 3 months implied volatility estimation based on the price dynamic. The realized volatility explains 3/4 of the implied volatility dynamic. ...

03/25/2020

SPX implied volatility term structure over the course of the month

SPX implied volatility term structure over the course of the month #...

03/25/2020

SPX skew changes (normalized), bye bye COVID???! Welcome upside!!! ...

SPX skew changes (normalized), bye bye COVID???! Welcome upside!!! ... ...

03/16/2020

Sectors down over the course of the month, leaded with Energy and Financials.

Sectors down over the course of the month, leaded with Energy and Financials. ...

03/16/2020

SPX 10-days realized volatility reaching almost 100% while implied volatility collapse in the rally...

SPX 10-days realized volatility reaching almost 100% while implied volatility collapse in the rally... ...

03/10/2020

What a day... SPX down 7.6%. Here are the daily changes since January 2010:

03/08/2020

WTI & Brent 1-6 months future spread % change (over the past 6 months). Term structure collapsing over virus concerns

03/08/2020

Rates move