tail risk – Hedgopia

7 Sep 2016

Hedge Funds Aggressively Shorting VIX Futures, Even As Price Of Tail-Risk Protection Rises

by hedgopia | posted in: Derivatives, Equities, Technicals | 0

At first glance, major U.S. equity indices are at/near all-time highs, with suppressed volatility. Amid this tranquility, the cost of protection is on the rise, and hedge funds’ net shorts in VIX futures are taking an increasing share of open … Continued

29 Jul 2014

SKEW highest since 1998, risk is elevated in equities

by hedgopia | posted in: Derivatives, Equities | 0

The Chicago Board Options Exchange has been publishing values for the CBOE S&P 500 Skew Index since February 2011. The index seeks to measure the perceived risk of extreme negative moves in U.S. equity markets – the so-called tail risk. … Continued