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Why Has U.S. Stock Market Volatility Collapsed?
by Jason Goldberg of PIMCO, 4/24/17

If you had asked that question at the end of February this year, you could have plausibly pointed to two key factors to explain the drop in volatility. First, the U.S. equity market (as measured by the S&P 500) had rallied 10% since November’s surprise election of Donald Trump – and rallies in equities typically are accompanied by drops in volatility.

Lies, Damned Lies and Equity Skew?
by Jason Goldberg of PIMCO, 6/19/15
Equity skew, which at its most basic purports to measure the difference in the value of stock options with different strike prices, is one of the most used (and abused) sentiment measures in the equity options market. While skew measures can occasionally offer valuable information on the flows within equity derivatives, they can also be highly misleading.
2 results found.