November 2009
Intermediate to advanced
256 pages
5h 35m
English
book
Market Indicators: The Best-Kept Secret to More Effective Trading and Investing
by Richard Sipley
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Notes
CHAPTER 1 CLUES FROM THE OPTIONS MARKET
Find the white paper on the VIX and its composition at http://www.cboe.com/micro/vix/vixwhite.pdf.
Robert Whaley first introduced the term investor fear gauge in "The Investor Fear Gauge," a 2000 article in the Journal of Portfolio Management. The CBOE also credits him with developing the VIX in 1993.
Find "Implied Volatility and Future Portfolio Returns" at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=896704.
Find "Can the VIX Signal Market Direction?" at http://papers.ssrn.com/sol3/papers.cfm?abstract_id=996384.
Find "Short-Term Declines in the VIX" "An Asymmetric Dynamic Strategy." at http://bespokeinvest.typepad.com/bespoke/2008/04/short-term-decl.html.
Bloomberg users should note to use VIXV. The CBOE issued a white paper with details on the composition of the VXV and its historical relationship to the VIX. Find a white paper introducing the VXV, "CBOE S&P 500 3-Month Volatility Index Description," at http://www.cboe.com/micro/vxv/3monthvix.pdf.
Find the academic paper "What Does Individual Option Volatility Smirk Tell Us about Future Equity Returns?" at http://papers.ssm.com/sol3/papers.cfrn?abstract_id=1107464.
Brett Steenbarger outlined his adjusted put/call ratio in a December 13, 2007, post at his http://traderfeed.blogspot.com blog titled "Spikes in the Equity Put/Call Ratio: A Signal With an Impressive Track Record," which can be found at http://traderfeed.blogspot.com/2007/12/spikes-in-equity-putcall-ratio-signal.html.
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