Happy new year all ! I Will post some thread about some technical indicator i used to acknowledge the pullback risk.
These indicators are
- implied correlation skew
- ratio VIX/VIXEQ
- variance risk premium
- ratio VVIX/VIX
- « put hate » indicators : SDEX, put/call ratio
Each post will present the indicator.
The main hypothesis based on academic works is that the correlation risk is a leading indicator for the volatility risk.
These indicators are
- implied correlation skew
- ratio VIX/VIXEQ
- variance risk premium
- ratio VVIX/VIX
- « put hate » indicators : SDEX, put/call ratio
Each post will present the indicator.
The main hypothesis based on academic works is that the correlation risk is a leading indicator for the volatility risk.
Dissident Thoughts pinned «Happy new year all ! I Will post some thread about some technical indicator i used to acknowledge the pullback risk. These indicators are - implied correlation skew - ratio VIX/VIXEQ - variance risk premium - ratio VVIX/VIX - « put hate » indicators :…»