Podcast: The Volatility Episode w/ Andrew Thrasher

JC Parets
November 18, 2019

Andrew Thrasher is the person I turn to whenever I have questions about Volatility and the $VIX. I know he tracks the data much more closely that I do and he does a good job of simplifying what may seem like complicated concepts. With the current market environment pricing in very low volatility moving forward, one can argue there is too much "complacency" towards stocks. Historically, corrections are sparked from this sort of setup. Who better to bring on to the podcast for this special Volatility Episode than Andrew Thrasher, winner of the 2017 Dow Award for his paper on Forecasting a Volatility Tsunami. In this conversation we talk about the current volatility regime, the VIX curve looking out into early 2020 and how he incorporates breadth data to supplement his volatility analysis. I really enjoyed this conversation and it seems like the perfect time to talk about Volatility!

  • Decline in the standard deviation for the VIX
  • Z-score for VIX curve based on spot VIX and 3-mo VIX

Decline in the standard deviation for the VIX

VIX

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Z-score for VIX curve based on spot VIX and 3-mo VIX

VIX Curve

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