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16 February 2012

Instant Implied Volatility

One of the great features of the RiskAPI Add-In is the ability to quickly generate implied volatilities from standard option symbols. How quickly? As they say, a picture is worth a thousand words:

Here we took today's (February 16th) top 10 most active U.S. equity options by volume and generated implied volatilities based on their last closing market price. This particular method uses pre-set keywords via the Add-In's "Market Macro" mechanism. The symbols being used follow the OCC's standard option symbology coupled with a ".X" suffix, which identifies listed U.S. Equity options in the RiskAPI system.

The RiskAPI service is numerically solving for implied volatility for each option based on a configurable model for each option (black-scholes, tree-based, or closed-form approximation). Included is also a delta calculation for each option as well. Note that all calculations occur on the service-side, with Excel merely being used as the launch pad for requests.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

18 January 2012

A Review of 2011: SP500 1-Month Volatility

2011 was quite the year and we have the numbers to prove it. Below is a trailing one-month realized volatility chart for the S&P 500 index. Of note is the spike in August into September, which coincided with some of the worst news from the EU debt crisis hitting the wires:

With a Greek default deadline looming once again in February, 2012 should be no less interesting.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

11 November 2011

SP500 Correlation to Euro Spikes

As all eyes have been on the debt crisis in Europe, increasingly volatile US equity market gyrations have continued unabated. If there were any doubt as to the nature of these daily triple-digit Dow moves and double-digit SP500 moves, one need only look at the recent spike in SP500/EUR correlation. Presented below is a chart showing trailing 1-month correlation of the US market Vs. the Euro.

It will be interesting to see if the recent correlation high of 0.816 is breached and/or if this will be a harbinger of perfect correlation (i.e. 1.0) between the Euro currency and the US stock market.

The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.

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