Volatility Gone??

[doctorj]

Whilst not exactly vol related, http://www.bloomberg.com/apps/news?pid=20601087&sid=aaeSiksLwotY is worth a read. The (new) binary nature of risk has had a very interesting impact on the way 'risk' assets are priced in relation to one another.

 

[MRC & Co]

For anyone interested in the potential of algo trading to volatility. Not that I agree with all the article, but some of the strategies are absolutely used. Just another form of frontrunning as a scalper, only this time, through an algo.

http://www.themistrading.com/articl...ic_Equity_Trading_on_Wall_Street_12-17-08.pdf

 

[Timmy]

Thanks for the articles DocJ and MRC.

MRC, that article looks to be from about the end of 2008? I can't see a date on it but end 2008 seems about right? Also, on page 4, the numbered point 4, where the authors say :

spreads on S&P 500 stocks have doubled in October 2008 as compared to earlier in the year. Spreads in Russell 2000 stocks have tripled and quoted depth has been cut in half

are they referring to the bid/offer spread or to the price range on the day? I ask because sometimes the terms used in the US are slightly different to the terms used in the English-speaking part of the world , and just want to understand the article fully.

Very interesting stuff and needs to think about implications for retail traders.