Units Can Save Your Portfolio

The following is an example of how to protect your portfolio against a black swan event. Look back to the flash crash of May 2010. A fund had entered a May OEX butterfly that had been doing reasonably well, until the first week of May. The market began to fall away...

Vix calculation in Excel

VIX is a measure of expected volatility calculated as 100 times the square root of the expected 30-day variance (var) of the S&P 500 rate of return. The variance is annualized and VIX expresses volatility in percentage points. This manner of calculating the VIX...

Black Scholes calculation in Excel

In 1973 Fischer Black and Myron Scholes published the seminal paper for what has become known as Black-Scholes option-pricing theory. Black-Scholes option-pricing theory provided a new way to value stock options, but more importantly it started a revolution in how...

Trading the math

When you think back to the analogy of the horse race, you find a number of variables that affect the value of the bet before the end of the race. Time is a major consideration. Position during the race is crucial. But there are other elements of the race that affect...