Interesting data

From: Horseless
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Date: 07 Jan 2008
Time: 16:25:53

Comments

So if I look at the volatility explanation from Deal Sleuth's reference it says abnormal profits are due to the seasonal decline in vol in December. However, the chart shows the December number is very small compared to the vol chart's declines for April, May, June and November. Were the HF profits huge in those months but no one is writing about them? Also, looking at the weekly data I downloaded from Bloomberg, in the last 10 years, half of the time vol went up and half of the time vol went down in December. The average down number is due to two years only (2007 and 2001). Also the authors seems to be (incorrectly) implying that cash accounting is used instead of accrual accounting so that December expiry profits represent positions held for months.

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