3min chapter

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Dean Curnutt:  Ten Handy Facts on Vol

Alpha Exchange

CHAPTER

The Psychology of Volatility

The tech bubble and unwind, the tragic attack on 9-11, and the accounting crisis in 2002 all kept vol elevated after LTCM's demise. In March of 2020, the SPX had three successive days where it experienced a 9% close to close move. These burst of volatility effectively make an investor's portfolio much larger than desired from a value at risk standpoint. The best time to sell vol is into an impaired market at skyhigh levels.

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