Forecasting a Volatility Tsunami

Let me first say a huge thank you for all the kind words and messages I’ve received regarding winning the Charles H. Dow Award. This past week was the annual Market Technicians Association Symposium in New York. Traders from all over the world came together to discuss the markets, different strategies and approaches to trading, and some of the new technology that’s being developed around technical analysis. It was also great getting to meet many of you that have been following this blog and/or me on Twitter/StockTwits. I always enjoy getting to learn new ways of viewing the financial markets and getting to discuss new ideas with other traders and asset managers.

Needless to say, it was a huge honor to receive the Dow Award on Friday in front of so many professionals I have such great respect for. I’ve uploaded the paper to the SSRN and I look forward you all getting to read my paper, Forecasting A Volatility Tsunami.

It seems we are inundated with the idea that just because the Volatility Index (VIX) is at a low-level that it will immediately spike higher. I found in my research that there’s a better way to forecast these spikes in the VIX, a better way to identify a market environment that has often lead to large moves in volatility. I liken my findings to the forming of storm clouds, not all clouds lead to rain but nearly all rain storms are preceded by the clustering of clouds. The market environment I describe in my paper doesn’t always lead to spikes in the VIX but nearly all spikes have been preceded by this unique price action pattern found in the volatility market. As a Portfolio Manager and someone who places a great value on risk management, I believe it’s important to know when risks of large volatility spikes are present and I believe my paper lays the foundation for this as well as for further research on the topic to be conducted.

Here is the link to read my full Charles H. Dow Award winning paper: Forecasting a Volatility Tsunami

Disclaimer: Do not construe anything written in this post or this blog in its entirety as a recommendation, research, or an offer to buy or sell any securities. Everything in this post is meant for educational and entertainment purposes only. I or my affiliates may hold positions in securities mentioned in the blog. Please see my Disclosure page for full disclaimer. Connect with Andrew on Google+, Twitter, and StockTwits.