The Baltic Dry Index

Commodity markets would not function without the shipping industry. Shipping is a huge, complex, sophisticated and fascinating market which has its own economy, dynamics and balances. The Baltic Dry is a highly monitored and particularly popular index among market participants in both commodities and shipping industries as it provides a good approximation about the shipping […]

Option Greeks and Hedging Strategies

Hedging options positions is not particularly easy and in several cases it is more of an art than science. This is because there are multiple ways to hedge, multiple factors to monitor at the same time and each market participant has different hedging requirements (think about a specific company that needs to defend a certain […]

Oil Fundamentals: Upstream, Midstream, Downstream & Geopolitics

The third research article of the oil fundamental series will explore and break down the whole oil industry. Specifically, the current research will explore what upstream (exploration and extraction), midstream (logistics and transportations) and downstream (refining) sectors are and what they do. The current research will also go through the geopolitics of oil and examine […]

The VIX Index: step by step

Volatility indices have increasingly become more popular over the course of the recent years but there is one index that, more than others, has caught the attention of investors and market participants: the VIX index. The VIX was invented at the beginning of the 90s and tracks the performance of the S&P500 options market. The […]

The Volatility Smile

Implied volatility is arguably the most important metrics to calculate and monitor in every options market. The implied volatility when analyzed over a certain number of strike prices becomes a so-called smile. However, the shape of volatility can vary and any change in the shape of the volatility curve signals that market participants are anticipating […]

Oil Fundamentals: Reserves and Import/Export Dynamics

The second research article of the oil fundamentals series is going to focus on three macroeconomics aspects which are the core of oil market: oil reserves-to-production ratio, oil import and oil export. The present research article will explore how big oil reserves are by region, it will proceed with analysing oil imports by country to […]

Extracting Implied Volatility: Newton-Raphson, Secant and Bisection Approaches

Εxtracting implied volatility from options premium is something that traders, market makers and analysts have to do. Implied volatility arguably the most important number to compute and monitor in the options market so adopting a good, reliable, robust model is absolutely necessary. A wrong implied volatility number would lead to mispricing, inaccurate trades and a […]

Equity Volatility Indices: VIX, VXN, VXD, RVX

Volatility indices are some of the best indicators as far as market fear is concerned and some of the most efficient market to use to hedge unwanted volatility exposure. The present research will go through data for the VIX index (which tracks the implied volatility in the S&P500 options market), the VXN index (which tracks […]

The Pricing of Commodity Options

Pricing options contracts is not particularly easy to do and there are quite a lot of companies around the world whose business model gravitates around pricing options contracts. Market making options quotes (bid and ask) is a fairly large business which involves investment banks, hedge funds, brokers and independent trading houses. The current research will […]

The US dollar Index

The current research breaks down the US dollar index and explores what its components are. The US dollar index, which can be treated as a stand alone market since it can be traded using financial derivatives, is very important to track the performance of the dollar against some of the most important currencies in the […]