The BCK Volatility Blog

Check out some of our most recent blog posts below and click to read more.

Taleb Traditional Asset

TALEB'S ANTIFRAGILE & OUR TRADITIONAL ASSET STRATEGY

August 8, 2019

“The fragile wants tranquility, the antifragile grows from disorder, and the robust doesn’t care too much” - Nassim Taleb, Antifragile: Things that Gain from Disorder
The message above, from former Trader turned Philosopher Nassim Taleb, takes aim at a common course of action in the investing world: when trying to 'beat the market,' most aim to outperform year in and year out. This is, for those outside of Renaissance Technologies' Jim Simons and a few other investing luminaries, a near impossible goal that leaves one exposed to ruin.


Tony Cooper Roll Yield

ULCER PERFORMANCE INDEX - EVEN BETTER THAN THE SHARPE RATIO

July 31, 2018

In our previous post, we discussed the Sharpe Ratio as a way to measure risk within one's portfolio. If you have not read our post, we highly recommend familiarizing yourself with the important (and perhaps over sensationalized) statistic that we, as well as many others throughout the investment community, use.


vix

THE SHARPE RATIO: USEFULNESS & LIMITATIONS

July 8, 2018

If you've ever landed on our site, or any of the other volatility trading sites, you're probably interested in investments that are riskier than government T-bills. These government T-bills are considered risk free investments; there are no interest payments and there is considered to be no default risk associated with the bills because they are backed by the government. As investors, we are seeking the highest possible return in exchange for the lowest amount of risk possible. Percentage returns on investments are easily understandable to the layman investor; however, measuring risk in your portfolio may be less comprehensible to some. So how do we measure risk?



vix

EVALUATING TONY COOPER'S MOMENTUM VOLATILITY STRATEGY

February 14, 2018

This post is a test of Tony Cooper's Momentum Volatility Strategy. The "Momentum Strategy" is straightforward; hold the single ETP (XIV, VXX, ZIV, VXZ) that has the best returns as measured over the last 83 days (83 day return must be positive, else the strategy will be in cash). He chose "83" days because of its performance versus other values. The other values tested for "days" ranged from 20 - 90 . It's key to point out that this strategy is based on a different methodology than most are used to seeing in the volatility space.



long volatility

OUR VOLATILITY STRATEGY BACKTESTED ON DATA FROM THE 2008 FINANCIAL CRISIS

February 8, 2018

With Monday's "demolition" of short volatility, and subsequently XIV, many are wondering whether these products will survive the next recession. Outside of the termination of XIV, short volatility products have historically tracked their indicative value very accurately. Many speculate that Credit Suisse caused the short volatility explosion by attempting to liquidate holdings