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"Volatility At World's End" - Visualizing Two Decades Of Stock Market Volatility

Submitted by Tyler Durden on 04/18/2012 08:05 -0400

Several days ago we published the latest seminal paper by Artemis Capital Management, a must read for everyone confused about market dynamics in the "central-planning normal." Since a core focus of Artemis' long-running narrative has been the impact of endless interventions in markets, and their distortions of volatility, the firm's Chris Cole has prepared the following addendum animation showing the vol curve over the past 20 years, which ultimately has led to what we have dubbed a "centrally-planned, liquidity addicted, temperamental abortion".

From Artemis:

The video was first shown in conjunction with Christopher Cole's speech at the 2012 Global Derivatives and Risk Management Conference in Barcelona, Spain.

"Nobody will deny there is roughness everywhere...." Benoit Mandelbrot

The movement of stock prices has been an obsession for generations of speculators and traders. On a higher level mathematicians believe that modern markets are an extension of the same fractal beauty found in nature. Visualized these stock markets may take the shape of a turbulent ocean with waves made of human hopes, dreams, greed, and fear.

Merging the world of high-finance and high-art Artemis Capital Management LLC is proud to present a creative visualization of stock market volatility over the last two decades.

"Volatility at World's End" Two Decades of Movement in Markets

is a depiction of real stock market volatility using trading data from 1990 to 2011. The visuals are designed from S&P 500 index option data replicating the implied volatility wave (or variance swap curve) extending to an expiration of one year. The front of the volatility wave contains the same data used to calculate the CBOE VIX index. The movement of this wave demonstrates changing trader expectations of the future stock market volatility. As the wave moves through time the expected (or implied) volatility surface transforms into a realized volatility surface derived from historical S&P 500 index movement. The transition represents what professional traders call "volatility arbitrage". The color variation in the volatility waves show the volatility -of-volatility or internal movement of the wave. The track underneath the volatility wave represents underlying S&P 500 index prices.

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Wed, 04/18/2012 - 07:57 | 2354191 francis_sawyer

All I see is a bunch of blow... Where are the hookers?

Wed, 04/18/2012 - 08:06 | 2354209 GetZeeGold

Get your own hookers. It's the world's end. It's everyone for themselves.

Wed, 04/18/2012 - 09:58 | 2354622 hedgeless_horseman

It's the world's end. It's everyone for themselves.

Then you'll need to make your own exploding red mist with a funky beat, so get one of these:

http://www.youtube.com/watch?v=WOoUVeyaY_8&feature=player_detailpage

Wed, 04/18/2012 - 15:10 | 2355685 resurger

AA-12 is fucking PAWNAGE!

Thu, 04/19/2012 - 22:54 | 2360228 MeelionDollerBogus

#winning

Money truly does make the girl go round

Wed, 04/18/2012 - 08:07 | 2354211 Oh regional Indian

Kind of dumb actually.

More like an Art project than anything meaningful. If they had paused at the spikes or some such, one could have correlated something.

This is just some flashy pictures and really BAD music.

ori

/socthr-e-never-too-late/

Wed, 04/18/2012 - 08:14 | 2354223 cossack55

However, it does beg the question:

If an aborted economic fetus survives the abortion, is it then an economic zombie?

Wed, 04/18/2012 - 08:27 | 2354256 Zero Govt

we can't answer that until post-abortion

..until then eat your popcorn

Wed, 04/18/2012 - 09:19 | 2354472 Dr. Richard Head

It's getting pretty late term though. Weird-Beard Bernanke will need more than 15 minutes to perform his abortion.

Wed, 04/18/2012 - 08:53 | 2354365 Urban Roman

We'll have to pass it before we can see what's in it.

Wed, 04/18/2012 - 11:02 | 2354847 Stuck on Zero

You're just not into hip-hop economics.

Thu, 04/19/2012 - 22:54 | 2360222 MeelionDollerBogus

meh. I saw all the correllations as it was going, and when the lower spy graph wasn't showing at least the numbers were moving. Meh. Watch it twice if it suits you, I saw it in one

Wed, 04/18/2012 - 08:00 | 2354198 achmachat

note to self:

the interns at Artemis Wealth Management have way too much time on their hands.

Wed, 04/18/2012 - 08:01 | 2354200 Seorse Gorog fr...

Seorse Gorog from that Quantum Entanglement Fund. alright_.-'s picture

If you think that's good then check this out!...

http://www.zerohedge.com/contributed/2012-16-18/best-presentation-volati...

Wed, 04/18/2012 - 09:33 | 2354529 bank guy in Brussels

Seems to have been posted four hours earlier with the same vid, but zero comments there ... er, one comment now ...

Wed, 04/18/2012 - 08:12 | 2354210 Ralph Spoilsport

The "volatility of volatility". Sounds volatile and variable as all hell. We now have more than enough explosive vapors present, all we need now is the right ignition source to set it all ablaze. All the central banks have to do is stop printing fiat.

Wed, 04/18/2012 - 08:13 | 2354221 CPL

Only if measuring in absolutes like "things" and "stuff"

Wed, 04/18/2012 - 08:15 | 2354227 cossack55

I believe those are the only popular absolutes that exist in the USSA.

Wed, 04/18/2012 - 08:32 | 2354275 Oh regional Indian

i think you can find lots of "stuffed" "things" in the USSA also.

Some of them waddle and drive too.

ori

Wed, 04/18/2012 - 08:07 | 2354213 Death and Gravity

Better for dance parties than for illustrating the volatility of markets.

Wed, 04/18/2012 - 08:32 | 2354274 Zero Govt

yep, i know a couple of Clubs that could make good use of this Vid

Wed, 04/18/2012 - 08:14 | 2354222 Platypus

I think the graphics are really cool. But the music and purpose are as lame as it could be.

Wed, 04/18/2012 - 08:14 | 2354226 GeneMarchbanks

fluctuat nec mergitur (it fluctuates but does not sink)

Wed, 04/18/2012 - 08:35 | 2354279 Oh regional Indian

Did you just make that up? If not, do you knwo Latin? If yes, how does it feel?

I'm serious.

ori

I only got as far as Mensa, Mense, Mensum!

So Sink and Merge have the same root?

Wed, 04/18/2012 - 08:43 | 2354313 GeneMarchbanks

I last saw this latin phrase in Taleb's Black Swan in Cairo article pertaining to US foreign policy in the MENA region.

Like Montaigne I 'collect' them. Here's a good link: http://www.yuni.com/library/latin.html

Wed, 04/18/2012 - 08:53 | 2354351 Oh regional Indian

Aha! Grazzi for the link. Now I need to find out how to say Grazzi in Latin.

ori

Wed, 04/18/2012 - 08:20 | 2354237 duo

Edward Tufte would puke if he saw this.

Wed, 04/18/2012 - 10:16 | 2354689 machineh

In envy, or disgust?

Wed, 04/18/2012 - 08:24 | 2354253 Hobbleknee

The video is pretty cool, but I'd rather see the data on a static chart.

___________________________________________________________________

Compare dealer gold prices

Wed, 04/18/2012 - 08:31 | 2354272 francis_sawyer

You're only choice there is Birinyi, his ruler, & purple crayon...

Thu, 04/19/2012 - 22:49 | 2360212 MeelionDollerBogus

I would have liked to see all the correlated things in the market, to the index, and to oil, and to gold also each be shown overlaid - and on a scatterplot. But the scatterplot truly takes the fun out of it by making the whole big picture truly obvious.

Wed, 04/18/2012 - 09:47 | 2354584 kahunabear