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

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.

Comments

[francis_sawyer]

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

[GetZeeGold]

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

[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

[resurger]

 AA-12 is fucking PAWNAGE!

[MeelionDollerBogus]

#winning

Money truly does make the girl go round

[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/

[cossack55]

However, it does beg the question:

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

[Zero Govt]

we can't answer that until post-abortion

..until then eat your popcorn

[Dr. Richard Head]

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

[Urban Roman]

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

[Stuck on Zero]

You're just not into hip-hop economics.

[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

[achmachat]

note to self:

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

[Seorse Gorog fr...]

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

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

[bank guy in Brussels]

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

[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.

[CPL]

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

[cossack55]

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

[Oh regional Indian]

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

Some of them waddle and drive too.

ori

[Death and Gravity]

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

[Zero Govt]

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

[Platypus]

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

[GeneMarchbanks]

fluctuat nec mergitur (it fluctuates but does not sink)

[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?

[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

[Oh regional Indian]

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

ori

[duo]

Edward Tufte would puke if he saw this.

[machineh]

In envy, or disgust?

[Hobbleknee]

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

___________________________________________________________________

Compare dealer gold prices

[francis_sawyer]

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

[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.

[kahunabear]

I'm diggin' it.

[JW n FL]

It's a New World: So What Should We Do? (Video)

http://www.youtube.com/watch?NR=1&feature=endscreen&v=689Z4hwkfuc

Uploaded by cfr on Feb 29, 2012

Laurence D. Fink, chairman and chief executive officer of BlackRock, discusses the challenges facing the global financial system.

This meeting is part of the CEO Speaker series.

SPEAKER:
Laurence D. Fink
PRESIDER:
Maria Bartiromo

http://www.cfr.org/financial-crises/s-new-world-so-should-we-do-video/p27511

Category:

Nonprofits & Activism

Tags:

• CFR
• Council on Foreign Relations
• Laurence D. Fink
• BlackRock
• Maria Bartiromo
• Anchor
• CNBC
• Financial Crises

License:

Standard YouTube License

[Kristian]

Schyzophrenic music represents human intelligence?

[Argos]

Well there goes 5 minutes of my life that I'll never get back.

[carbonmutant]

Milliway's Bitchez...

[resurger]

nice music! great Video