ORATS ETF Component Report News: We have been seeing low implied volatility correlation in the XLB Materials components over the past days and today it is becoming clear why. A massive merger between DuPont and Dow Chemical is reported in advanced stages. Both are up > 10% today driving the beleaguered XLB up 3%.

We also see XLB 5 day historical volatility above the 252 day and implied volatility, usually a negative sign. With the remarkable merger, at the least it looks like XLB has volatility in its future.



related posts

Implied Volatility Term Structure's Three Parameters
Volatility, contango, term structure, volatility skew, calendar, implied volatility

Implied Volatility Term Structure's Three Parameters

Important information on a ticker is found in the implied volatility (IV) term-structure...

Read Post
VIX Level Trigger in Backtesting
Volatility, Backtesting, Data, Forward Volatility, term structure, options quotes, options trading, technical indicators

VIX Level Trigger in Backtesting

Here's how to use the level of VIX, or any symbol's price, to drive trading in a backtest by...

Read Post

We're here, if you need us.

Still curious how we can help you?