Quantopian Blog Risk On: Measuring Algorithm Sensitivity To Volatility Regime Switching

After a protracted period of low volatility in the US equity market, in the first half of February 2018 we saw the largest single day (and week) decline in equity prices since August 2015. At the same time, we saw a substantial spike in the CBOE Volatility Index (VIX), an instrument constructed from implied volatilities [...]The post Risk On: Measuring Algorithm Sensitivity To Volatility Regime Switching appeared first on Quantopian Blog.