Focus on Volatility....01.05.16

Those who venture into the realm of forecasting and trading volatility are finding it harder and harder to find a quantifiable edge.  That may not be due to the lack of skill on the part of the forecasters but may have more to do with the nature of the tradable volatility instruments themselves.
Here's a link to Bill Luby's observations on the 2015 volatility disaster.  Bill's an old hand at this volatility stuff and is highly regarded in the trading community.  Check out some of his other posts if you really want to get down to the nitty gritty.
Then there's the issue of exactly how these instruments are constructed and this is close to a definitive study of VXX .  The site offers other interesting perspectives and is well worth some time.
To finish off today's volatility ramble here's the latest MoPo of the VIX and the VDX studies of  VIX and VXX..  That purple forecast line on the Ponzo chart should give you a chill.