SPDR S&P 500 (SPY)

[spdpro]

Christopher Cole > this was his idea
video first shown in conjunction with his speech in 2012 Global Derivatives
and Risk Management Conference in Barcelona, Spain.

wish it was updated

"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.

Concept and Creative Direction by Christopher Cole, CFA
Visual Animation and Programming
by Jayson Haebich www.BrokenPixelProductions.com
Title Design by Nataliya Vakulenko