The Mighty Mo' (Part 2)

I was lucky enough this fall to find 4 days to sneak away to blue skies and a deserted river. A few years ago, my dad and I floated a section of the Missouri known for it’s spectacular white cliffs. This year we floated the next 60 miles from Judith Landing to Jame Kipp Recreation Area. We floated the section over 4 days, averaging about 5 mph and usually paddled for around 4 hours each day.

A comparison of different data streaming options

Recently, I’ve been examining different data streaming options as part of my work for GA4GH. The mission of this group to provide a standard API for accessing genomic data. One of the challenges of bioinformatics is that it is currently file based. There are various file formats (which somewhat adhere to standard specifications) and to do any type of analysis you need compose multiple files into a useful data structure that you can analyze.

Dual-Momentum

I’ve been wanting this app for years. Basically, it’s a dashboard that shows what my core portfolio should look like at any point. In the past, I’ve just used a spreadsheet that calls out to Yahoo! Finance to get quotes and compute performance. I can then construct the allocation manually. This works fine but it’s a pain in the neck each month. And in trading, these annoyances usually turn into mistakes.

Recovering from Foot Surgery

This surgery had been a long time in the making. I developed a pretty good sized bone spur on my heel over the last ten years. A bone spur in this location are referred to as a Haglund’s Deformity or a “Pump bump” because they are often the result of wearing high heels. Mine, however, can be attributed to jamming my feet into climbing shoes that were too small, ski boots that didn’t quite fit, and being incessantly pounded in mountaineering boots.

Lithuania, Switzerland, and Sweden

This summer I took a trip that I’ve wanted to take for a while. I don’t think Lithuania is on most people’s top travel destinations, but it’s a really fascinating place to visit. I’m Lithuanian, but had never actually visited the “homeland”. So this summer my dad and I packed our bags and set out for Lietuva. We decided to bookend the trip with a few days in Stockholm and a visit to see my sister Switzerland.

Weather-App - A quick exploration of React.js

Over the weekend, I put together a quick app using React.js. I’ve gotta say I was really impressed. It’s the first front-end framework I’ve used that has seemed to hit the sweet spot in terms of complexity and clarity. The app is utterly simple so I hesitate to even label this a “project”, but nonetheless it had enough complexity that it produced a couple challenges along the way. You can check it out over here.

VarSeq

In late 2013, Golden Helix started development on a new desktop tool called VarSeq. It aimed to solve many of the difficulties both researchers and clinicians experience when analyzing Next Generation Sequencing (NGS) data. It is intended to be used to analyze the output of a bioinformatics pipeline and relies on VCF files as its input. I took on a broad leadership role in the project. I worked both as a Product Manager and as a Developer.

Georgia Tech's OMSCS

“Ugghhh. Why won’t this work,” I disgustedly say as I push myself away from may desk and walk back to my kitchen to make another cup of tea. It’s 10 pm on a Sunday night and I’m working on an assignment due in my Computer Vision class tomorrow. The plan was to have had it all wrapped up by 3 pm, but the clock swiftly rolled past that milestone as I struggled to morph one image into another.

SPX Price Action During times of VIX Backwardation

For a while I’ve been curious to see if there is any effect on a backwardated term structure in VIX Futures on future returns in the SPX.

Contago and Backwardation

Example of a generic futures curve in contago and backwardation. (from CBOE Options Hub)

Example of a generic futures curve in contago and backwardation. (from CBOE Options Hub)

A brief background on why this might be interesting…

The VIX measures the price that traders are willing to buy options to protect their portfolio. The spot VIX measures this price. You can buy futures on the VIX. Essentially you are making a bet where the VIX will settle on the date of expiration of the VIX future contract. At settlement you get paid the amount your future is worth. Thus, the futures trade off the price that traders think the index will be at settlement. In times of stress trader run to buy options, pushing the VIX up. Since the VIX is mean reverting this will pull the front month up more than the back month since traders figure that over time the VIX will return to is average levels of about 20. This term structure where the front month is greater than the back month is referred to as backwardation.

However, the “natural” term structure for VIX Futures is contango since they are somewhat tied to the price of SPX options which are naturally more expensive further out in time since there is more uncertainty in the future (even adjusted for time) – this is why back month options trade at a higher vol (usually) than front month options.

During big down drafts we see the VIX future curve go into steep backwardation.

Here’s the question:

Does this backwardation happen quickly enough into the draw down to get you out?

Head over and check out the iPython Notebook if you are curious about the analysis.


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