Posts tagged ‘fear barometer’

From the Desk of Risk: Demand for Downside Protection Falls off a Cliff



Equities are at an all-time high and the demand for protection of downside risk has collapsed. The Credit Suisse Fear Barometer (CSFB) is a measure of the protection that can be purchased through 3-month put options by selling 10% out-of-the-money (OTM) 3-month call options.  For example, if put…

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