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George Bonne

George Bonne
Executive Director of Equity Factor Research

About the Contributor

George Bonne is Executive Director in the Equity Factor Research team, which develops new factors for MSCI’s analytics and index products. Previously, George was Director of Quantitative Research at Thomson Reuters StarMine, where he created alpha signals and quantitative. He also has worked at Applied Materials and KLA-Tencor. George received his Ph.D. in Physical Chemistry from Harvard University and a Bachelor’s degree in Chemistry from University of California, Irvine. George is a certified Professional Risk Manager.

Blog posts by George Bonne

  1. In May, we wrote that despite the generally low market volatility that has prevailed this year, investors were paying relatively high prices for downside protection as measured by “options skew” – the difference in implied volatility between an out-of-the-money option and an at-the-money option. High skew levels indicate heightened fears of “tail risk” – the chances of unlikely but highly consequential events that could sink share prices. Low market volatility largely continued through the summer, but how has options skew behaved – has it fallen to more “normal” levels?

  2. It’s been widely reported that equity-market volatility, outside of a mid-May spike, has been oddly low given investor concerns that range from North Korean saber-rattling to the fate of tax cuts proposed by the Trump Administration.

  3. Although global uncertainties remain high, the CBOE VIX Index — also known as the “fear index,” recently reached its lowest level since 1993. Some observers have questioned whether VIX remains a reliable indicator.

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