Publications & Research

Some interesting, I hope in a way timeless, articles & Deep Dives first published by Macro Hive, covering a large variety of topics. Special thanks to Bilal Hafeez CEO at Macro Hive, one of our “Expendables”, who granted my wish to liberate those pieces from “Paywall Prison”.

Equities, Volatility

23rd September 2026

Quant Bits: Strange Bedfellows – When the VIX and the S&P Share a Pillow

In 9,243 trading sessions across thirty-six years, the S&P 500 and the VIX have climbed together — sustainably — on just 5.2% of days. That works out to 20 discrete bedfellow arrangements, median duration 23.5 sessions. Six of the twenty — April 1998, March 2000, June 2007, February 2011, January 2020, November 2021 — preceded drawdowns of ten per cent or more within the following six months. The cat is fine. The cat is dead. You do not know which until you open the box, and sometimes the box takes half a year to open.

Thorsten Wegener

Volatility

27th April 2026

Entropy vs. Volatility – Understanding Financial Market Risk Beyond Standard Deviation

Standard deviation and the VIX have long been the dominant language of market risk. This article argues that they are necessary but insufficient. Shannon entropy — borrowed from information theory — measures not how large the moves are, but how disordered and unpredictable the distribution of outcomes has become. Used together, volatility and entropy give traders a far richer picture of regime conditions.

Thorsten Wegener

Bonds, Equities, Volatility

1st September 2023

VTAD: Ferraris, Blow & Hookers oder “High Growth, Tail Hedged Protocol” (DEUTSCH)

Ich gehe davon aus, dass der gewählte Titel Ihre Aufmerksamkeit erregt hat und dass ich nun etwas ernsthafter in das Thema “Volatilität als Anlageklasse” einsteigen kann. Das “FBH-Protokoll” als elegante Erweiterung der traditionellen Asset-Allokationsprozesse geht auf ein Treffen zurück, das ich vor gut 25 Jahren mit zwei Portfoliomanagern eines großen niederländischen Pensionsfonds hatte. Seitdem ist mir das “FBH-Protokoll” unter verschiedenen Namen und Abkürzungen in der institutionellen Welt der Portfoliooptimierung begegnet.

Thorsten Wegener

Options, Volatility

23rd May 2023

Macro Hive: Zero Days to Castration Options – Bad Things Will Happen, Eventually

Now that I have your attention let’s use the proper term again for this increasingly popular trading instrument: Zero Days to Expiration Options, or short Zero DTE Options. According to CBOE data, these fascinating little gems of speculation are now contributing to just under 50% of options traded in the official markets

Thorsten Wegener

Equities

9th May 2023

Macro Hive: The Rise of the Algo-Shepherds

Why does the option guy feel the need to write about algorithmic trading you might ask? Because I think my ilk is kind of responsible, some say in a big way, for the Frankenstein monster that seems to run markets to a large degree nowadays. I will explain later in the article where option traders get their ‘fair share’ of blame for what I (grey hair and all) see as an abomination of the normal flow of markets, if there ever was one.

Thorsten Wegener

Others/Fun

2nd December 2022

Macro Hive: Grey Swan 2023 – A Very Peculiar German Coup

The White House chief of staff entered the Oval Office through the door connecting his office to the president’s. He almost felt bad ruining the president’s planned trip to Nantucket – a nice distraction he had been looking forward to all week. Well, the president would get his distraction. His report was almost too absurd not to feel a tingle of excitement.

Thorsten Wegener

Macro

13th July 2022

Macro Hive: How Long Will This Bear Market Last?

Mark Twain once noted that history does not repeat, but it often rhymes. That is certainly the case with bear markets. They are each different in many ways – but there are also common patterns that seem to show up most of the time.Here we examine the 10 bear markets since 1955 to tease out what they have in common, and what that may tell us about where markets may head in coming months. But first, some definitions!

John Tierney

Macro

22nd June 2022

Macro Hive: Why Do Central Banks Use Futures Prices?

Futures prices are important to understand. They are used by various institutions in their forecasts and thus help shape government and central bank policy. However, their effectiveness as a forecast of actual future price is limited. Using UK inflation and the Bank of England as an example, we explain what futures are and why forecasters use them despite their limitations

Henry Occleston

Equities

26th May 2022

Macro Hive: Trading Hacks – The One-Two Punch

‘May you live in interesting times.’ Often quoted as the Chinese Curse, its origin is dubious. One theory suggests it just might have originated not in China but with the Chamberlains of ‘peace in our time’ fame. Regardless, interesting times doubtless also hold the opportunity to profit from the ever-repeating patterns we tend to observe while trading financial assets. And one of those opportunities to make a fast buck, I call the ‘one-two punch’.

Thorsten Wegener

Equities

16th May 2022

Macro Hive: Market Indicators That ALWAYS Work

It is not too difficult to call market lows, if you focus on the three, time-tested indicators below. They have nothing to do with macro analysis, fundamental number crunching, checking up on put/call ratios or even doing the opposite of what Jim Cramer does on CNBC

Thorsten Wegener