Long reads built on primary sources: peer-reviewed research, official exchange documentation and regulators. Every number has a source; quotes are checked against the original.
S&P 500, 1990–2007: implied variance averaged over twice realized variance. The gap predicted quarterly returns, but it is not free money.
Short answer: because option buyers pay for protection against variance, and sellers demand compensation for bearing it. In Bollerslev, Tauchen and Zhou (2009), average implied variance (VIX squared) was 33.23 against 14.93 realized, a variance risk premium of 18.30, about 2.2 times in variance, about 1.5 times in volatility.
The premium carried information about future returns: it explained 6.82% of the variation in next-quarter S&P 500 returns (t = 2.86) and only about 1% at one month, in 1990–2007 data.
It is an average, not a guarantee: the monthly premium has a standard deviation (15.13) close to its mean (18.30) and kurtosis of 12, so single months can be far from the average, and the paper does not report a seller’s profit and loss.
The blog publishes long reads about market structure, derivatives, testing trading ideas and order flow. Articles are built on primary sources: peer-reviewed papers in journals such as the Journal of Financial Economics and the Review of Financial Studies, official documentation of exchanges, and publications of regulators and recognized research institutions. We read the original, check every quotation against it and cite it at the end of the article.
We do not publish news, price predictions, sponsored reviews, rewritten forum posts or lists of "best indicators". If an article states a number, the number has a source listed at the end of the article, and you can open it yourself.
What you will find here
Research covers large tests: the Quasimodo pattern over a year of data, long histories on higher timeframes, regimes and coin selection. Backtesting and overfitting explains how good-looking results are produced by chance and how to protect yourself: out-of-sample checks, the number of variants tried, forward tests with criteria written in advance. Order flow looks at delta, CVD, footprint and the order book with tick data. Market structure defines swings, BOS, CHoCH, order blocks, fair value gaps and liquidity precisely. Arbitrage covers price gaps between exchanges and what it takes to capture them after fees and transfers.
How articles are written
Every article starts with key takeaways, so you can see the conclusion in a minute. Numbers in the text link to notes and to a list of sources at the end. We explain the method behind a finding, not just the headline number, and we say where the evidence is weak. Articles are updated when new data changes the conclusion, and the update date is shown next to the publication date.
Our standard for facts and quotes
A quotation appears only if we have read it in the original source, and it is attributed to its authors with the publication and year. Our own numbers come with the sample size and, where it matters, the error band. We prefer short, checkable claims over sweeping ones, and when a result depends on an assumption, such as the fee level, we show how it changes when the assumption changes.
Questions and answers
Who writes the articles?
The OrderBlock.net research team, the same people who build the scanner. Every article is based on primary sources, which are listed at the end.
Are the articles investment advice?
No. They are research and education. Results on history do not guarantee future results.
How can I follow new articles?
Subscribe to the RSS feed of the blog; there are separate feeds for English and Russian.
Can I suggest a topic?
Yes, write to us on Telegram. Topics that can be checked on data are the most likely to become an article.
