Sitting all day is really, really bad for you, even if you aren’t fat or unhealthy. That’s the main thrust of recent coverage from the Times and NPR on research done into the health effects of reduced physical activity, especially sitting. Sedentary time sounds downright dangerous:

This is your body on chairs: Electrical activity in the muscles drops – “the muscles go as silent as those of a dead horse,” Hamilton says – leading to a cascade of harmful metabolic effects. Your calorie-burning rate immediately plunges to about one per minute, a third of what it would be if you got up and walked. Insulin effectiveness drops within a single day, and the risk of developing Type 2 diabetes rises. So does the risk of being obese. The enzymes responsible for breaking down lipids and triglycerides – for “vacuuming up fat out of the bloodstream,” as Hamilton puts it – plunge, which in turn causes the levels of good (HDL) cholesterol to fall. [link ...

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The team at FT Alphaville have been on a tear recently, analyzing all manner of VIX-related issues and potential problems. I’ve linked to those posts below, and they’re definitely worth reading even though I don’t agree with everything there.

Here are two worries about pricing and replication of VIX products that leave me unmoved. First, the matter of replicating the spot VIX index.

As Theo Casey of Futures and Options World has discussed before, it’s actually impossible to replicate the Vix, making convergence arbitrage rather an impossibility. ["What is the fair value of a VIX future?"]

Theo’s post has a quote from Jeremy Wien (a name you should recognize if you follow the VIX space): “the spot VIX itself cannot be realistically replicated, as the execution/bid-offer costs are too high, and rolling the two strips every single day would be a logistical nightmare.” That’s exactly right. While it’s a step too far to say that it is “impossible” to replicate the spot VIX index, it’s certainly impractical to do so.

I had a few quotes in a recent Reuters article on how to trade a government shutdown – the gist is that, while the shutdown news cycle hadn’t uniquely generated any trade opportunities, an actual shutdown was likely to do so. Of course, an agreement was reached late on Friday sufficient to avoid a shutdown, but last week’s confrontation was just a dress rehearsal anyway – the real drama will occur when the debt-ceiling limits are reached in May.

The politics of the situation present some interesting clues about how things might proceed. Grant the truism that one’s personal politics are of no value when it comes to market-timing or trading; I’m not opining about what should be done here, just about what is likely to happen given the recent behavior of the agents involved.

I tweeted yesterday (@volatilitytrade) about how the Wall Street Journal buried the lead on the March unemployment numbers (“Hiring Shows Growing Strength”–since removed…perhaps because of my criticism?), but The New York Times is guilty of even more egregious irresponsibility. The only explanation I can find is that unpaid college interns must be writing these stories…but let’s stick to the facts. Read the original story for yourself:

Job Growth Suggests Resilience of U.S. Recovery

The full text has apparently been removed (perhaps because it was idiotic?), but this was the original buried lead:

Yet March’s numbers also offered more than a few cautionary signs that the national economy was not cured of all its ills. The ranks of Americans who have been without a job for 27 weeks or more remain painfully high, at more than six million. And the labor force has shrunk steadily since the beginning of the recession, to a point that just 64.2 percent of adults are either in the work force or looking for a job. That is the lowest labor participation rate in a quarter-century.

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I tweeted yesterday (@volatilitytrade) about how the Wall Street Journal buried the lede on the March unemployment numbers (“Hiring Shows Growing Strength”–since removed), and now The New York Times has followed suit, with the headline “Job Growth Suggests Resilience of U.S. Recovery”.

In the seventh paragraph, we find the following:

Yet March’s numbers also offered more than a few cautionary signs that the national economy was not cured of all its ills. The ranks of Americans who have been without a job for 27 weeks or more remain painfully high, at more than six million. And the labor force has shrunk steadily since the beginning of the recession, to a point that just 64.2 percent of adults are either in the work force or looking for a job. That is the lowest labor participation rate in a quarter-century.

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A third of U.S. domestic profits in 2010 came from the finance sector, according to recent data from the Dept. of Commerce Bureau of Economic Analysis. (Table 12) That’s the highest percentage since 2007, and is rivaled only by the credit-bubble years of 2001-2006. Maybe the end of QE2 will bring this ratio back toward a reasonable level. Otherwise, the only way to understand the U.S. economy as healthy is if your definition of “economy” starts at 14th St. and ends in Battery Park.

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I really enjoyed chatting with Tadas Viskanta of Abnormal Returns last week. In the video below we discuss VIX whipsaws, the Japan VIX, the volatility risk premium, and the ubiquity of black swan talk.

I’m still getting messages from people who visited the Amazon link and were disappointed because they didn’t own a Kindle. Take heart, gentle reader! You can buy a regular PDF copy from FT Press.

Traders who rely on mean reversion have witnessed some very frustrating periods over the last couple of years, and no tinfoil hats are required to see that Fed POMO operations have had a substantial reflationary effect on equity markets. I am not confident that equities will continue to rally aggressively in the absence of dramatic quantitative easing programs – ending in June, or possibly sooner – and in the face of high energy and food prices. The push for pro-cyclical fiscal policy (tax cuts, spending cuts) by evidence-allergic ideologues is not likely to improve matters. A bearish forecast for equity prices is unwarranted here absent ...

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If you haven’t visited http://www.expiringmonthly.com in the last couple weeks, you should really check it out. We’ve had the site completely rebuilt, not just re-designed, and the changes are pretty exciting.

Besides the visual improvements and organization, the biggest change is that we’re making individual back issues and even individual articles available for purchase, subject to a three-month delay. It’s still much, much cheaper to just take a subscription, but if you want to buy an article or two to check out the quality of our analysis, you can visit the archives area ...

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With the new risk-management rules we adopted in January, the first quarter–which historically has been one of our worst on a seasonal basis–was our second-best quarter since the inception of the Calendar Options strategy almost three years ago. Our quarterly return (not including commis-sions) was 23.83%, and we boosted the percent-age of months positive for the past 12 months to 83.33%. We entirely erased our 4Q10 drawdown, and our Model Portfolio hit a new record high.

Performance Data

The table below (click to enlarge) includes Calendar Options performance data for the fourth quarter, for the past year (trailing twelve months) and since inception. The CBOE Volatility Arbitrage Strategy Benchmark (VTY) ...

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