Volatility Views

Volatility Views 11: Good Sources of Volatility Volatility Review:   Divergence between realized and implied volatility.   Expiration day for the June 1- and 3-month VolContracts.  Don't write off the last trading day; every data point matters. Volatility Viewpoint:  Mark and Don discuss their resources for volatility news and information. Crystal Ball:   Will the S&P 500 hit a critical psychologi...

Volatility Views 10: Options Die A Little Every Day Volatility Review:   Hit the bids and then hit the road?  Significant fear uptick.  Should VIX skew exist?  Commodities adjustments set volatility running.  Euro vol: simultaneous expiration of the June 1- and June 3-month VolContracts on Friday.  When do remaining time frames open the door for arbitrage opportunities? Strategy Session:   If real...

Volatility Views 9: Managing Ratio and Calendar Spreads   Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April.  What will June bring?  Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity.   Strategy Session:   1x2 ratio spread.  Don discloses that he sold premium.  Spread m...

Volatility Views 8: Live From OIC 2011 Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange. Volatility Review:  Euro vol contract update: stable, but at a high level, hanging out at the 12.50 range.  Bob gives a detailed overview of how the product works. Crystal Ball:  The news makes it reasonable to think that volatility will stay high.  What is comin...

Volatility Views Episode 7: Venturing Into The Volatility Mailbag Week In Review:   Market and IV both rally, crushing call spreads.  Euro vol has surprising pop, with May settlement significantly higher than March or April.   Listener Mail:  Selling ITM Covered Calls To Capture Skew; What is the time frame for new VolX Products? Will there be realized volatility contracts on AAPL? SPY? Volatility...

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert Engle Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH models, and how the ARCH model was born The Volatility Institute Vlab SoFiE Professor Engle's work with the SEC's Flash Crash Advisory Committee The Profes...

Volatility Views 5: The Thwack of Volatility Volatility Review:  Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday.  Euro VolContract update.  Sebastian talks about the thwack of volatility. Strategy Session:  Dynamic vs. static hedging for professional traders.  Don recommends two articles: Volatility Hedging - Turn Up the Static! Volatility Exposure for...

Volatility Views 4: The Many Flavors of Volatility Cones Volatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract.  "Sell" was the word in vol last week.  Contango craziness. Strategy Session: Contango - a basic introduction; Mean reversion - beyond basic introduction; Volatility cones as a trading signal: they come in many flavors...

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year.  Ten-day realized vol is near two-year lows.  Is this the eye of the hurricane or the calm after the storm?  Implied vol really low, although IV ended up on the week in the S&P 500.  Market doesn't completely trust the low vol levels. Strategy Session:  Continuing last week'...

Volatility Views Episode Two: The Shadowy World of Volatility Swaps Mark and Don are joined by Mark Sebastian from Option Pit.  There is no shortage of opinions on volatility this week. Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro VolContracts (TM) show a sharp volatility decline over March; VolX adds RSJ as a market mak...

Volatility Views Premiere Episode: Can Delta Neutral Capture Pure Volatility? In the debut episode, Mark and Don are joined by Dan Passarelli from Market Taker Mentoring. Volatility Week In Review: Volatility taking a steep downturn as concerns lessen; Skew Index - Can it predict Black Swans?; why has volatility dropped; the phenomenon of markets dropping precipitously and rising more steadily; Eu...

Volatility Views: Preview Two In this second sneak preview of Volatility View, Mark and Don record live from the croquet fields in Boca Raton. Topics discussed include:     Japanese devastation spikes volatility     How the volatility smile turned into a smirk     A brief history of portfolio protection     VolX contracts on the Euro move 32% in the first month In the Volatility Viewpoint segment,...

Volatility Views Sneak Preview Welcome to Volatility Views, the latest addition to The Options Insider Radio Network.  Volatility Views is brought to you in collaboration with VolX - The Volatility Exchange. In this preview episode, Mark introduces the audience to Don Schlesinger, Chief Strategy Officer & Vice Chairman for VolX.  Learn about Don's diverse history from school teacher, to Morgan Sta...