Volatility Views

Best of Volatility Views: The Great Skew Debate Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.

Another selection from The Best of Volatility Views. In this episode, dated June 20, 2011, Mark and Don chat with Bill Luby, creator of the popular website VIX and More. They discuss the roller coaster volatility of late, whether the VIX has underperformed given current market conditions, whether VIX futures are essentially irrelevant, whether VIX should be marketed as a hedging tool, the inherent...

Best of Volatility Views: 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...

Volatility Views 58: Cracking the Bond Code Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue. Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier Universi...

Volatility Views 57:  Turning the Tables on Mark Sebastian Volatility Review: VIX is back this week, after it ended unchanged at 0.0 before last week's Option Block episodes. Time will tell as we see what happens in Europe. NASDAQ one- and three-month realized volatility has had almost no movement at all, but the trend is surely upward.  Volatility Viewpoint: Long-time panelist Mark Sebastian gets...

Volatility Views 56: More Listener Mail Fun Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month edged higher to 16.02. Reacting, rather than predicting, was the order of the day. Listener Mail: We're Going Listener Mail Crazy Again This Week How d...

Volatility Views 55: Good Volatility, Bad Volatility Volatility Review: The play between pre- and post-election Greek volatility has seen big action. Ultimately though, the EU will let the Greeks decided their own fate. Andrew G. does not want to own pre-election juice. Given realized volatility, there has not been much change in the NASDAQ. The three-month realized vol has actually risen somewhat...

Volatility Views 54: Listener Mail Extravaganza, Part Two Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened further. A crazy scenario of implied vs. realized volatility in VIX. Listener Mail: Mark, Don, and Mark take on listener questions. All of this talk abo...

Volatility Views 53: An Insider's View of Risk Management Volatility Review: There is an extra note of tension in the market with S&P vol waiting for the other shoe to drop. NASDAQ vol is slightly higher. JPMorgan news does little to rattle VIX. Volatility Viewpoint: Today's guest, Todd Petzel, the Chief Investment Officer at Offit Capital, sits down with Mark and Don, and discusses myriad aspects...

Volatility Views 52: The Father of Financial Futures Volatility Review: Listeners from last week may remember Don made a timid prediction that the realized volatility of NASDAQ could be going a bit higher, and it managed to inch up a few basis points. It was a strong down week for equities. Since this selloff was gradual, the actual market volatility was not significant. Greek and French elections...

Volatility Views 51: Risk Managers: The Adults in the Group Volatility Review: VIX options were absolutely crushed this week. Apple after earnings and its effect on NASDAQ vol. Don and Sebastian weigh in on VVIX. Volatility Viewpoint: Volatility Views welcomes back Euan Sinclair, author and risk manager at Bluefin Trading, to discuss risk management and his work on the barrier (or first time) meth...

Volatility Views 50: Listener Mail Extravaganza Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where it is or moves yet again. We seem to be in flux; there's no real trend here. Listener Mail: Via email from Tim Siffron, Lansing, MI. I love your sho...

Volatility Views 49: How Best to Price Variance and Volatility Swaps Volatility Review: It's funny how it didn't take long for our prediction of a range-bound VIX to be proven wrong! The VVIX has been high. Is a tradable VIX of VIX in the works? What have the NASDAQ and SPX vol of vol six-month averages been? One-year? Don gives some remarkable numbers. Apple on the move downwards; some are eager...

Volatility Views 48: Masters of the VIX Volatility Review: Not much vol action to report with the markets closed on recording day (Friday). Steep contango in VIX futures has lessened in the past few weeks. Long holiday weekend volatility didn't fully come out of VIX futures and index options, which is highly interesting and unusual. Also an unusual situation -- unemployment numbers were released o...

Volatility Views 47:  How Dynamic Volatility Can Reshape Your Portfolio Volatility Review:   VIX review, with interesting corresponding elements relative to VIX and VIX skew. Monday massive overreaction to the market rally. NASDAQ vol review, driven by AAPL, which is slowing down a bit.  Volatility Viewpoint: Mark, Bob, and Mark are joined by Peter Christoffersen, Professor of Finance, Rotman Scho...

Volatility View 46: Volatility Discussion with the Godfather Volatility Review: Slaughter of the VIX April future, with May poised for the same.  Credit Suisse released more creation units and TVIX crushed long positions - going from 13 to 6.5 in a week. Euro vol review -- March 1- and 3-month contracts expired last week. NASDAQ vol update. Volatility Viewpoint: Mark, Bob, and Mark have the great...

Volatility Views 45: What Does Butter Have to Do with It? Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference. Volatility Viewpoint: Mechanics of the forthcoming Nasdaq VolContracts. Bob gives details on the genesis of the product, the formula, how it captures movement, the agreement with Nasdaq, the difference between VolContracts and other Nasdaq-bas...

Volatility Views 44:  Listener Mail  Extravaganza   Volatility Review: Vol is down and SPX is up. Even the  news of the new iPad wasn't enough to boost the market. Don opines on Apple.  Nasdaq vol still flat-lined.  Euro vol -- the  1-month and 3-month March contracts expire  soon.  Listener Mail: Nasdaq VolContracts, TVIX, the nature of  VolContracts, and avoiding the VIX. 1. Will the new Nasdaq...

Volatility Views 43: Are Weekly Options Ruining Volatility? Volatility Review: The VIX was gaining ground again, but became mired in a holding pattern. What was the cause of the influx of capital in TVIX? NASDAQ vol is still flat-lining. Euro vol review. Volatility Viewpoint: Sanjay Tolia of Bengal Capital is the featured guest. A great conversation included questions such as: Are high levels of c...

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery     Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol?   Nasdaq vol review.   S&P’s overly dramatic brother, Nasdaq is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that playe...

Volatility Views 41: Breaking Open the Volatility Mailbag Volatility Review: SPX/VIX review — some level disparities between the VIX cash and the VIX futures. Euro vol is in single-digit territory. Nasdaq VolContract preview. Listener Mail: Comment on the Great Volatility Skew Debate, Don's comments on volatility, and questions about Nasdaq VolContracts. Crystal Ball: How will the disparity betwee...

Volatility Views 40: Manipulating The VIX Volatility Review: Euro vol review. March Euro VolContract has an interesting phenomenon brewing — realized vol calculation is 7.93, and the inferred volatility is 10.84. How or where will they meet? Major correlation break in VIX/S&P 500. Volatility Viewpoint: Not afraid of controversy, the panel discusses the notion of VIX settlement price manipulation w...

Volatility Views 39: Redefining Normal Volatility Review : How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest Don has remembered since 1994. Lofty numbers have skewed people's ideas of "normal," and it's time to reassess the definition of it. Expiration day for t...

Volatility Views 38:  The Great Skew Debate Volatility Review:   What is going on with the VIX? How low can it go?  Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped).  Looking forward to the Nasdaq 100 VolContracts. Volatility Viewpoint:   Mark, Mark, and Don discuss volatility and skew with John Bilson, Profe...

Volatility Views 37: Volatility: How Low Can It Go? Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract. Volatility Viewpoint: Don gets a chance to give his views on last week’s topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg Schoo...