Volatility Views

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...

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review. Volatility Viewpoint: This week's guest, Nikunj Kapadia from UM...

Volatility Views 35: Aggressively Selling Volatility in the New Year Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade,...

Volatility Views 34: A Break from the Insanity Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX--general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro VolContract updates--December one-mo...

Volatility Views 33: The Art of Managing Volatility Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract futures, with the front one-month and the December three-month going out. Volatility Viewpoint: Today's guest, Chris Cole, Managing Director at Artimus Ca...

Volatility Views 32: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma? Seasonal drain to volatility. Euro VolContract update--one week left to go in the front-month contract. Volatility Vi...

Volatility Views 31: Live from Las Vegas Volatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-m...

Volatility Views 30: Epithet Etymology Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today. Volatility Viewpoint: This segment was kicked off by...

Volatility Views 29: Other Volatility Indices Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro VolContract. Volatility Viewpoint: Don...

Volatility Views 28: Day-Trading VolContracts Volatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down. Volatility Viewpoint: Trading VolContracts intra-day, and some of the opportunities and mathematical applications inherent in this type of trading. Listener Mail: How Wo...

Volatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review. Volatility Viewpoint: A continuation of the discussion about skew, kurtosis,...

Volatility Views 26: Live from FIA Chicago   Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds.  If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.

Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, me...

Volatility Views 24: Precious Metals Volatility Explosion Volatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little whil...

Volatility Views 23: Can You Eat Risk-Adjusted Returns? Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility. Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Ke...