Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Review: Euro vol review. Nasdaq vol review. An explosion of volume recently in the TVIX. There is something very interesting going on. Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts — information he touched upon before, but needed some clarification. Listener Mail: Listener questions answered. Crystal Ball: The continued discrepancy between the VIX futures and VIX cash — how will that play out? Will the Nasdaq hover in this range, or will we see a turn south sometime in the near future?

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Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Review: Euro vol review. Nasdaq vol review. An explosion of volume recently in the TVIX. There is something very interesting going on. Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts — information he touched upon before, but needed some clarification. Listener Mail: Listener questions answered. Crystal Ball: The continued discrepancy between the VIX futures and VIX cash — how will that play out? Will the Nasdaq hover in this range, or will we see a turn south sometime in the near future?

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Volatility Views 41: Breaking Open the Volatility Mailbag

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 between VIX cash and VIX futures unwind? Where will Euro vol go next?

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Volatility Views 41: Breaking Open the Volatility Mailbag

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 between VIX cash and VIX futures unwind? Where will Euro vol go next?

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Volatility Views 40: Manipulating the VIX

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 with Henry Schwartz, founder and CEO of Trade Alert.Crystal Ball: Short VIX going into the weekend, but then watch out for the unknown unknown. Don makes a shaky prediction that the Euro vol will dip lower.

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Volatility Views 40: Manipulating the VIX

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 with Henry Schwartz, founder and CEO of Trade Alert.Crystal Ball: Short VIX going into the weekend, but then watch out for the unknown unknown. Don makes a shaky prediction that the Euro vol will dip lower.

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Volatility Views 39: Redefining Normal

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 the February Euro VolContract.Volatility Viewpoint: Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd.Crystal Ball: Dipping into the murky depths of volatility. Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks.

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Volatility Views 39: Redefining Normal

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 the February Euro VolContract.Volatility Viewpoint: Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd.Crystal Ball: Dipping into the murky depths of volatility. Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks.

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Volatility Views 38: The Great Skew Debate

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, 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.Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right.

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Volatility Views 38: The Great Skew Debate

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, 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.Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right.

read more
Volatility Views 37: Volatility: How Low Can It Go?

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 School of Management. Mailbag: VolContracts on the NASDAQ!!!Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?

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Volatility Views 37: Volatility: How Low Can It Go?

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 School of Management. Mailbag: VolContracts on the NASDAQ!!!Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?

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