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 to buy Apple at 600. NASDAQ vol cones, like most volatility readings, are at historical lows. Volatility Viewpoint: Today's guests, Thomas Thorsen and Emil Stamp, are the authors of the master's thesis, "Pricing of Variance and Volatility Swaps in a Stochastic Volatility and Jump Framework." The gang discusses pricing models of OTC variance swaps, the different models the authors created, and the accuracy of the models for both forecasting realized volatility, as well as pricing of variance swaps and GARCH models in real-world applications.Crystal Ball: Are you still shorting the VIX? Are higher levels forecasted for the future? Perception versus reality.

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 to buy Apple at 600. NASDAQ vol cones, like most volatility readings, are at historical lows. Volatility Viewpoint: Today's guests, Thomas Thorsen and Emil Stamp, are the authors of the master's thesis, "Pricing of Variance and Volatility Swaps in a Stochastic Volatility and Jump Framework." The gang discusses pricing models of OTC variance swaps, the different models the authors created, and the accuracy of the models for both forecasting realized volatility, as well as pricing of variance swaps and GARCH models in real-world applications.Crystal Ball: Are you still shorting the VIX? Are higher levels forecasted for the future? Perception versus reality.

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 on a day when the market was closed. Don and Mark discuss contango. NASDAQ volatility update.Volatility Viewpoint: Mark and Don are joined by David Palmer, Volatility Book Portfolio Manager at Hudson Bay Capital. They discuss the evolution of skew, the growing market of products tied to VIX, and how they're manipulating the underlying, the halting of TVIX share creation, OTC versus listed trading, volatility arbitrage opportunities, rational arbitrage, and hedging and downside protection.Crystal Ball: Nothing to rant about in S&P land, at least until we reach the next unknown unknown. Summer doldrums are coming. The impact of having such low levels of realized volatility.

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 on a day when the market was closed. Don and Mark discuss contango. NASDAQ volatility update.Volatility Viewpoint: Mark and Don are joined by David Palmer, Volatility Book Portfolio Manager at Hudson Bay Capital. They discuss the evolution of skew, the growing market of products tied to VIX, and how they're manipulating the underlying, the halting of TVIX share creation, OTC versus listed trading, volatility arbitrage opportunities, rational arbitrage, and hedging and downside protection.Crystal Ball: Nothing to rant about in S&P land, at least until we reach the next unknown unknown. Summer doldrums are coming. The impact of having such low levels of realized volatility.

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 School of Management at the University of Toronto, and author of Elements of Financial Risk Management and the forthcoming Handbook of Economic Forecasting. Prof. Christoffersen discusses dynamic volatility, the Sharpe ratio, and practical applications for the average investor. Mark asks Prof. Christoffersen whether it's possible to have a truly diversified portfolio without having some kind of volatility asset. He also discusses his research on skew and its impact on the underlying instrument. Crystal Ball: Looking deep into the murky ether of the future of volatility, Mark and Mark pontificate on the contango environment of VIX futures, with Sebastian seeing VIX staying between 14 and 17. Will AAPL vol come in? As AAPL goes, so goes the NASDAQ. There might be an increase in volatility post-Easter, with the beginning of earnings season.