Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio

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 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.

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Option Block 138: There Is No Crying in Options

Trading Block: Vol rundown – despite little movement, there is quite a bit of intraday volatility in the vol products. RIMM, COSI & TIBX earnings after the bell. Obama looks to end oil subsidies. Europe still weighing in on the broad market. Best Buy slashing stores nationwide. The BATS debacle continues after they cancelled their IPO. ZNGA buys app developer for $180M plus $30M retention bonuses. Odd Block: Wednesday activity review: Groupon, Inc. (GRPN). Monday activity review: Red Hat, Inc. (RHT). Last but not least, unusual activity in TIBCO Software Inc. (TIBX). Xpress Block: Tim Navabi discusses getting quotes when trading – always have a plan B for getting a quote. Also, learn how to get out of a trade if you make a mistake.Around the Block: Taking another look at today's earnings. Andrew tells a hallowing tale about making sure to cover your errors. Keeping an eye on XLV and oil upside. The end of the quarter looms ahead.

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Option Block 137: Selling the Hunger Games

Trading Block: BATS debacle: All IPO trades busted as a matching engine encountered a software bug. The range of symbols, of course, included Apple. If you are executed on a limit order what do you do after your trade is busted? It's analogous to pin risk. CBOE suing ISE over 10x SPY contracts — the no-brainer news of the week. The crushing of TVIX continues — it is bound to reverse split. Odd Block: Unusual activity in Red Hat, Inc. (RHT). Xpress Block: After the dust settled on customer fallout from BATS/APPL debacle and recent TVIX drama, Lions Gate Films (LGF) saw an increase in options contracts in front of the new movie release "The Hunger Games."Around the Block: Keeping an eye on crude oil, if and/or when gas hit $5/gallon is when we'll see things grind to a halt. Corporate earning in a few weeks. Looking for something to push to market before the summer doldrums.

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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 pleasure to discuss volatility with the Godfather: Anthony Neuberger, Professor of Finance at Warwick Business School. The gang discusses his seminal paper, "The Log Contract and Other Power Contracts." They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.Crystal Ball: Sebastian sees VIX staying between 14 and 16, with a lot of erosion in VXX. Watch out for contango. Euro vol is a coin flip right now. NASDAQ vol might be too expensive right now because of Apple.

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Option Block 136: Hunting, Fishing, and Options

Trading Block: The market felt the weight of manufacturing issues in Germany, France and, most importantly, China. Chinese manufacturing shrank for the fifth straight month. Dollar General earnings before the bell today — a Tosaw favorite. Also, the TVIX train wreck continues. Odd Block: Unusual activity in LULU again! Lululemon Athletica, Inc. (LULU).Xpress Block: Tim Navabi holds down the OX seat in today’s show and discusses TVIX and the recent increase of customer concerns/questions.Strategy Block: Mike Tosaw talk Apple: collars, covered calls, and other trade strategies.Around the Block: Expecting moves in GLD, bonds and oil. Where can USO go given political issues in Iran? Upcoming economic calendar: Earnings – RIMM & COSI 3/29.

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Option Block 135: Naked Canadians & A Conference Roundup

Trading Block: VIX on the rebound – the weekend coming back into the VIX, but the futures themselves were down today. A rundown from RMC. A rundown from FIA Boca.OddBlock: Friday review: Lululemon Athletica, Inc. (LU), an activity review from Feb. 27: United Technologies Corp. (UTX)Xpress Block: Holding down the OX desk, John Grigus discusses the increase in volume that's been seen recently. Also JP Morgan dividends, a lot of OTM calls going out to June/July. The interest rate futures got pummeled.Around the Block: Economic Calendar: This week starts with and ends with housing. DG on 3/22

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Option Block 134: The Day the Market Moved

Trading Block: A lot of excitement on the trading desk today following the largest move of the year so far. What factors contributed to this swing in to the upside? What was the rise in Vol that we show intraday? The Fed has hinted that it may start raising interest rates starting in 2014 – what effects might we see in the housing market?Xpress Block: John Grigus discusses Barron's 17th annual ranking of online brokers. OX received the 2nd highest score for customer service and education! This week starts the outbound calling for ETF dividends. Strategy Block: Mark Sebastian discusses some of the weird stuff he's being seeing the option order flow. Including the VIX and the Apple "bubble". Around the Block: Keeping an eye on oil prices – the DOE/EIA comes out at 9:35am CDT tomorrow. Initial claims on Thursday, looking to see if it continues in downward trend. PPI and CPI later this week. There doesn't seem to be any reason why this current rally shouldn't continue.

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Volatility Views 44: Listener Mail Extravaganza

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.Crystal Ball: Non-farms may be a non-event. Load up on VIX downside. Hopefully the Nasdaq vol can break out of this flat line and the other shoe will drop. Otherwise it's difficult to make any predictions.

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