Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference.
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.
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.
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 correlation taking away from single-stock option trading? Are high levels of correlation taking away from running balanced volatility portfolios? Are VIX products good or bad for retail investors? Are weekly options good or bad for retail clients? Is their explosive growth good for the industry?Crystal Ball: Until people start hitting the bid or lifting offers, VIX levels are going to stay in this range. Expect a similar stall in NASDAQ. Don predicts that Euro vol expiration settlement price next week will be lower than the 10.27 of Thursday night, and will settle in the mid-9s.
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 correlation taking away from single-stock option trading? Are high levels of correlation taking away from running balanced volatility portfolios? Are VIX products good or bad for retail investors? Are weekly options good or bad for retail clients? Is their explosive growth good for the industry?Crystal Ball: Until people start hitting the bid or lifting offers, VIX levels are going to stay in this range. Expect a similar stall in NASDAQ. Don predicts that Euro vol expiration settlement price next week will be lower than the 10.27 of Thursday night, and will settle in the mid-9s.
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?
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?
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?
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?
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.
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.
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.

