Volatility View 46: Volatility Discussion with the Godfather

Volatility Views

English - March 27, 2012 19:58 - 1 hour - 58.8 MB - ★★★★ - 15 ratings
Investing Business option options vix insider skew trading volatility volcontracts volx Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed

Previous Episode: Volatility Views 45: What Does Butter Have to Do with It?

Next Episode: Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio

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.