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Volatility Views 55: Good Volatility, Bad Volatility
Volatility Views
English - May 29, 2012 05:00 - 1 hour - 58.9 MB - ★★★★ - 15 ratingsInvesting Business option options vix insider skew trading volatility volcontracts volx Homepage Download Apple Podcasts Google Podcasts Overcast Castro Pocket Casts RSS feed
Volatility Views 55: Good Volatility, Bad Volatility
Volatility Review: The play between pre- and post-election Greek volatility has seen big action. Ultimately though, the EU will let the Greeks decided their own fate. Andrew G. does not want to own pre-election juice. Given realized volatility, there has not been much change in the NASDAQ. The three-month realized vol has actually risen somewhat -- replacing volatility that was extremely low just a short while ago.
Volatility Viewpoint: Today's guest is Andrew Patton, Associate Professor of Economics and Finance at Duke University. He is the author or co-author of several academic papers, including "Good Volatility, Bad Volatility." Prof. Patton discusses some of its findings, including the importance of directional movement in forecasting future volatility.
Crystal Ball: In VIX, Andrew G. is just waiting for the Greek election to sell June, buy July, and unleash the time spread. NASDAQ one-month realized may roll over a little bit. The short term might be dropping more, but that is not a ringing endorsement.