Volatility Views 67: VolContract Futures Overlays: The Holy Grail?

Volatility Views

English - October 23, 2012 15:10 - 1 hour - 41.3 MB - ★★★★ - 15 ratings
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Volatility Views 67: VolContract Futures Overlays: The Holy Grail?

Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th.

Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of VolContracts in conjunction with an equity portfolio.

The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.