Volatility Views
626 episodes - English - Latest episode: 25 days ago - ★★★★ - 15 ratingsVolatility Views is the premier radio program for volatility traders. With leading industry guests and detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.
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Episodes
Volatility Views 69: Unlocking the Secrets of the Vol Surface
November 12, 2012 19:34 - 57 minutes - 52.9 MBVolatility Views 69: Unlocking the Secrets of the Vol Surface Volatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol. Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed products. Crystal Ball: We are hoping for a major announcement, any day now, concerning VolX. ...
Volatility Views 68: The Dark Art of Futures Options
October 29, 2012 19:08 - 53 minutes - 48.7 MBVolatility Views 68: The Dark Art of Futures Options Volatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol. Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels. The Crystal Ball: NASDAQ vol going into the big numbers tonight ahead of AAPL earnings. How will earnings affect realized...
Volatility Views 67: VolContract Futures Overlays: The Holy Grail?
October 23, 2012 15:10 - 1 hour - 41.3 MBVolatility 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...
Volatility Views 66: A Week without Volatility
October 15, 2012 17:53 - 1 hour - 43.2 MBVolatility Views 66: A Week without Volatility Volatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week. Listener Mail: Our listeners drive the bus for a while Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER) Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX i...
Volatility Views 65: Contango Tango
October 08, 2012 20:39 - 50 minutes - 46.4 MBVolatility Views 65: Contango Tango Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ. Volatility Viewpoint: Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more...
Volatility Views 64: Missing the Fat, Juicy Puts of Yore
October 01, 2012 01:35 - 1 hour - 41.8 MBVolatility Views 64: Missing the Fat, Juicy Puts of Yore Volatility Review: Looking back at a four-day time horizon. At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 1...
Volatility Views 63: The Low End of the Volatility Spectrum
September 25, 2012 17:33 - 1 hour - 55.3 MBVolatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fig...
Volatility Views 62: Bad Money Managers
September 17, 2012 17:27 - 1 hour - 56.3 MBVolatility Views 62: Bad Money Managers Volatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch. Listener Mail: Letting the listeners take control of the conversation. I loved last week's show. I'm very glad to have Vol Views back in the saddle! My financial advisor recently recommended that I allocate a portion of my portfolio over to VXX because "VIX...
Volatility Views 61: A Short Straddle for Cowards
September 10, 2012 16:58 - 59 minutes - 54.6 MBVolatility Views 61: A Short Straddle for Cowards Volatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring. Dan discusses Market Taker and how he approaches volatility with a new client. He also talks about mentoring students who want to dive into sophisticated vol products, like VIX options, for example. Does he counsel the novice t...
Volatility Views 60: Jackass Investing: Don't Do It. Profit From It.
August 21, 2012 18:10 - 48 minutes - 44.3 MBVolatility Views 60: Jackass Investing: Don't Do It. Profit From It. Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyers opportunity. Volatility Viewpoint: Today's guest is Mike Dever, Founder and CEO of Brandywine Asset Management, and author of Jackass Investing: Don't Do It. Profit From It. He starts with his unique approach to volatility. Is it possible, given such broad correlation among asset classes, to be able to really ...
Best of Volatility Views: Busting Skew Myths
August 07, 2012 16:10 - 26 minutes - 24.5 MBBest of Volatility Views: Busting Skew Myths Busting Skew Myths! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew.
Volatility Views 59: A Deep Dive into Variance Swaps
July 26, 2012 18:53 - 1 hour - 58.1 MBVolatility Views 59: A Deep Dive into Variance Swaps Volatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected. Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexity, and vol of vol. Listener Mail: Addressing Listener Questions Vol Views Gang - Which wil...
Best of Volatility Views: Larry the Legend
July 16, 2012 19:53 - 20 minutes - 19.2 MBBest of Volatility Views: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio. Discussing the fine art of gamma scalping.
Best of Volatility Views: The Great Skew Debate
July 09, 2012 19:54 - 47 minutes - 43.8 MBBest of Volatility Views: The Great Skew Debate Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.
Best of Vol Views: Vix and More
July 02, 2012 21:41 - 20 minutes - 14 MBAnother selection from The Best of Volatility Views. In this episode, dated June 20, 2011, Mark and Don chat with Bill Luby, creator of the popular website VIX and More. They discuss the roller coaster volatility of late, whether the VIX has underperformed given current market conditions, whether VIX futures are essentially irrelevant, whether VIX should be marketed as a hedging tool, the inherent differences between implied and realized volatility, Euro vol updates, and much more... Read m...
Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle
June 27, 2012 15:51 - 43 minutes - 40.1 MBBest of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH models, and how the ARCH model was born The Volatility Institute Vlab SoFiE Professor Engle's work with the SEC's Flash Crash Advisory Committee The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counte...
Volatility Views 58: Cracking the Bond Code
June 18, 2012 16:27 - 48 minutes - 44.7 MBVolatility Views 58: Cracking the Bond Code Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue. Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier University in Waterloo, Ontario, Canada. Dr. Kalimipalli discusses: -His research, in which he looks...
Volatility Views 57: Turning the Tables on Mark Sebastian
June 12, 2012 20:54 - 1 hour - 57.1 MBVolatility Views 57: Turning the Tables on Mark Sebastian Volatility Review: VIX is back this week, after it ended unchanged at 0.0 before last week's Option Block episodes. Time will tell as we see what happens in Europe. NASDAQ one- and three-month realized volatility has had almost no movement at all, but the trend is surely upward. Volatility Viewpoint: Long-time panelist Mark Sebastian gets the chance to sit in the guest's seat and discusses what Option Pit is and the world of opt...
Volatility Views 56: More Listener Mail Fun
June 04, 2012 05:00 - 54 minutes - 50.3 MBVolatility Views 56: More Listener Mail Fun Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month edged higher to 16.02. Reacting, rather than predicting, was the order of the day. Listener Mail: We're Going Listener Mail Crazy Again This Week How do you guys feel the addition of Facebook will impact NASDAQ volatility in the future? (Via T...
Volatility Views 55: Good Volatility, Bad Volatility
May 29, 2012 05:00 - 1 hour - 58.9 MBVolatility 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...
Volatility Views 54: Listener Mail Extravaganza, Part Two
May 21, 2012 05:00 - 55 minutes - 50.9 MBVolatility Views 54: Listener Mail Extravaganza, Part Two Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened further. A crazy scenario of implied vs. realized volatility in VIX. Listener Mail: Mark, Don, and Mark take on listener questions. All of this talk about JP Morgan has left me wondering, what kind of derivatives hedge loses $2.3 billion? How ...
Volatility Views 53: An Insider's View of Risk Management
May 14, 2012 20:08 - 49 minutes - 45.5 MBVolatility Views 53: An Insider's View of Risk Management Volatility Review: There is an extra note of tension in the market with S&P vol waiting for the other shoe to drop. NASDAQ vol is slightly higher. JPMorgan news does little to rattle VIX. Volatility Viewpoint: Today's guest, Todd Petzel, the Chief Investment Officer at Offit Capital, sits down with Mark and Don, and discusses myriad aspects of volatility and risk management. Topics include: . The instruments he uses to manage portf...
Volatility Views 52: The Father of Financial Futures
May 07, 2012 05:00 - 52 minutes - 47.8 MBVolatility Views 52: The Father of Financial Futures Volatility Review: Listeners from last week may remember Don made a timid prediction that the realized volatility of NASDAQ could be going a bit higher, and it managed to inch up a few basis points. It was a strong down week for equities. Since this selloff was gradual, the actual market volatility was not significant. Greek and French elections this weekend may fuel some volatility moves next week. Volatility Viewpoint: Today's guest i...
Volatility Views 51: Risk Managers: The Adults in the Group
April 30, 2012 18:10 - 1 hour - 56.4 MBVolatility Views 51: Risk Managers: The Adults in the Group Volatility Review: VIX options were absolutely crushed this week. Apple after earnings and its effect on NASDAQ vol. Don and Sebastian weigh in on VVIX. Volatility Viewpoint: Volatility Views welcomes back Euan Sinclair, author and risk manager at Bluefin Trading, to discuss risk management and his work on the barrier (or first time) method for calculating volatility. Euan gives a quick sneak preview of the updates to his book. T...
Volatility Views 50: Listener Mail Extravaganza
April 23, 2012 19:37 - 1 hour - 61.5 MBVolatility Views 50: Listener Mail Extravaganza Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where it is or moves yet again. We seem to be in flux; there's no real trend here. Listener Mail: Via email from Tim Siffron, Lansing, MI. I love your show and the great guests you guys manage to wrangle, but I was a little out of my depth with l...
Volatility Views 49: How Best to Price Variance and Volatility Swaps
April 16, 2012 18:35 - 59 minutes - 54.6 MBVolatility Views 49: How Best to Price Variance and Volatility Swaps Volatility Review: It's funny how it didn't take long for our prediction of a range-bound VIX to be proven wrong! The VVIX has been high. Is a tradable VIX of VIX in the works? What have the NASDAQ and SPX vol of vol six-month averages been? One-year? Don gives some remarkable numbers. Apple on the move downwards; some are eager to buy Apple at 600. NASDAQ vol cones, like most volatility readings, are at historical lows. ...
Volatility Views 48: Masters of the VIX
April 09, 2012 21:43 - 1 hour - 59.9 MBVolatility Views 48: Masters of the VIX Volatility Review: Not much vol action to report with the markets closed on recording day (Friday). Steep contango in VIX futures has lessened in the past few weeks. Long holiday weekend volatility didn't fully come out of VIX futures and index options, which is highly interesting and unusual. Also an unusual situation -- unemployment numbers were released on a day when the market was closed. Don and Mark discuss contango. NASDAQ volatility update. ...
Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio
April 03, 2012 18:36 - 56 minutes - 51.3 MBVolatility 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 Manag...
Volatility View 46: Volatility Discussion with the Godfather
March 27, 2012 19:58 - 1 hour - 58.8 MBVolatility 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...
Volatility Views 45: What Does Butter Have to Do with It?
March 19, 2012 20:14 - 54 minutes - 49.6 MBVolatility Views 45: What Does Butter Have to Do with It? Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference. Volatility Viewpoint: Mechanics of the forthcoming Nasdaq VolContracts. Bob gives details on the genesis of the product, the formula, how it captures movement, the agreement with Nasdaq, the difference between VolContracts and other Nasdaq-based products, the specifications, the closing price, and more.
Volatility Views 44: Listener Mail Extravaganza
March 12, 2012 18:37 - 1 hour - 67.7 MBVolatility 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. 1. Will the new Nasdaq VolContracts be exclusive to the Nasdaq, like the Euro and CME, or multi-listed? 2. What's...
Volatility Views 43: Are Weekly Options Ruining Volatility?
March 05, 2012 18:32 - 1 hour - 52.2 MBVolatility 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 takin...
Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery
February 27, 2012 21:00 - 1 hour - 62.4 MBVolatility Views 42: Pricing VolContract Futures: Part History, Part Mystery Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol? Nasdaq vol review. S&P’s overly dramatic brother, Nasdaq is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that played out from a vol perspective? Are we seeing the same degree of selloff in the Nasdaq vol? An e...
Volatility Views 41: Breaking Open the Volatility Mailbag
February 21, 2012 17:45 - 1 hour - 41.6 MBVolatility 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
February 13, 2012 18:57 - 1 hour - 43.7 MBVolatility 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 w...
Volatility Views 39: Redefining Normal
February 06, 2012 17:31 - 58 minutes - 40.4 MBVolatility 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 cor...
Volatility Views 38: The Great Skew Debate
January 30, 2012 21:21 - 1 hour - 63.1 MBVolatility Views 38: The Great Skew Debate Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped). Looking forward to the Nasdaq 100 VolContracts. Volatility Viewpoint: Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor ...
Volatility Views 37: Volatility: How Low Can It Go?
January 23, 2012 20:56 - 1 hour - 49.7 MBVolatility Views 37: Volatility: How Low Can It Go? Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract. Volatility Viewpoint: Don gets a chance to give his views on last week’s topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management. Mailbag: VolContracts on the NASDAQ!!! “Woohoo!! This is what I've been wai...
Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX
January 17, 2012 20:14 - 52 minutes - 35.8 MBVolatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review. Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and ...
Volatility Views 35: Aggressively Selling Volatility in the New Year
January 09, 2012 19:18 - 1 hour - 43.4 MBVolatility Views 35: Aggressively Selling Volatility in the New Year Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market ...
Volatility Views 34: A Break from the Insanity
December 19, 2011 19:52 - 54 minutes - 37.7 MBVolatility Views 34: A Break from the Insanity Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX--general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro VolContract updates--December one-month went out at 11.12, three-month at 12.84. Volatility Viewpoint: Mark and Don discuss volat...
Volatility Views 33: The Art of Managing Volatility
December 12, 2011 20:27 - 51 minutes - 47 MBVolatility Views 33: The Art of Managing Volatility Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract futures, with the front one-month and the December three-month going out. Volatility Viewpoint: Today's guest, Chris Cole, Managing Director at Artimus Capital Management, sits down to discuss VIX options and futures, volatility doldrums, and the ...
Volatility Views 32: Larry the Legend
December 06, 2011 18:52 - 52 minutes - 35.7 MBVolatility Views 32: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma? Seasonal drain to volatility. Euro VolContract update--one week left to go in the front-month contract. Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatilit...
Volatility Views 31: Live from Las Vegas
November 22, 2011 17:40 - 43 minutes - 30.2 MBVolatility Views 31: Live from Las Vegas Volatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-month VolContract? Volatility Viewpoints: Bob talks about the long-term future of volatility, ...
Volatility Views 30: Epithet Etymology
November 14, 2011 19:01 - 1 hour - 43.7 MBVolatility Views 30: Epithet Etymology Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today. Volatility Viewpoint: This segment was kicked off by an article in Futures Magazine, "Stock Market Trends and the Volatility Premium by Marco Er...
Volatility Views 29: Other Volatility Indices
November 08, 2011 20:29 - 1 hour - 41.8 MBVolatility Views 29: Other Volatility Indices Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro VolContract. Volatility Viewpoint: Don discusses some of the hedging aspects of using VolContracts against options positions or equi...
Volatility Views 28: Day-Trading VolContracts
November 02, 2011 22:45 - 56 minutes - 51.8 MBVolatility Views 28: Day-Trading VolContracts Volatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down. Volatility Viewpoint: Trading VolContracts intra-day, and some of the opportunities and mathematical applications inherent in this type of trading. Listener Mail: How Would You Update VIX? Hello: Since VIX is still the brand name for volatility with much of th...
Volatility Views 27: Stealing the Mean
October 26, 2011 14:52 - 58 minutes - 40.2 MBVolatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review. Volatility Viewpoint: A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a b...
Volatility Views 26: Live from FIA Chicago
October 17, 2011 20:34 - 57 minutes - 52.7 MBVolatility Views 26: Live from FIA Chicago Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.
Volatility Views 25: Skewness and Kurtosis
October 04, 2011 18:52 - 55 minutes - 38.5 MBVolatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove t...