Volatility 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 waiting for, a realized VolContract on an underlying that I actually trade. This is going to open up a whole new world of trading possibilities for me. I can't wait to short VXN and buy the realized Nasdaq product. I won't need to wait for Don to earn me an island in the Bahamas, I'll pick one up myself when I collect all that juicy risk premium. In all seriousness, I couldn't be more excited by this announcement. This will be an enormous development for VolX as well as for all the realized vol aficionados out there. As the book says ‘We are legend.’”Options on NASDAQ Vol Contracts“On the last show Bob Krause announced that VolX is planning to launch Vol contracts on the Nasdaq. He also said that you plan to launch the full suite of products on the Nasdaq VolContracts, including options. Now correct me if I'm wrong, but wouldn't the option be priced on an implied volatility basis? So essentially, you'd have an implied volatility instrument trading off a realized trading instrument. That is an intriguing scenario, but the inherent contradiction makes my brain hurt whenever I think about it for too long.” Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?