Volatility 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 explosion of volume recently in the T-VIX. There is something very interesting going on.

 

Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts — information he touched upon before, but needed some clarification.

Listener Mail:

Question 1: I know Mark has said several times in the past that the difference between retail options traders vs. pro options traders is that retail trades direction while professionals trade volatility. I wonder if you guys can elaborate on this a little more, as I'm a little confused by the distinction. Do pros implement different strategies? Different products? How do they trade volatility and how does that differ from the way retail trades options?

Question 2: Nasdaq or SPX — Which has had the greatest "vol of vol" over the past few months?

 

Crystal Ball: The continued discrepancy between the VIX futures and VIX cash — how will that play out? Will the Nasdaq continue to hover in this range, or will we see a turn south sometime in the near future?