Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse?

Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments.

They discuss:

• Short volatility strategies & framework
• An update on the call overriding portfolio
• Why does a volatility risk premium exist?
• Is volatility an asset class?
• What are alternatives for managing portfolio volatility?
• Strategy construction techniques for harvesting volatility risk premium
• Will implied volatility underperform realized volatility in the coming months?
• What are some favorite tools/products/techniques for capturing implied vs. realized?
• How does the volatility premium in products like RVX differ from traditional S&P volatility products?
• The ideal use case for a volatility product like VIX/RVX?

Crystal Ball: Weak China, Argentina, and worse-than-expected housing numbers, etc. has combined into a massive weight on the market, and volatility has only recently come to life. What should we expect going forward?