Volatility Views

By The Options Insider Radio NetworkBusiness Investing

Volatility Views episodes

August 21, 2012 Volatility Views 60: Jackass Investing: Don't Do It. Profit From It.
Volatility 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 diversify? The book says you can increase returns, while reducing risk at the same time. Is this preaching the wisdom of using derivatives? The "loser's concept." What does he say to readers who are concerned about the current state of regulation and oversight in options and derivatives? Crystal Ball: Looking ahead for the next month for NASDAQ vol and VIX.
49 min
August 07, 2012 Best of Volatility Views: Busting Skew Myths
Best 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.
27 min
July 26, 2012 Volatility Views 59: A Deep Dive into Variance Swaps
Volatility Views 59: A Deep Dive into Variance SwapsVolatility 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 QuestionsVol Views Gang - Which will we hit first a VIX of 40 or 14? (Via Twitter from TEXASTEA)Why don't more brokerage firms allow you to quote options by vol levels instead of price/premium levels? You'd think this would be a very desirable feature, particularly to the type of educated clientele that listens to a show like Volatility Views. That's certainly a desirable clientele for a broker. I know I would certainly like that feature. Can you guys weigh in on this and hopefully help me spread the word for this feature among online brokerage firms. (On a side note - I can't wait for Volatility Views to get back to its regular schedule. I never thought I would be this excited for the end of summer.) (Via Facebook From Alex K., Tucson, AZ)Does the Volatility Views team feel that the new method for listing weeklies will lead to a reduced volatility of volatility in those products? Thank you very much for your fine program.(Via email from Alessandro Ropa, Barcelona, Spain) Crystal Ball: Looking ahead at the next month for VIX and NASDAQ Vol.
1 hr 4 min
July 16, 2012 Best of Volatility Views: Larry the Legend
Best of Volatility Views: Larry the LegendIn 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.
21 min
July 09, 2012 Best of Volatility Views: The Great Skew Debate
Best 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.
48 min
July 02, 2012 Best of Vol Views: Vix and More
Another 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 more: http://www.theoptionsinsider.com/radio/#ixzz1zVHYNY61 The Options Insider: Your Inside Source For Options Information
21 min
June 27, 2012Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle
Best 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 & counterparty risk.
44 min
June 18, 2012 Volatility Views 58: Cracking the Bond Code
Volatility 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 at correlations between overall equity market vol and the treasury markets.-What kind of skews he sees in the bond markets insofar as implied volatility is concerned.-Which variable is preferable to use, VIX or the stock turnover, or both?-How the volatility of a particular underlying correlates to corporate bonds on the underlying.-If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.-How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.
Crystal Ball: Greek elections on Sunday. Could send us off in any direction. The movement of volatility will creep back up to normal levels again.
49 min
June 12, 2012 Volatility Views 57: Turning the Tables on Mark Sebastian
Volatility 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 options education. Mail Bag: Answering listener questions.CBOE is in the process of changing the way they list weekly options. How do you think the change will impact weekly options volatility, as well as the way they perform? Thanks again and I love the show. You guys make my commute to work a little more bearable. (Via Facebook from Chris Monty) In a time spread, which risk/opportunity should I really focus on: gamma or vega? It seems like trading time spreads is essentially finding a proper balance between these two. (Via email from Theodore Johnson, Boise, ID) I'm and expat American currently living and trading in Germany. As an old-school options trader, I've always considered myself first-and-foremost a volatility trader. I mostly view my positions and I'm always looking for interesting new products like VolContracts, VIX, etc., that will provide me with a new way to hedge/trade volatility. When I moved to Frankfurt, I was very surprised to find that most of my European colleagues don't share that perspective. They aren't up on the latest vol products/research and don't tend to view themselves as vol traders. I've found this baffling so I thought I would write to the authority on volatility to see if I am completely nuts or if this is a well-documented situation. Is vol trading, and the interest in vol products, primarily a localized American phenomenon, or am I just hanging with the wrong crowd over here? (Via email from Charles Stephens, Frankfurt, Germany) Crystal Ball: We'll have to keep an eye on Europe, but expect little change in realized volatility. There will be a break in S&P in one direction or the other.
1 hr 3 min
June 04, 2012Volatility Views 56: More Listener Mail Fun
Volatility 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 Twitter from DAMIAN14)What's your opinion of Facebook's option vol and options trading so far? (Via email from Tim L. in Portland, OR)

Any update on the NASDAQ VolContracts? (Via Twitter from EuroDJ)

Is delta neutral hedging the only way to trade realized volatility in the options market right now (outside of VolContracts on the Euro, of course)? I like what you guys talk about every week and I'm looking for ways to capture that good ol' "realized vol." (Via Facebook from Steve K., Victoria, BC)

I just wanted to write in to let you guys know that I love this show. Volatility Views is unique in the options podcast world. No one else is out there talking about the stuff you guys talk about or bringing on the guests you guys get. It truly is a fantastic, one-of-a-kind program. So thanks again for putting together such a great show. And Mark - thanks also for The Options Insider Radio Network. You truly are "the voice of options." (Via email from Dick Framingham - Rochester, NY)

Mark "Voice of Options" Longo, Don "sold to you" Schlesinger and Mark "tinny seabass" Sebastian - I have a pressing question that requires your vast expertise. Why, in the name of God, does the VIX have a skew? Shouldn't that information already be represented in the SPX options or am I completely missing the boat on this? Thanks again and I love the network. That new Options Boot Camp show is fantastic. (Via Facebook from Tim Bond, Tulsa, OK)

Why do you think so many attempts to bring OTC vol to exchanges have failed - CBOE variance, etc. (Via Twitter from AXEMAN74)

I know you guys have talked about selling vol when others are buying. Like when a newsletter recommends buying a particular put, for example. How exactly do I execute that trade? Do I wait until late in the day when everyone is done buying, then sell that same option? Can I sell nearby strikes instead? What about the stock? Do I have to hedge delta neutral or one-to-one to really capture the vol premium? I am really interested in this strategy, but a little fuzzy on the actual execution. (Via email from Joe Eftes, Sacramento, CA)

Crystal Ball: We could see 30 shortly in the VIX. All-time low for 10- and 30-year bonds. More volatility -- it's going to get worse before it gets better.
55 min

About Volatility Views

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Volatility 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…