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Listen "Volatility Views 20: Divergence & Convergence"
Episode Synopsis
Volatility Views 20: Divergence & Convergence
Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener questions. 1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.
Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener questions. 1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.
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