Sep 6, 2011
Review: A review of SPX, VIX, and pricing the weekend out.
Non-farm payroll: what was the impact on vol? Euro vol review. How
did Mark and Don's gentlemanly wager on three- and one-month vol
fare from last week? Plus a live Vol Review from OptionPit.com's Mark
Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks
inverse correlation - is this specifically to address the VIX
negative correlation perception? How can we tell if the market is
bullish or bearish? Skew and the somewhat controversial topic of
the volatility feedback effect are also on the docket. Is the
market trying to forecast future returns? As volatility rises, the
market must fall, but does it work the other way as well?
Listener Questions: Mark and Bob reach into the dark
recesses of the mailbag. Why exactly is selling a three-month
VolContract not the same as selling three consecutive one-month
VolContracts? Is it analogous to the difference between writing a
three-month option vs. three consecutive front-month options?
Crystal Ball: An outlook of SPX & VIX. Could we pick up a
free weekend on Friday? Euro vol outlook - How will the one- and
three-month VolContracts fair?