Jan 23, 2012
Volatility Views 37: Volatility: How
Low Can It Go?
Volatility Review: Might we see VIX below 20 for
some time to come? Euro vol up slightly since last week -- Bob
Krause called it correctly. Two weeks to go in the Feb
Volatility Viewpoint: Don gets a chance to give
his views on last week’s topics and talking points from Nikunj
Kapadia, Associate Professor at the UMass Eisenberg School of
Mailbag: VolContracts on the
“Woohoo!! This is what I've been waiting for, a
realized VolContract on an underlying that I actually trade. This
is going to open up a whole new world of trading possibilities for
me. I can't wait to short VXN and buy the realized Nasdaq product.
I won't need to wait for Don to earn me an island in the Bahamas,
I'll pick one up myself when I collect all that juicy risk premium.
In all seriousness, I couldn't be more excited by this
announcement. This will be an enormous development for VolX as well
as for all the realized vol aficionados out there. As the book says
‘We are legend.’”
Options on NASDAQ Vol Contracts
“On the last show Bob Krause announced that VolX is planning to
launch Vol contracts on the Nasdaq. He also said that you plan to
launch the full suite of products on the Nasdaq VolContracts,
including options. Now correct me if I'm wrong, but wouldn't the
option be priced on an implied volatility basis? So essentially,
you'd have an implied volatility instrument trading off a realized
trading instrument. That is an intriguing scenario, but the
inherent contradiction makes my brain hurt whenever I think about
it for too long.”
Crystal Ball: Vol could stay below 20 for a while,
VIX futures are even on sale. Is volatility at 12 realistic for the
Euro going forward?