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Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Feb 27, 2012

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol?  Nasdaq vol review.  S&Pā€™s overly dramatic brother, Nasdaq is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that played out from a vol perspective? Are we seeing the same degree of selloff in the Nasdaq vol? An explosion of volume recently in the T-VIX. There is something very interesting going on.
Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts ā€” information he touched upon before, but needed some clarification.

Listener Mail:
Question 1: I know Mark has said several times in the past that the difference between retail options traders vs. pro options traders is that retail trades direction while professionals trade volatility. I wonder if you guys can elaborate on this a little more, as I'm a little confused by the distinction. Do pros implement different strategies? Different products? How do they trade volatility and how does that differ from the way retail trades options?
Question 2: Nasdaq or SPX ā€” Which has had the greatest "vol of vol" over the past few months?
Crystal Ball: The continued discrepancy between the VIX futures and VIX cash ā€” how will that play out? Will the Nasdaq continue to hover in this range, or will we see a turn south sometime in the near future?