Feb 27, 2012
Volatility Views 42: Pricing
VolContract Futures: Part History, Part
Volatility Review: Euro vol review. How has the
Greek settlement affected Euro Vol? Nasdaq vol
review. S&P’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 —
information he touched upon before, but needed some
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 — 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 — 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?