Apr 3, 2012
47: How Dynamic Volatility Can Reshape Your
Volatility Review: VIX review, with
interesting corresponding elements relative to VIX and VIX skew.
Monday massive overreaction to the market rally. NASDAQ vol review,
driven by AAPL, which is slowing down a bit.
Volatility Viewpoint: Mark, Bob, and Mark are
joined by Peter Christoffersen, Professor of Finance, Rotman School
of Management at the University of Toronto, and author of
Elements of Financial Risk Management and a chapter in the
forthcoming Handbook of Economic Forecasting.
Prof. Christoffersen discusses dynamic volatility, the Sharpe
ratio, and practical applications for the average investor.
Mark asks Prof. Christoffersen whether it's possible to have a
truly diversified portfolio without having some kind of volatility
asset. He also discusses his research on skew and its impact
on the underlying instrument.
Crystal Ball: Looking deep into the murky ether of
the future of volatility, Mark and Mark pontificate on the contango
environment of VIX futures, with Sebastian seeing VIX staying
between 14 and 17. Will AAPL vol come in? As AAPL goes, so
goes the NASDAQ. There might be an increase in volatility
post-Easter, with the beginning of earnings season.