Apr 23, 2012
Volatility Views 50: Listener Mail Extravaganza
Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where it is or moves yet again. We seem to be in flux; there's no real trend here.
Listener Mail: Via email from Tim Siffron, Lansing, MI.
I love your show and the great guests you guys manage to wrangle, but I was a little out of my depth with last week's guest. It's been a while since I took a stats course, so your discussion of jump frameworks and stochastic volatility models for pricing OTC variant swaps was a tad out of my league. Can you give a quick, plain English summary of the take-aways from that discussion, for those of us who may have had trouble following along? Thanks and looking forward to the NASDAQ contracts.
Via Twitter from Joe X4.
Mark and Don: Who is your favorite Vol Views guest so far? Love the show.
Via email from Aston VaLance, Hoboken, NJ.
Mark L, Mark S and Don: Now that you are discussing NASDAQ vol on the show, do you find that it performs dramatically differently from S&P vol? If so, how much of that difference do you attribute to the relative dearth of NASDAQ vol products versus the explosion of S&P volatility ETPs? Mark L has said many times on the show that the VIX has many masters these days, not just SPX front-month volatility. On the flip side, it seems that NASDAQ vol only has one master. Are these various masters pulling the VIX in different directions from NASDAQ vol? Also, would the lack of NASDAQ vol ETPs "polluting the waters" make NASDAQ implied vol a more pure product from a volatility perspective?
Via the Options Insider forum, from Captain Options.
What causes VIX term structure? Mark L, Don and company: The Vol Views show has discussed the term structure of VIX futures many times in the past; most recently the emphasis has been on the incredibly steep slope of that term structure. I wonder if you could voice your opinions on what you think is actually causing such a steep slope in that product. As my handle suggests, I am more of an options guy than a futures guy, so I'm not particularly familiar with futures term structures and how they should work. I hope my question isn't too remedial for this esteemed panel. And Don, may I say, "Sold to you." Wow. That felt great!
Crystal Ball: NASDAQ volatility at nearly historic lows, which Don predicts will rise over the short term. However, he did not say "buy 'em." Remember his motto re options: "Sell, or don't sell." Sebastian discusses shocking bond movement, earnings season, and Apple.