Apr 30, 2012
51: Risk Managers: The Adults in the
Volatility Review: VIX options were absolutely
crushed this week. Apple after earnings and its effect on NASDAQ
vol. Don and Sebastian weigh in on VVIX.
Volatility Viewpoint: Volatility Views welcomes
back Euan Sinclair, author and risk manager at Bluefin Trading, to
discuss risk management and his work on the barrier (or first time)
method for calculating volatility. Euan gives a quick sneak preview
of the updates to his book. The group also discusses Euan's opinion
on vol of vol, and if the universe of ETPs has dramatically
affected the vol of vol.
Crystal Ball: Sebastian is looking at a 14-handle
in the VIX and observed that S&P realized volatility was
already in the 14s and would probably maintain those levels. Now
that Apple's earnings are out of the way, what to look for in the
NASDAQ? Getting close to the summer doldrums.