Jun 12, 2012
Volatility Views
57: Turning the Tables on Mark
Sebastian
Volatility Review: VIX is back this week, after it
ended unchanged at 0.0 before last week's Option Block episodes.
Time will tell as we see what happens in Europe. NASDAQ one- and
three-month realized volatility has had almost no movement at all,
but the trend is surely upward.
Volatility Viewpoint: Long-time panelist Mark
Sebastian gets the chance to sit in the guest's seat and discusses
what Option Pit is and the world of options
education.
Mail Bag: Answering listener questions.
CBOE is in the process of changing the way they list weekly
options. How do you think the change will impact weekly options
volatility, as well as the way they perform? Thanks again and I
love the show. You guys make my commute to work a little more
bearable. (Via Facebook from Chris Monty)
In a time spread, which risk/opportunity should I really focus on:
gamma or vega? It seems like trading time spreads is essentially
finding a proper balance between these two. (Via email from
Theodore Johnson, Boise, ID)
I'm and expat American currently living and trading in Germany. As
an old-school options trader, I've always considered myself
first-and-foremost a volatility trader. I mostly view my positions
and I'm always looking for interesting new products like
VolContracts, VIX, etc., that will provide me with a new way to
hedge/trade volatility. When I moved to Frankfurt, I was very
surprised to find that most of my European colleagues don't share
that perspective. They aren't up on the latest vol
products/research and don't tend to view themselves as vol traders.
I've found this baffling so I thought I would write to the
authority on volatility to see if I am completely nuts or if this
is a well-documented situation. Is vol trading, and the interest in
vol products, primarily a localized American phenomenon, or am I
just hanging with the wrong crowd over here? (Via email from
Charles Stephens, Frankfurt, Germany)
Crystal Ball: We'll have to keep an eye on Europe,
but expect little change in realized volatility. There will be a
break in S&P in one direction or the
other.