Preview Mode Links will not work in preview mode

Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Jun 18, 2012

Volatility Views 58: Cracking the Bond Code

Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue.
Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier University in Waterloo, Ontario, Canada.
Dr. Kalimipalli discusses:
-His research, in which he looks at correlations between overall equity market vol and the treasury markets.
-What kind of skews he sees in the bond markets insofar as implied volatility is concerned.
-Which variable is preferable to use, VIX or the stock turnover, or both?
-How the volatility of a particular underlying correlates to corporate bonds on the underlying.
-If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.
-How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.

Crystal Ball: Greek elections on Sunday. Could send us off in any direction. The movement of volatility will creep back up to normal levels again.