Jul 26, 2012
Volatility Views
59: A Deep Dive into Variance Swaps
Volatility Review: VIX has certainly declined
since the last show, with a pop happening only recently. NASDAQ vol
rundown since last show. Apple's impact on the NASDAQ wasn't as big
as expected.
Volatility Viewpoint: Don goes over some of the
math of variance swaps, including how they differ from vol swaps,
variance and vega notional, convexity, and vol of vol.
Listener Mail: Addressing Listener Questions
Vol Views Gang - Which will we hit first a VIX of 40 or 14? (Via
Twitter from TEXASTEA)
Why don't more brokerage firms allow you to quote options by vol
levels instead of price/premium levels? You'd think this would be a
very desirable feature, particularly to the type of educated
clientele that listens to a show like Volatility Views. That's
certainly a desirable clientele for a broker. I know I would
certainly like that feature. Can you guys weigh in on this and
hopefully help me spread the word for this feature among online
brokerage firms. (On a side note - I can't wait for Volatility
Views to get back to its regular schedule. I never thought I would
be this excited for the end of summer.) (Via Facebook From
Alex K., Tucson, AZ)
Does the Volatility Views team feel that the new method for listing
weeklies will lead to a reduced volatility of volatility in those
products? Thank you very much for your fine program.
(Via email from Alessandro Ropa, Barcelona, Spain)
Crystal Ball: Looking ahead at the next month for VIX and NASDAQ
Vol.