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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.

Feb 25, 2013

Volatility Views 82: Scalp Gamma, Trade Vega

Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect.

The Mail Bag: So many questions!

  • Question from Tim Ross: I’ve heard the hosts refer to "scalping gamma" before on the program. What does that mean and should I be doing that in my own trading account?
  • Question from Nitin Gulati: Mark, Volatility Views is the best educational show in world of options trading and education. No one could have assembled such a great team of hosts. Don often refers to “vol of vol” in his comments, but how can this serve as a useful tool in a retail trader’s arsenal? On second thought, we often use vol cones to understand how realized vol is at lower levels on some individual names, as well as indexes. If implied vol is priced in lower further out, doesn't that mean the market is pricing a muted move in the future? How would a trader differentiate if he only wants vega, since gamma might not be cheap?
  • Question/comment from Southbaytrader1: Looking forward to the weekly fix from your show. Good humor in a world of darkness! When's the next stand-up tour? I enjoyed the vol series discussing Taleb's strategies--interesting to hear competing viewpoints. I would like to hear more on vol futures versus cash, assignment risk, and possible spread strategies for mitigating cash outlays. Your thoughts on margin would be great too.
  • Question from TBill01: What do you guys think of the recent spike in VIX? It seems to be way out of whack with actual movement of S&P. See? I listen!
  • Question from Umberto Toli: Do you feel the current options tax treatments put forth in congress, particularly the covered call tax treatment, will stifle volume and/or drive exchange volume into the OTC realm? If so, what impact do you feel this would have on overall S&P and NASDAQ volatility?
  • Question from Et_Moor16: I am thinking about dispersion trading in AAPL, V, QQQ, GOOG, and AMZN. How much do you think I need in my account to do it?
  • Question from Finn Tompkins: What does the Vol Views crew think of the underperformance of the emerging markets VIX relative to the actual VIX? Is tail risk just overpriced in the U.S. or is it a bargain in the emerging markets?

 The Crystal Ball: Is the current level of realized volatility sustainable?