Mar 25, 2013
Volatility Views 85:
Responding to Great Listener Questions
Volatility Review: It is
somewhat surprising to see how little the recent European crisis
has impacted the VIX. Perhaps the market over-reacted to the news
in Cypress. NASDAQ 21-day realized volatility is below that of the
Listener Mail: Keep those
questions coming in.
from Jim Petchi: I have been listening to Volatility Views for a
while, but I still do not understand how the volatility of a
specific option relates to the probability of the change in stock
price. Does the implied vol of a specific option (like AAPL today
at 443, with a April vol of 29%) mean that AAPL has a 29% chance of
making a one standard day deviation move, which is 67%, in that
time frame? If not, is there some way of relating the implied vol
from A Heiner: (in reference to "Risk Reversals Trade BPI" an
unusual activity article) What does this mean? I apologize but I do
not understand the market and what this says about the future of
BPI and its price. Can you break it down for me?
The Crystal Ball: The crisis
in the Mediterranean will likely get resolved soon, and in a way
the market finds favorable. Happy Holidays everyone! We will be
back in two weeks.