May 20, 2013
Volatility Views 91:
Volatility Review: Realized
volatility plummeted. NASDAQ sits at 12.06 and S&P is even
lower at 10.01. Don and Mark Sebastian called it.
Listener Mail: We answer
- Question from Jackson Engles, Garden City, NY: When you are
analyzing historical volatility, what time frame is most relevant?
The past 30 days? The
past three months, six months, etc.? What do you focus on in your
- Question from Timothy VanAllen, Baltimore, MD: I hope Mark
didn't lose "the Voice of Options" at his unusual activity event. I
couldn't make that one, but if you guys end up doing a Vol Views
100 live, I hope to be able to attend. My question has to do with
vol skew. We hear a lot about the vol smile, but nothing really
exhibits it. Can you guys think of any underlyings that really
spike from a volatility perspective once they move away from the
ATM in either direction?
- Question from ATL16: Dollar/Yen is crazy lately. What's a good
source for FX vol info or analysis?
- Question from Phil Thomas, London, ON: In what conditions would
the Vol Views Squad ever consider using upside VXX or VIX
calls/verticals as a portfolio hedge? Or would you always stick
with the good old S&P put spread/ratio spread?
- Question from Mr. Pop: Quick question -- What is your favorite
position for trading volatility?
The Crystal Ball: Fading the
short-term, buying the long-term. How long can VIX stay this