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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.

Jan 27, 2014

Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse?

Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments.

They discuss:

  • Short volatility strategies & framework
  • An update on the call overriding portfolio
  • Why does a volatility risk premium exist?
  • Is volatility an asset class?
  • What are alternatives for managing portfolio volatility?
  • Strategy construction techniques for harvesting volatility risk premium
  • Will implied volatility underperform realized volatility in the coming months?
  • What are some favorite tools/products/techniques for capturing implied vs. realized?
  • How does the volatility premium in products like RVX differ from traditional S&P volatility products?
  • The ideal use case for a volatility product like VIX/RVX?

Crystal Ball: Weak China, Argentina, and worse-than-expected housing numbers, etc. has combined into a massive weight on the market, and volatility has only recently come to life. What should we expect going forward?