Volatility Views 54: Listener Mail Extravaganza, Part Two

Volatility Views 54: Listener Mail Extravaganza, Part Two Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened further. A crazy scenario of implied vs. realized volatility in VIX. Listener Mail: Mark, Don, and Mark take on listener questions.

• All of this talk about JP Morgan has left me wondering, what kind of derivatives hedge loses $2.3 billion? How is that even possible? Help me Volatility Views hosts, you are my only hope! (Todd Lundgren, Pittsburgh, PA)
• I Know Bob and Don are big fans of vol cones. How about a vol cone update on the major indices (VIX, NASDAQ, Euro, etc.) for your loyal listeners? Where should I be buying, or perhaps not buying VIX here? (TEDMAS via Facebook)
• Hey Don, what index is next from VolX after NASDAQ? Russell? Emerging Markets? Thanks. (Via Twitter from UNCLESTEVE)
• Mark is fond of calling NASDAQ "Apple Plus." I know he's joking, but it raises an interesting question about how much the Apple tail is wagging the NASDAQ dog? What percent of NASDAQ vol, or even vol of Vol, is directly attributable to Apple? I'm sure your listeners, me included, would like to know. Also, quick side question for Mark - Is there any way to buy Options Insider gear? I love the logo and I want to do my part to get the word out about the network. (Steve K., Oklahoma City, OK)
• Vol crew, why is the VIX term structure coming in so dramatically? The VIX ETPs and annuities are still net buyers of long-term vol. (Max Shreck, Atlanta, GA)
• Has the rise of weeklies rendered existing vol studies, and maybe even conventional vol wisdom, moot? (Via Twitter from Todd Dupres)

Crystal Ball: We might start to see levels of realized vol taper off a bit in NASDAQ. The three-month vol of vol is actually lower than the vol of the S&P itself. VIX could reach 30 sooner than later. Bonds are in even worse condition.