Volatility Views Volatility Views 23: Can You Eat Risk-Adjusted Returns?
Sep 19, 2011
53:39
Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility.
Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion.
Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?