Volatility Views Volatility Views Episode 2: The Shadowy World of Volatility Swaps
Aug 16, 2011
01:00:03
Volatility Views Episode Two: The Shadowy World of Volatility SwapsMark and Don are joined by Mark Sebastian from Option Pit. There is no shortage of opinions on volatility this week.
- Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro VolContracts (TM) show a sharp volatility decline over March; VolX adds RSJ as a market maker.
- Volatility Viewpoint: Exploring the shadowy world of volatility & variance swaps; Using OTC volatility and variance swap markets to capture vol. The nature of the payoffs. Realized volatility options in the cards. Inferred vol.
- Crystal Ball: Sebastian thinks that vol has hit a bottom and that it will be ticking up. Don wonders if that means that the market will fall? Not necessarily...