Volatility Views Volatility Views 35: Aggressively Selling Volatility in the New Year
Jan 9, 2012
01:02:20
Volatility Views 35: Aggressively Selling Volatility in the New Year Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year. Mailbag: Best method of volatility measurement? "I've just found this show on iTunes and I find it very enlightening. Thank you for producing a quality show on this topic. I'm relatively new to options and I'm looking to do some basic modeling to get a better handle on options pricing and performance, but I'm hung up on which volatility measurement to use in my model. Close to close volatility certainly seems easiest but I'm not sure if it would be accurate enough for my needs. Should I try for something intra-day or should I stick with the easy path? Thanks, John." Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures--where are they moving this year? A few new contracts may be in the pipeline over at VolX.