Volatility View 46: Volatility Discussion with the Godfather

Published: March 27, 2012, 7:58 p.m.

Volatility View 46: Volatility Discussion with the Godfather

\n

Volatility Review: Slaughter of the VIX April future, with May poised for the same.\xa0 Credit Suisse released more creation units and TVIX crushed long positions - going from 13 to 6.5 in a week. Euro vol review -- March 1- and 3-month contracts expired last week. NASDAQ vol update.

\n

Volatility Viewpoint: Mark, Bob, and Mark have the great pleasure to discuss volatility with the Godfather:\xa0 Anthony Neuberger, Professor of Finance at Warwick Business School.\xa0 The gang discusses his seminal paper, "The Log Contract and Other Power Contracts.\u201d\xa0 They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.

\n

Crystal Ball: Sebastian sees VIX staying between 14 and 16, with a lot of erosion in VXX.\xa0 Watch out for contango.\xa0 Euro vol is a coin flip right now. NASDAQ vol might be too expensive right now because of Apple.