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Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse?

Volatility Viewpoint: Today\u2019s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments.

They discuss:

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• Short volatility strategies & framework
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• An update on the call overriding portfolio
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• Why does a volatility risk premium exist?
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• Is volatility an asset class?
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• What are alternatives for managing portfolio volatility?
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• Strategy construction techniques for harvesting volatility risk premium
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• Will implied volatility underperform realized volatility in the coming months?
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• What are some favorite tools/products/techniques for capturing implied vs. realized?
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• How does the volatility premium in products like RVX differ from traditional S&P volatility products?
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• The ideal use case for a volatility product like VIX/RVX?
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Crystal Ball: Weak China, Argentina, and worse-than-expected housing numbers, etc. has combined into a massive weight on the market, and volatility has only recently come to life. What should we expect going forward?\xa0