Podcasts Business Volatility Views Volatility Views Episode 2: The Shadowy World of Volatility Swaps

Volatility Views Episode 2: The Shadowy World of Volatility Swaps

Published: Aug. 16, 2011, 8:51 p.m.

Volatility Views Episode Two: The Shadowy World of Volatility Swaps

Mark and Don are joined by Mark Sebastian from Option Pit.\xa0 There is no shortage of opinions on volatility this week.

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  • 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.
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  • Volatility Viewpoint:\xa0 Exploring the shadowy world of volatility & variance swaps; Using OTC volatility and variance swap markets to capture vol.\xa0 The nature of the payoffs. Realized volatility options in the cards. Inferred vol.
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  • Crystal Ball: Sebastian thinks that vol has hit a bottom and that it will be ticking up.\xa0 Don wonders if that means that the market will fall? Not necessarily...
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