Mar 27, 2012
Volatility View 46: Volatility Discussion with the Godfather
Volatility Review: Slaughter of the VIX April future, with May poised for the same. 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.
Volatility Viewpoint: Mark, Bob, and Mark have the great pleasure to discuss volatility with the Godfather: Anthony Neuberger, Professor of Finance at Warwick Business School. The gang discusses his seminal paper, "The Log Contract and Other Power Contracts.” They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.
Ball: Sebastian sees VIX staying between 14 and 16, with a
lot of erosion in VXX. Watch out for contango. Euro vol
is a coin flip right now. NASDAQ vol might be too expensive right
now because of Apple.