Apr 7, 2014
Volatility Views 106: HFT and Volatility
Volatility Review: It was a mild week with the
VIX around the 13-handle for most of the week. Did premiums
increase going into the non-farms announcement, or did the market
shrug as with other recent non-farms? March VIX futures rose 20%
year-over-year. VIX futures also set a new quarterly volume record
when 12.38 million contracts traded, up 35% compared to the first
quarter of 2013.
Volatility Voicemail: You direct the
- Question from George - Big fan of the show -
been listening for years. I think Jared is a great addition to the
panel. There is a lot of talk about HFT firms manipulating stock
markets in the wake of the Michael Lewis book Flash Boys.
I have seen lots of talk about price manipulation, but I keep
coming back to all of your discussions on Volatility Views, and it
makes me wonder - why is no one talking about volatility as it
relates to HFT? Are the firms adding volatility to the marketplace?
Could these firms be responsible for a lot of the vol of vol that
we see in the marketplace right now? Particularly in very active
name or in some of the volatility ETFs? Keep up the great
- Question from EVO16 - I am a regular user of
VXX. I have heard you refer repeatedly to the cost of rolling this
product and how it negatively impacts holders. Is there anything I
as a regular VXX owner can do to minimize this? Are there other
ETFs out there that attempt to do this?
Crystal Ball: An outlook for VIX, RVX and VIX