Jan 26, 2015
Volatility Views 143: The Great Fed Debate
Volatility Review: The week in volatility
- ECB takes all of the vol out of the market in
one fell swoop. S&P 500 volatility streak longest since '12 as
1% moves multiply. The S&P 500 Index rose 0.5 per cent
yesterday and moved 1.3 per cent from its lowest to highest
- VXST: Another week of crappy volume.
(The Mystery of Short-Term
- FX Volatility: Another crazy week following
the Swiss Franc crisis.
- Crude Oil: Crude continues to take it on the
chin. Domestic crude supplies at near record levels. Iraq
increasing production to offset declining revenues. Death of the
Saudi King adding to the confusion.
Here’s the chart that Mark was referring to
from Daily FX:
Volatility Voicemail: Listener questions and
- Question from Marcus N - You discussed the
retracement from backwardation to contango in VIX Futures on the
last episode. If I thought the retracement would be rapid and I
wanted to play that retracement, would the near-term futures or
options be my best bet?
- Question from Avrile - Risk premium - What is
it? I have seen it defined many ways. Is it a products 30-day
implied vs. 30-day realized? 10-day vs. 10-day? If using 30-day
realized that’s a lagging indicator. Do you then have to
extrapolate that forward using an algorithm, then compare that to
30-day implied to get a more accurate number? What about comparing
something like front month or 30-day implied SPX volatility vs VIX
Cash or VIX Future? Is that the best surrogate for the markets risk
premium? Or has VIX Cash become such a polluted number that it is
better to stick with straight SPX implied volatility?
Crystal Ball: Mark and Jared prognosticate