Aug 17, 2011
Volatility
Views 16: Risk Premium
Volatility Review: Interesting week with the
market not doing much, but volatility increased anyway. The
market's "in a pickle" until the debt issue is resolved. July
8 was the fifth expiration for the Euro VolContract, which showed
greater than 29% movement in the price during the life of the
contract. The August contract has provided 16% vol movement
in the first three days of the contract.
Listener Mail: Mark and Don answer questions from
listeners, including: Why did an option price drop as the stock
price went up, and; what is a sellers' premium in options?
Crystal Ball: Mark foresees no debt deal
over the weekend. If anything can push VIX to 30, will this
be the event that does it? Front month Euro vol likely to go
lower.