Dec 6, 2011
Volatility Views 32: Larry the Legend
In this episode, Mark, Don, and Mark Sebastian are joined by Larry
Volatility Review: Last week saw a lot of
volatility action. VIX downside positions are just starting to pan
out. Are people buying insurance or are they buying gamma? Seasonal
drain to volatility. Euro VolContract update--one week left to go
in the front-month contract.
Volatility Viewpoints: Larry McMillan, recent
winner of The OIC's Sullivan Award, discusses how volatility
derivatives have changed the landscape of vol trading. Larry waxes
nostalgic on the days when there weren't puts on every stock. The
virtues of upside VIX calls versus SPX puts to hedge a portfolio.
Discussing the fine art of gamma scalping.
Crystal Ball: Wild prognosticating from the panel.
The market will have trouble supporting current vol levels.
Sebastian likes buy-write opportunities in gold right now. Larry
still has a bullish bias to the market. With expiration week for
the front month upon us, Don sees Euro vol settling at around