Dec 19, 2011
Volatility Views 34: A Break from the
Volatility Review: This was an intriguing week for
volatility action. Strange week in the world of VIX, with it
finally returning to "normal." The novel concept of being fully
insured. The seasonality of VIX--general uptrend in market plus
professionals taking money off the table equals a perfect storm in
VIX. Euro VolContract updates--December one-month went out at
11.12, three-month at 12.84.
Volatility Viewpoint: Mark and Don discuss
volatility with Stephen Figlewski, Professor of Finance at NYU's
Stern School of Business, founding editor of the Journal of
Derivatives, and Director at the Nasdaq OMX Derivatives Research
Crystal Ball: VIX at a much more tolerable level,
but Mark thinks it will vascillate in this "new mean" for quite a
while. January Euro VolContract is fairly new, but volatility is
forecasted to be lower going out.
Click here to access the
Salomon Center that Prof. Figlewski spoke about in Volatility
Prof. Figlewski's personal webpage is available here.