Feb 6, 2012
39: Redefining Normal
Volatility Review: How low can vol continue to go?
Dancing around 17 in VIX cash. We have finally reached perfect
equilibrium. The last 22 trading days of realized volatiity was
6.73 for the S&P, the lowest Don has remembered since 1994.
Lofty numbers have skewed people's ideas of "normal," and it's time
to reassess the definition of it. Expiration day for the February
Volatility Viewpoint: Mark, Mark, and Don discuss
volatility correlation, overlays for equity portfolios, and several
other uses for volatility products with Simon Acomb, from Acomb
Financial Research, Ltd.
Crystal Ball: Dipping into the murky depths of
volatility. Mark S. sees a flattening of the VIX yield curve, and
thinks it makes sense to isolate gamma and short VIX using S&P
versus VIX futures. Don provides insightful Euro vol
Information on the
volatility workshop that Simon discussed can be found here.