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Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Mar 12, 2012

Volatility Views 44:  Listener Mail  Extravaganza
Volatility Review: Vol is down and SPX is up. Even the  news of the new iPad wasn't enough to boost the market. Don opines on Apple.  Nasdaq vol still flat-lined.  Euro vol -- the  1-month and 3-month March contracts expire  soon. 

Listener Mail: Nasdaq VolContracts, TVIX, the nature of  VolContracts, and avoiding the VIX.
1. Will the new Nasdaq VolContracts be  exclusive to the Nasdaq, like the Euro and CME, or multi-listed? 
2.  What's your take on the ongoing TVIX drama? Cause? Was it shady? Is TVIX  done? 
3. I'm new to the show, so I apologize if you guys have  discussed this in earlier episodes, but I'm intrigued by the concept of  VolContracts and how they work. Would the new Nasdaq products be normal  futures and options in the truest sense? In other words, do normal strategies  such as verticals, time spreads, etc. apply in VolContracts products? Or, do I  need to relearn my trading fundamentals and apply some new concepts to fully  capitalize on these instruments?
4. I hear you guys talking about the  problems with using VIX as a proxy for SPX volatility: Poor settlement, too  many masters affecting the VIX, etc. So instead of VIX, I'm thinking of  getting a pure realized vol position using delta-neutral ATM straddles in SPY.  The contract size is smaller, so it's easier for me to trade. As long as I  make my hedges and adjustments accurately, this should be a vastly superior  proxy for the true S&P volatility. Am I correct or am I nuts? 

Crystal Ball: Non-farms may be a non-event. Load up on VIX downside.  Hopefully the Nasdaq vol can break out of this flat line and the other shoe will drop. Otherwise it's difficult to  make any predictions.