Sep 10, 2012
Volatility Views 61: A Short Straddle for
Cowards
Volatility Review:
Vol review from the last few weeks. Short story: vol has marched
downward to near-record lows. Volatility Viewpoint:
This week, Mark and Don are joined by Dan Passarelli, Market Taker
Mentoring. Dan discusses Market Taker and how he approaches
volatility with a new client. He also talks about mentoring
students who want to dive into sophisticated vol products, like VIX
options, for example. Does he counsel the novice trader to avoid
these products? How does he train students to be aware of
volatility levels for each trade that they make? They also discuss
gamma scalping and delta neutral trading, and where Dan falls in
the volatility hedge vs. direct hedge debate.
Mailbag:
Answering listener mail.
. When is
Volatility Views coming back live?
. Someone bought
20,000 Feb 75 calls in the VIX yesterday. That's near the ultimate
all-time high for the VIX. Why do so many people dramatically
overestimate VIX, particularly to the upside? People seem to be
ignorant of the historical range of VIX, let alone the typical VIX
movement. Perhaps this is more of a comment than a question, but
it's been bothering me lately and I wanted to hear your learned
opinions on the matter.
. Is there such a
thing as "the gamma of vega"?
Crystal Ball:
NASDAQ vol outlook.