Dec 10, 2012
Views 72: Closing the Book on Black Swans
Review: It was a very slow week in volatility, with the
VIX sticking close to 16. Near-term VIX futures were trading at
0.50 below the cash contract at one point this week.
Mark, Andrew, and Don answer listener questions.
- Comment from Teddy: This is a
great article. I really hope you guys discuss this on the next
episode of Volatility Views. I'm curious about this new low vol
VIX. What is the point of it?
- Comment from Oscar (about
Woodard's article): This is a good article, and given the last
episode of Vol Views, this is very timely. When are you going to
have Condors Options on the show? It seems like they would fit
nicely with Mark, Don and Mark.
- Comment from Asymmetric Risk:
I've never read any of Nassim's books, much less his research.
However I've probably traded more options with him than any of his
counterparties, going back to the 80's when we were the two most
active currency options traders globally. I would describe him as a
buyer of back spreads, and very well positioned for gaps or jumps.
Many of which were not black swans per se, for example, the sudden
10% currency move we had when the Swiss National Bank put a floor
on the Euro recently. Your critique of his strategy was unduly
harsh, because while he is set up for black swans, he isn't
dependent on them to be profitable, as you guys characterize
- Email from Mark S: Should I
even pay attention to the vega numbers when trading weekly options?
It seems like vol is mostly irrelevant in such a short-dated option
and that any measurement of that vol would be highly prone to
error. Weeklies seem to be gamma/theta beasts, so that's where I
expend the bulk of my effort and analysis.
The Crystal Ball: We're still waiting
for a settlement in Washington on "the fiscal cliff."
The Crystal Ball: We're still waiting for a
settlement in Washington on "the fiscal cliff."