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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.

Feb 19, 2013

Volatility Views 81: Capturing Volatility Premium

Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so.  If there is any edge, it’s in March VIX futures.

Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses:

  • His paper, Capturing Volatility Premium through Call Overwriting (
  • The ways to capture the volatility differential between realized and implied
  • Quantifying the term “overwriting”
  • Findings that overwriting can outperform the S&P 500 in the long-term
  • How the message is being received by the retail audience
  • How the paper quantifies the impact of the roll on weekly options and when the best time is to do so

 Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.