Feb 25, 2013
Volatility Views 82: Scalp
Gamma, Trade Vega
Volatility Review: What is
going to shake up the world of volatility? We did see a small pop
this week. The weekend effect.
The Mail Bag: So many questions!
from Tim Ross: I’ve heard the hosts refer to "scalping gamma"
before on the program. What does that mean and should I be doing
that in my own trading account?
from Nitin Gulati: Mark, Volatility Views is the best educational
show in world of options trading and education. No one could have
assembled such a great team of hosts. Don often refers to “vol of
vol” in his comments, but how can this serve as a useful tool in a
retail trader’s arsenal? On second thought, we often use vol cones
to understand how realized vol is at lower levels on some
individual names, as well as indexes. If implied vol is priced in
lower further out, doesn't that mean the market is pricing a muted
move in the future? How would a trader differentiate if he only
wants vega, since gamma might not be cheap?
Question/comment from Southbaytrader1: Looking forward to the
weekly fix from your show. Good humor in a world of darkness!
When's the next stand-up tour? I enjoyed the vol series discussing
Taleb's strategies--interesting to hear competing viewpoints. I
would like to hear more on vol futures versus cash, assignment
risk, and possible spread strategies for mitigating cash outlays.
Your thoughts on margin would be great too.
from TBill01: What do you guys think of the recent spike in VIX? It
seems to be way out of whack with actual movement of S&P. See?
from Umberto Toli: Do you feel the current options tax
treatments put forth in congress, particularly the covered call tax
treatment, will stifle volume and/or drive exchange volume into the
OTC realm? If so, what impact do you feel this would have on
overall S&P and NASDAQ volatility?
from Et_Moor16: I am thinking about dispersion trading in AAPL, V,
QQQ, GOOG, and AMZN. How much do you think I need in my account to
from Finn Tompkins: What does the Vol Views crew think of the
underperformance of the emerging markets VIX relative to the actual
VIX? Is tail risk just overpriced in the U.S. or is it a bargain in
the emerging markets?
The Crystal Ball: Is
the current level of realized volatility sustainable?