Jan 27, 2014
Volatility Views 96: Harvesting
Volatility Risk Premium
Volatility Review: An ugly, ugly day
across the board for Vol. S&P down 2%. VIX settlement last
Wednesday. What is it about Feb that brings out the VIX call buyers
Volatility Viewpoint: Today’s guest is
Scott Maidel, Senior Portfolio Manager of Equity Derivatives at
- Short volatility strategies &
- An update on the call overriding
- Why does a volatility risk premium
- Is volatility an asset class?
- What are alternatives for managing portfolio
- Strategy construction techniques for
harvesting volatility risk premium
- Will implied volatility underperform realized
volatility in the coming months?
- What are some favorite
tools/products/techniques for capturing implied vs. realized?
- How does the volatility premium in products
like RVX differ from traditional S&P volatility products?
- The ideal use case for a volatility product
Crystal Ball: Weak China, Argentina,
and worse-than-expected housing numbers, etc. has combined into a
massive weight on the market, and volatility has only recently come
to life. What should we expect going forward?