Apr 15, 2013
Volatility Views: The Value of Gamma
Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver. Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as money flows in from Asia. Lowest realized vol in Gold was charted in early April, with vol spiking ever since. Vol of vol is around 170, and is likely going over 200.
Volatility Viewpoint: Today guest is Shreyas Chari, Principal at Satwic Capital Partners. He discusses gamma and its relative value in the marketplace, as well as other aspects of volatility.
The Crystal Ball: Weekly options are becoming more efficiently priced.