Volatility Views 56: More Listener Mail Fun
Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month edged higher to 16.02. Reacting, rather than predicting, was the order of the day.
Listener Mail: We're Going Listener Mail Crazy Again This Week
Any update on the NASDAQ VolContracts? (Via Twitter from EuroDJ) Is delta neutral hedging the only way to trade realized volatility in the options market right now (outside of VolContracts on the Euro, of course)? I like what you guys talk about every week and I'm looking for ways to capture that good ol' "realized vol." (Via Facebook from Steve K., Victoria, BC) I just wanted to write in to let you guys know that I love this show. Volatility Views is unique in the options podcast world. No one else is out there talking about the stuff you guys talk about or bringing on the guests you guys get. It truly is a fantastic, one-of-a-kind program. So thanks again for putting together such a great show. And Mark - thanks also for The Options Insider Radio Network. You truly are "the voice of options." (Via email from Dick Framingham - Rochester, NY) Mark "Voice of Options" Longo, Don "sold to you" Schlesinger and Mark "tinny seabass" Sebastian - I have a pressing question that requires your vast expertise. Why, in the name of God, does the VIX have a skew? Shouldn't that information already be represented in the SPX options or am I completely missing the boat on this? Thanks again and I love the network. That new Options Boot Camp show is fantastic. (Via Facebook from Tim Bond, Tulsa, OK) Why do you think so many attempts to bring OTC vol to exchanges have failed - CBOE variance, etc. (Via Twitter from AXEMAN74) I know you guys have talked about selling vol when others are buying. Like when a newsletter recommends buying a particular put, for example. How exactly do I execute that trade? Do I wait until late in the day when everyone is done buying, then sell that same option? Can I sell nearby strikes instead? What about the stock? Do I have to hedge delta neutral or one-to-one to really capture the vol premium? I am really interested in this strategy, but a little fuzzy on the actual execution. (Via email from Joe Eftes, Sacramento, CA)
- How do you guys feel the addition of Facebook will impact NASDAQ volatility in the future? (Via Twitter from DAMIAN14)
What's your opinion of Facebook's option vol and options trading so far? (Via email from Tim L. in Portland, OR)
Crystal Ball: We could see 30 shortly in the VIX. All-time low for 10- and 30-year bonds. More volatility -- it's going to get worse before it gets better.
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