Volatility Views 58: Cracking the Bond Code
Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue.
Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier University in Waterloo, Ontario, Canada.
Dr. Kalimipalli discusses:
-His research, in which he looks at correlations between overall equity market vol and the treasury markets.
-What kind of skews he sees in the bond markets insofar as implied volatility is concerned.
-Which variable is preferable to use, VIX or the stock turnover, or both?
-How the volatility of a particular underlying correlates to corporate bonds on the underlying.
-If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.
-How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.
-His research, in which he looks at correlations between overall equity market vol and the treasury markets.
-What kind of skews he sees in the bond markets insofar as implied volatility is concerned.
-Which variable is preferable to use, VIX or the stock turnover, or both?
-How the volatility of a particular underlying correlates to corporate bonds on the underlying.
-If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.
-How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.
Crystal Ball: Greek elections on Sunday. Could send us off in any direction. The movement of volatility will creep back up to normal levels again.
About Mark S. Longo
Mark S. Longo is the founder of The Options Insider Inc. - a firm dedicated to providing free options information, education, news and analysis for options users. Whether it's on TheOptionsInsider.com, a leading online options destination; through Options Insider Radio, the world's only radio network for options users; or through a growing number of newsletters and live events, Mr. Longo continues to provide new ways to spread the word about options.Mr. Longo's analysis of the options market has appeared in a wide variety of domestic and international publications, including The Wall Street Journal, Financial Times, Reuters, Futures Magazine, and more. As one of the few industry commentators with practical options experience, he has developed a substantial following among industry veterans and newcomers looking for insight into this complex market.Mr. Longo began his career as an options trader on the floor of the Chicago Board Options Exchange.
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