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Dec 19, 2011 54 min

Volatility Views 34: A Break from the Insanity

from Volatility Views

Volatility Views 34: A Break from the Insanity Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX--general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro VolContract updates--December one-month went out at 11.12, three-month at 12.84. Volatility Viewpoint: Mark and Don discuss volatility with Stephen Figlewski, Professor of Finance at NYU's Stern School of Business, founding editor of the Journal of Derivatives, and Director at the Nasdaq OMX Derivatives Research Project. Crystal Ball: VIX at a much more tolerable level, but Mark thinks it will vascillate in this "new mean" for quite a while. January Euro VolContract is fairly new, but volatility is forecasted to be lower going out. Click here to access the Salomon Center that Prof. Figlewski spoke about in Volatility Viewpoint. Prof. Figlewski's personal webpage is available here.

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This episode is 54 minutes long.

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This episode was published on December 19, 2011.

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