Volatility Views

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year.  Ten-day realized vol is near two-year lows.  Is this the eye of the hurricane or the calm after the storm?  Implied vol really low, although IV ended up on the week in the S&P 500.  Market doesn't completely trust the low vol levels.Strategy Session:  Continuing last week's discussion, we begin looking into logical errors when deriving volatility over discrete periods.  The simple answer: Root-Mean-Square.  Don walks us through the math, as well as the usefulness of this method when looking to hedge volatility exposure over a longer period of time.  Cheap volatility and buying or selling premium?  Mark and Don discuss their own thoughts on these two matters. Crystal Ball:  Yay...no government shutdown, which may actually put a damper on upcoming vol.  However, if oil continues to rally, and indications of interest are rates rising, we'll see increases in IV.  Good news doesn't rall