Oct 23, 2012
Volatility Views 67: VolContract Futures Overlays: The Holy Grail?
Volatility Review: What's going on with the
VIX rallying on a slow day like today? NASDAQ rundown. This is the
first time we've moved down more than 1% since June
26th.
Volatility Viewpoint: Today's guest is Nick Li, a Quantitative
Analyst for VolX. He tells us about the paper "VolContract
Futures Overlay on an S&P 500 Portfolio," which compares some
different implementations of VolContracts in conjunction with an
equity portfolio.
The Crystal Ball: Realized volatility should tick up a bit, but it
depends on earnings.