Tag Archives: Skew

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Weekend Review – Volatility Indexes and ETPs 3/7 – 3/11

Three out of the four S&P 500 based volatility indexes dropped last week with the longer term focused VXMT rising slightly.  I went on a data fishing expedition with respect to weeks where VXMT and the S&P 500 rose, but couldn’t find a definitive patters.  I even looked at the predictive power going out as […]






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Discussion of Volatility of Volatility at RMC in Hong Kong on Dec. 1

On December 1st in Hong Kong at the First Annual CBOE Risk Management Conference (RMC) Asia, two expert speakers – William Chan, Equity Derivatives Strategist, Bank of America Merrill Lynch, and Michael Fagan, Chairman, Levitas Capital – will discuss the topic of Volatility of Volatility, and (1) Historical observations and interpretations for “vol-of-vol” surfaces, (2) […]






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Skew Charts to Prepare for Conference in Hong Kong

This month I am planning to travel to the First Annual CBOE Risk Management Conference (RMC) Asia, which will be held on November 30 – December 1 at the JW Marriott Hotel, Pacific Place, 88 Queensway, Hong Kong. In my preparations for the trip, I am analyzing the skew charts for a number of option […]