Recent content by Volare

As you realize via this strategy you are short vol of vol. What makes you think vol of vol is priced rich?

Mark, this is a good point. You shud expand on this. Your blog is interesting. My two cents on the skew as it relates to VIX to try to answer the original question. As Mark indicated above the skew dynamics play a role in VIX direction. If skew steepens VIX goes up. So if stock goes down but...

The last statement is incorrect. Following maybe a bit too much for this forum but it should send people in the right direction. By construction VIX is the market expectation of VARIANCE realized over say the next 30 days. There are tons of articles that explain how a portfolio of options -...