Oct 8, 2015

The Watch List for October 8 | Volatility Trading, VIX & VVIX

In this video clip Jim Jockle, CMO of Numerix tackles the top news items of the week impacting the state of the global financial markets. In this October 8th edition Jim examines Tracy Alloway's recent article Market Volatility Has Changed Immensely. He examines how the evolution of volatility as an asset class and the rise in popularity of volatility trading is impacting equity derivatives, target vol strategies and structured products.

Specifically, Jim points out an interesting aspect of the article where sellers of short term VIX are effectively short Gamma and need to scramble and buy Vol as it rises. This is causing a fascinating phenomena where by trading volatility, you are actually creating more volatility.

Weigh in and continue the conversation on Twitter @nxanalytics, LinkedIn, or in the comments section.

Graphic Source: CBOE <http://www.cboe.com/delayedquote/advchart.aspx?ticker=VVIX>

Graphic Source: Alloway, Tracy. “Market Volatility Has Changed Immensely” Bloomberg. 8 September 2015. <http://www.bloomberg.com/news/articles/2015-09-08/market-volatility-has-changed-immensely>

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