Volatility Views 81: Capturing Volatility Premium
Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so. If there is any edge, it’s in March VIX futures.
Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses:
His paper, Capturing Volatility Premium through Call Overwriting (http://www.russell.com/US/insights-research/capturing-the-volatility-premium.aspx)
The ways to capture the volatility differential between realized and implied
Quantifying the term “overwriting”
Findings that overwriting can outperform the S&P 500 in the long-term
How the message is being received by the retail audience
How the paper quantifies the impact of the roll on weekly options and when the best time is to do so
Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.