ft alphaville articles on vix - march - april 2011

8/7/2019 FT AlphaVille Articles on VIX - March - April 2011

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Volatility as the new Black-ScholesPosted by Tracy Alloway on Mar 01 13:09.

Heres a timely discussion following theVix smashing through the 20 level.

It comes via Euromoney columnist, Theo Casey, and it concerns a 2010 paperby

Eckhard Platen, professor of quant finance at the University of Technology, Sydney.

In it, the Platen argues that volatility derivatives may be the source of the next systemic

crisis. Basically, portfolio hedgers use these instruments stuff like the CBOEs Vix

to hedge against the risks of falling equity markets.

The counterparties are banks, which means theyre on the hook to pay out when

volatility rises. And much of their collateral used by banks to sell volatility protection,

Platen says, happens to be equity. Which means their assets might be in freefall, rightwhen theyre expected to make good on equity-loss protection contracts.

Downward spiral, much?

Anyway, Casey is a derivatives wonder boy so its worth listening to his take:

Canvassing the views of other commentators, academics and practitioners, I find

that on balance the industry takes a dim view of the professors idea. The critique

centres on one key aspect of the paper size.

This market is simply not big enough to bring the economy to its knees as securitised

loans did, says Jeremy Wien, head of Vix trading at Peak6 Capital Management in

Chicago. The total notional value of those derivatives was in the trillions of dollars. If

the global variance swap market across all products were $100bn, I would be

surprised.

Wien may have a point. The Bank for International Settlements figures are not much

help. The notional amount outstanding of OTC equity-linked derivatives totalled $6.6tr

in December 2009. But this lofty figure includes volatility derivatives as well as a

much wider pool of non-volatility products

So its a small market, yes.

But that doesnt mean its not growing. In fact, you could argue theres been a concerted

effort towards post-crisis tail risk financial risk management. And you have only to look

at the rapid growth of volatility-related products to see the appeal.


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Back to Casey:

After the meltdown of 2008, the bank boffins crowded around the Vix. It was the one

hedge that theoretically might have delivered, if only it had been held on a macro-

economically significant scale. Hence the rush by Citigroup and others to create their

own-brand Vixes.

But what if the less prudent among these banks fail to properly hedge the volatility

exposure they are taking on? Platen believes that while some conservative institutions

may cover the payoffs that will be requested in a crash, they will be the exceptions, not

the rule.

Lawrence Staden, managing director of London hedge fund GLC, thinks so too. This is

portfolio insurance on a grand scale, he says. [The banks] are saying, last time the

tails hurt, so this time theyre going to sell you protection against those tailsWere

probably left with having to recapitalise the banks again

As for Caseys own views:

Platen believes the regulators should intervene in these markets as a precaution. He

suggests that limits barrier prices should be set on volatility products. This would

lessen the asymmetric payoff investors could demand from issuers

One may, following Platens suggestions, be able to regulate away the potential risk in

equity volatility products. But regulators will never be able to control the demand.

Investors will simply find other ways to get their kicks or, more to the point, their

leveraged tail risk hedges.

What might help the market more than anything is for investors to be realistic about

their hedging, and remember there is no free lunch in the investing world

The title of Caseys piece is a question; Is volatility the new subprime? though we think

it sounds much more like the 1980s portfolio insurance technique, Black-Scholes (and

indeed, Caseys column starts with 1987s Black Monday).

And things like Black-Scholes tend to work well until they dont.

The full Platen paper (plus a discussion) is also in the usual place.

Related link:

Robert Merton and the appliance of financial science FT Alphaville, 2007


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This entry was posted byTracy Allowayon Tuesday, March 1st, 2011 at 13:09 and is filed

under Capital markets, Hedge funds. Tagged withblack

scholes, derivatives,insurance, portfolio theory, quant,vix,volatility.

Why is the Vix so low?Posted by Izabella Kaminska on Mar 31 15:45.

This is the Vix globally respected barometer of market fear:

But now count the peaks of fear.

One: International financial crisis. Two: Flash crash/European sovereign debt escapade.

Three: The blink-and-its-already-over Middle East/Japan crisis?

Indeed.

Now, were not the first to notice that the Vix seems to be under-fearing the current

crisis somewhat.

Dean Curnutt, President of Macro Risk Advisors, for one, has noticed too. And as he

wrote this week:

Set against the backdrop of the global growth story, many argue the market has

resumed its logical path higher, and that its ability to weather recent uncertainty


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speaks to the strength of the fundamentals. While the degree of stimulus offered by US

monetary policy should not be underestimated, we believe recent events severely cloud

the continued benign outlook for risk.Simply put, we think the market is

substantially mispricing the degree of uncertainty that has materialized

over the recent time period. We believe risk appetite is vulnerable.

So its almost like there are too many risks to factor in at the moment.

Curnutt lists the main ones as: Sovereign, Middle east, crude spike, US earnings, QE3,

US fiscal adjustment, housing and general risk appetite.

But all in all the macro backdrop is littered with unknowns, he says.

In conclusion, the advisable action is clear:

Put together, we believe the market has become increasingly vulnerable to a scare

a bounce in risk premiums and decline in risk appetite that result from the inability to

absorb the entirety of the uncertainty that currently plagues the investment landscape.

Our recommendation is simple: with the VIX below 18 and with April ATM

implied volatility at 16, hedge when you can, not when you have to.

Hedge when you can. It applies to fear, too.

Related links:

Vix and the Aussie dollar/yen cross FT Alphaville

Vix volumes rise could drive investor trends FT

Volatility as the new Black-Scholes FT Alphaville

This entry was posted byIzabella Kaminska on Thursday, March 31st, 2011 at 15:45 and

is filed under Capital markets. Tagged with risk appetite,vix,volatility.

[FOW Amsterdam] Vix waggingPosted by FT Alphaville on Apr 07 13:31.

What do dividend futures have in common with the Vix, and Vix futures?

Our hypothesis: both have seen excessive demand from structured products desks skew

price discovery in their markets. And in the case of the Vix, theres been a breakdown in

its function due to the effect of the so-called Bernanke-put too.


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But whilst the dividend futures market has been prettyup front about the scale of the

structured product footprint in their market, those operating in Vix futures still seem to

be in denial.

Now before ye critics out there shout oh, but the two are not comparable markets.

Dividend futures are tiny in comparison and have seasonal factors affecting them,making the market much more disjointed. We know this. It doesnt in our opinion rule

out the argument that there is more of a structured product footprint on Vix futures

than most people realise.

Heres the case laid out point by point anyway.

First, theres the issue of what the Vix is.

As one self-described keen market observer explained to us, its not just a question of

the markets volatility expectation (as implied by S&P 500 options) that has to befactored in. The Vix is also very much a function of the funding market:

The Vix being implied volatility (through options) it is in effect describing how

confident option writers are. Since they tend to be confident in easy money context, the

Vix effectively trades down in such periods and more or less mirrors the cost of money.

To this extent it is not a great predictor except when it has reaching a floor (say 10-12):

this is the calm before the storm.

Second, theres the question of who is using the Vix?

The same source says:

But increasingly, its meaning has been declining as equity markets turn in circle

i.e. 90% of the volumes are meaningless daily micro arbitrages between

sell side operations. There are very few orders stemming from genuine buy and

hold players. So that prices are fragile, Vix based signals are fragile and extra liquidity

on a fragile base is a recipe for disaster.

S&P options volumes may dwarf that of Vix futures, it is true, but if you consider that

the bulk of the trades could now be tied to Vix futures arbitrage then the tail wagging

the dog argument does become reasonable.

Third, as weve explained here, theres growing evidence that investors are using longer

dated options to fund the hedging of their tail-end risk, prices of which are not

incorporated into the Vix index calculation itself, which covers only front and second

month options. Vix is only an indicator of near-term implied volatility.


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Fourth, the Vix is dis-correlating versus the cost of insurance generally, for example

that implied by CDS prices.

BNP Paribas makes the point on Monday that whereas the Vix used to correlate with

five-year CDS on senior financial names for most of 2010, its recently broken out of that

pattern:

So why is this happening?

Fifth, whats going on with volatility arbitrage? As weve mentionedhere, volatility

arbitrage strategies reacted very strangely to the Japan crisis. Its baffled us, and

everyone else weve spoken to about it.

When realised volatility shoots over implied volatility, as it usually does during a black-

swan type crisis, a volatility arbitrage strategy should theoretically generate a loss. This

time it did the opposite:


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8/18


9/18

Posted by Guest writeron Apr 07 12:07.

By Theo Casey, a columnist at Futures & Options World, blogging live from FOWs

European Equity Options conference in Amsterdam.

(*With apologies to Dizzee Rascal.)

Later today, I will be serving as moderator of a discussion panel on trading volatility.

One of the questions I will put to my panellists is and perhaps at this point it is

rhetorical is volatility an asset class?

I say rhetorical because, with 788,908 VIX futures and 7,046,691 VIX options traded in

February, both all-time records, volatility is already an entrenched part of the global

investment conversation. From CNBC and Bloomberg News to the broadsheet press,

reference to the CBOEs VIX as the markets fear barometer is increasingly

commonplace.

And Barclays VXX exchange-traded note with $1.6bn of client money trading long

vol is often interpreted as the simplest tradable proxy for that fear.

Except that its not.

Or maybe it is.

Its all a bit unclear, to be honest.

What we do know is that the VIX, the spot index, is untradeable. Why? Its too dear toreplicate.

Take this from Jeremy Wien, Head of VIX Trading at Peak 6 Capital Management:

While the VIX can be a great tool, and the VIX tradables (like futures and options) are

quite liquid to trade, the spot VIX itself cannot be realistically replicated, as the

execution/bid-offer costs are too high, and rolling the two strips every single day

would be a logistical nightmare.

Options are not as liquid as are shares, execution not universally as affordable and the

unintended consequences of rolling the two strips the assortment of options, longand short, that create the spot price of the VIX might engender a volatility of its own.

So the VXX is thusly the next best thing. Its modus operandi is simply in holding short-

dated VIX futures. These futures exist in a steep contango between the front two

months. This is not news to market locals. Indeed, the heavy roll costs have been well

documented both in the pages of FOW and here on FT Alphaville.


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UBS Michael de Vegvar recently detailed just how punishing that roll cost can be,

expressing that the strategy currently costs circa 10 per cent a month.

Why is it, then, that this message doesnt appear to have reached those people who

anointed volatility as an asset class in the first instance?

In 2003, Goldman Sachs Emanuel Derman put forward the case of volatility as an asset

class with scant reference to the dangers of a fierce contango.

In 2004, Keith Black named on Institutional Investor magazines list of Rising Stars

of Hedge Funds in 2010 wrote a widely cited paper titled How the VIX ate my

kurtosis showing spot VIX and how the incorporation of the VIX in an equity portfolio

smoothens the returns and boosts the Sharpe ratio of risk-adjusted returns.

This is colloquially understood as the VIX like good bacteria eating the kurtosis,

suppressing overall negative portfolio results.

This is a move borrowed by CBOE, who in their research paper Using VIX in a

Diversified Portfolio show howSharpe ratios improve incorporating, presumably spot

VIX, into the asset allocation.

Alas if we use VXX as a proxy, the two year track record of the tradable

fear shows it chewing on kurtosis but ultimately throwing it back up

again. The VXX is down 30 per cent more than the reference index since inception.


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So while these theoretical arguments are sound, the trumpeted benefits to the Sharpe

ratio are unfounded using real world proxies.

As such, its difficult to consider VIX futures as engendering the long-term buy and hold

investor youd normally associate with a conventional asset class. This is a tool primarily

for short-term traders.

It also highlights the importance for investor education in this market narrative-

driven retail investors that might not appreciate the nuance of investing through futures

have learned the hard way what effect roll yield has on returns. Susan Milligan at the

OCC is acutely aware of the need for this education:

Educating retail investors on all aspects of trading listed options is an integral part of

our mission. That education includes helping them to assess volatility as they design a

trading strategy. This is especially important in markets, like the US, with a great deal

of retail participation.

Most interestingly, the state of the term structure creates an opportunity for future

innovations.

The VIX is a unique and popular index. Futures and options tied to it provide an

asymmetric payoff that runs counter to the performance of equities. If someone could

harness that power, while reducing the effect of the contango, then investors might be

able to hedge themselves more passively against market corrections.

Ill be speaking with just such the person later today. Watch this space.

More thoughts on whats behind low volatilityPosted by Izabella Kaminska on Apr 14 18:44.

Weve pondered before why volatility is currentlyso low.

One theory we presented was the rise of new strategies to fund tail-risk protection,

focused on long-dated far out of the money options, funded byoptions sales nearer the

front.

But here are some more thoughts on the matter as it pertains to the rate market, this

time from Bank of America Merrill Lynchs Liquid Insight report on Thursday.

Our emphasis:


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While fiscal issues are a long-term concern for the US rates market in the form of

increased issuance in the future, in the near term it is possible that the market could

start worrying about lower growth.

We believe it is worthwhile to consider buying some protection for lower yields. In this

context, it helps that implied volatilities have continued to decline as realized volatilityin the recent past has been low.

One additional reason for low implied volatilities is the sale of gamma as

an alpha strategy by investors. As dealers get long gamma and delta

hedge their positions, realized volatility becomes low. In addition to low

levels of volatility, the steepness of the yield curve means that carry and rolldown on

long receiver positions is still quite attractive. This combination of a steep yield curve

and low implied volatility levels has made it an opportune time to buy downside

protection in rates.

In other words, a lot of people are selling gamma to generate alpha. In English that

could be understood as unprecedented levels of volatility selling via many different

options strategies possibly on the notion that the Bernanke put will keep volatility

contained.

The strategy depends specifically on collecting premiums, rather than anything

connected to underlying moves in stocks or indices. A bit like picking up pennies in

front of the proverbial steamroller.

But obviously to work, it also needs a dedicated base of non fussy buyers of volatility or those prepared to fund the gamma sellers premium based strategies.

Those hedging Vix products are plausible suspects. Indiscriminate flows and buying

from such funds may in fact be facilitating the gamma selling strategy something

which may be pushing volatility lower, while encouraging further delta hedging in Vix

futures, which consequently is steepening the general Vix curve as well as the S&P 500

at-the-money term structure.

But the real point is that almost everyone appears to be short spot volatility, and

potentially delta hedging via longer dated tools.

Which could mean that the wider market has decided to cash in on the Bernanke put

too, writing options of its own while it can.

The implications of all this are notable. As Artemis Capital Management, a volatility-

focused investment management firm, recently wrote in an excellent note which asked

whether volatility could be broken:


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The artificially low volatility in markets may contribute to a dangerous build up in

systemic risk. Many investment banks and hedge fundsuse volatility as an input to

determine leverage capacity. When the Fed artificially depresses spot volatility it

produces a feedback loopwhereby large banks can increase their appetite for risk,

increasing assets prices, and further lowering volatility. It should be no surprise that

NYSE margin debt is at its highest level since July of 2008

The papers author Christopher Cole further agrees that things like steep volatility term

structures are not normal and refer to the bizarre break-out of variance the volatility

of volatility as used in portfolio insurance.

Indeed, while realised volatility, implied ATM volatility and the VIX are all low, the cost

of variance swaps and volatility options remain at elevated levels versus norms,

something which is now starting to compromise returns on volatility insurance policies.

Artemis, luckily, has some clear thoughts about whats causing all of this, some ofwhich echo our own observations above.

1) Changes in the supply/demand dynamics of volatility:

Recent structural changes in the supply demand dynamics of volatility

may be contributing to the distortions reflectedin todays vol surface.

First, a liquidity shortage on the long-end of the OTC volatility surface emerged as

sophisticated players covered short positions following substantial losses on volatility

derivatives in May (less supply).

2) A preference for longer-dated volatility hedging is emerging and also changing the

demand picture:

Secondly, there has been a recent proliferation of new tail risk or black

swan hedging strategies that have increased the demand for long-dated

volatility and far out-of-the-money options (more demand).

3) Gamma selling is rife:

Thirdly , as margin debt has expanded many funds are now shorting spot volatility

and buying long-vol to collect pennies from underneath the proverbial steamroller

(short-term supply, long-term demand).

Which makes us wonder if variance swaps are now a better indicator of market fear than

spot Vix.


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Related links:

Vix wagging FT Alphaville

Bernankes genie released FT Alphaville

Why is the Vix so low? FT Alphaville

Volatility as the new Black-Scholes FT Alphaville

What is the fair value of a Vix future?Posted by Izabella Kaminska on Apr 20 10:45.

What is the fair value of a Vix future? In truth, its actually prettyhard to say.

This is a point FT Alphaville has raised before of course whilst pondering some other

volatility-related issues, like the current elephant in the room that isVix-related

ETNs (arguably tramping about on the supply and demand balance of the Vix curve),

and the question of why spot volatility remains so stubbornly low while longer-dated

volatility and variance pound higher.

The question of whether volatility is an asset class in its own right also comes into play.

As Theo Casey of Futures and Options World has discussed before, its actually

impossible to replicate the Vix, making convergence arbitrage rather an impossibility.

And as Chris Cole ofArtemis Capital Management has reminded us, theres no denying

the fact that Vix futures are and always will be derivatives of derivatives, meaning

theyre at least twice removed from any underlying fundamentals.

So does this make them extra susceptible to reflexivity and the feedback loop? Many

argue yes.

The fact that there isnt really a single model for valuing a Vix future, or forecasting its

own volatility, also turns the whole valuation of the futures curve into an even greater

guessing game because variable inputs from multiple different models equal

something like one big pin-the-tail on the donkey game, we would say.

Nowonder academics have struggled to make sense of previous pricing behaviour in Vix

and products like Vix options, with many concluding that even the most logical and

frequently used models must be imperfect or being applied to inefficient market prices.


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But, says an outfit called Oakshire Financial on Wednesday, theres also one more issue

to consider. The fact that the Vix is not really a useful metric for technical analysis

either.

As they note:

Performing technical analysis on the VIX is more a rogues game than honest trade, in

our opinion, though there are some who swear by it. For our part, the facts inveigh

against traditional charting of volatility indexes. For one, these indicators are

derivative phenomena in the truest sense they gives readings as a function of option

prices, which are, in turn again, a function of the price of an underlying index, in the

case of the VIX, the S&P 500. We say that makes it just a couple of steps too far

removed from actual buyers and sellers to be used as an object of charting. Its also

plainly not a security. The bars or candles you see on a VIX price chart do not

represent anything that even approximates the chart of, say, Exxon Mobil or any

other stock for that matter.

And that means that any and all attempts to draw trendlines or apprehend

breakouts or analyze Relative Strength numbers or Stochastics, etc. have

to be taken with a grain of salt.

Oakshire actually concludes its better to look at the Vix directly for a view of what might

happen next rather than apply technical trend lines.

On that basis they say:

With the VIX literally toying with 52 week lows and investor sentiment at multi-year

highs, and with the bond market pricing in a possible defensive outlook on the part of

global investors, and all of this in the face of a Quantitative Easing regimen that looks

not to be continued beyond June, we say volatility is about to go gangbusters

and what youre seeing now is just the calm before the storm.

But the point, of course, is that not even technical analysis may be able to help an

investor accurately assess the current value of the Vix.

Let alone a Vix future.

Why Im Not Worried About VIX Derivatives (SPY, VXX, VXZ)April 20th, 2011Goto commentsLeave a comment


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Jared Woodard: The team at FT Alphaville have been on a tear recently, analyzing

all manner of VIX-related issues and potential problems. Ive linked to those posts below, and theyre

definitely worth reading even though I dont agree with everything there.

Here are two worries about pricing and replication of VIX products that leave me unmoved. First, the

matter of replicating the spot VIX index.

As Theo Casey of Futures and Options World has discussed before, its actually impossible to replicate

the Vix, making convergence arbitrage rather an impossibility. ["What is the fair value of a VIX

future?"]

Theos post has a quote from Jeremy Wien (a name you should recognize if you follow the VIX space):

the spot VIX itself cannot be realistically replicated, as the execution/bid-offer costsare too high, and

rolling the two strips every single day would be a logistical nightmare. Thats exactly right. While its

a step too far to say that it is impossible to replicate the spot VIX index, its certainly impractical to

do so.

But: who cares? The spot VIX index is just a statistic. Its an artificial construction. I cant imagine

why any investor, whether hedging or speculating, would want to replicate the VIX index as opposed

to, say, buying or selling a few puts or calls at a handful of relevant strikes. To see why the replication

of the spot VIX index is a non-issue, lets imagine that I create and publicize a new volatility index Illcall WVIX (Woodard Volatility Index): this index takes the implied volatilities of OTM options with

deltas closest to 15 and 40 in the two nearest series and weights them to achieve a rolling 30-day

window. I think WVIX would track VIX and VXO pretty closely. And you could replicate it each day by

adjusting your exposure to no more than 8 option legs not a load of fun, but not impossible, either.

But why would you ever want to replicate WVIX? I just made it up, after all.

Maybe you actually like WVIX and want to have it in your portfolio; great. WVIX2 doubles the number

of strikes used adding strikes at deltas of 5 and 30 (lets say); WVIX3 triples the strikes used.

Eventually, for some value ofn, WVIXn is indistinguishable from VIX (lets call that value d, because

you cant distinguish it). In no nearby possible world is there an investor for whom VIX is a more

desirable fantasy asset than WVIXd-1 (and arguably no investor would be better served by a

replicated VIX than by WVIX) because the added informational content in the more complex variations

does not offset logistical hassles and transaction costs. This is all just to say that I dont think anyone

is worse off in the absence of a spot VIX that cant be easily replicated: all the features that might

make someone want to trade a spot VIX product (e.g. the mean reverting nature of volatility,

sensitivity to the skew curve, etc.) can be captured in myriad other ways, and more efficiently so.

Second, on the turtles-all-the-way down worry about VIX futures:

And as Chris Cole of Artemis Capital Management has reminded us, theres no denying the fact that

Vix futures are and always will be derivatives of derivatives, meaning theyre at least twice removed

from any underlying fundamentals.


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So does this make them extra susceptible to reflexivity and the feedback loop? Many argue yes. [ ibid]

Derivatives of derivatives sounds bad until you realize that AAPL stock or any of the plainest

vanilla financial assets you can imagine is also a derivative of a derivative of a derivative. The

behavior of technology consumers, the odds of a strike in a sweatshop in China, the vicissitudes of

global transport chains these are all unknowable variables upon which AAPL earnings depend. And

the price of an AAPL share is a derivative not just of those earnings, but also of the psychology and

expectations of other market participants, the price of money, the skill of Steve Jobss doctors, and

etc. unto eternity. If there are feedback loops and reflexivity in VIX products, those effects are of a

piece with the reflexivity inherent in modern financial markets. Cf. the work ofDonald MacKenzie,

esp. An Engine, Not a Camera. Some of us dont like the ethereality of it all, and are worried that in

this crazy new world, as the prescient man said, all that is solid melts into air. But the uncanny

qualities of Cthulhu-style capitalism arent unique to VIX futures.

I also want to insist on the difference between the spot VIX index and the tradable VIX products, the

futures and options. The spot VIX index cannot by definition have an effect reflexive or otherwise

on anything over and above the effects of changes in the prices of SPX options. Thats just a

tautology. Whether the existence and prices of VIX futures and options could create feedback effects

is an empirical matter; its possible, but the evidence so far is weak and difficult to isolate from other

factors.

Moreover, while the limits to arbitrage are certainly greater in VIX products than they are elsewhere,

its not the case that VIX futures are some kind of free-standing, purely fantastical construction. If the

VIX futures for May expiration trade, lets say, at 40, but the average implied volatility of SPX options

expiring in June is around 20%, I know that arbitrageurs will come in and sell the VIX futures, buy the

SPX options, and bring the two closer into line (because my friends and I will be among them).

You can object that the closer into line figure is not as tight as you might find in other markets like

the difference between the SPDR S&P 500 ETF (NYSE:SPY) and S&P 500 futures but my reply is that

its plenty close for all practical purposes: May VIX futures traded recently at 18.45; June SPX options

have an average IV of 16% or so. That difference is just as likely an effect of the persistent volatility

risk premium as it is a by-product of anything more strange or worrisome. I see no reason to regard

the popularity of VIX products especially when used for hedging as an independent reason for

worry. On the contrary, if 2008 taught us anything, its that the still-widespread mythology of

unhedged buy-and-hold investing is a far more dangerous illusion. Unhedged stock portfolios tend to

get dumped at precisely the wrong times, and that implicit short gamma bias of ordinary investors is

much more worrisome than the curiosities of VIX futures pricing models.

Related Alphaville posts: 1, 2, 3, 4

Tickers: iPath S&P 500 VIX Short-Term Futures ETN (NYSE:VXX), iPath S&P 500 VIX Mid-Term Futures

ETN (NYSE:VXZ).

Written By Jared Woodard From Condor Options

Condor Options is a New York-based research and trading firm focusing on market neutral trading

strategies. Condor Options publishes an educational newsletter teaching iron condors and volatility-

based options trading, with a focus on risk management and quantitative analysis.

Jared Woodard is the principal of Condor Options. With over a decade of experience trading options,

equities, and futures, he publishes the Condor Options newsletter (iron condors) and associated blog.

Jared has been quoted in various media outlets including The Wall Street Journal, Bloomberg,


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Financial Times Alphaville, and The Chicago Sun-Times. In 2008 he was profiled as a top options

mentor in Stocks, Futures, and Options magazine, and in 2010 was interviewed for TechnicalAnalysis

ofStocks & Commodities magazine. He is a founder and contributing editor ofExpiring Monthly: The

Option Traders Journal. He is also an associate member of the National Futures Association and

registered principal ofClinamen Financial Group LLC, a commodity trading advisor.

ft alphaville articles on vix - march - april 2011

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