A Deep Dive into the VIX: Trading Equity Volatility though the Crisis
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Date: 03-23-2009
Start Time:
6:00pm
End Time: 7:30pm
Speaker: Karg 'Buzz' Gregory, Goldman Sachs
Location: 412 Schapiro CEPSR, Davis Auditorium
ABSTRACT
Part 1. A quick VIX fix.
(i) What exactly is the VIX? Mapping the VIX back to S&P 500 option prices.
(ii) How does the VIX move relative to other assets?
(iii) A simple empirical VIX model.
Part 2. Trading Equity Volatility through the Crisis
(i) How do investors typically source equity volatility.
(ii) Different instruments provide different exposures to vol.
(iii) Payout from vanilla SPX option, variance swaps, VIX futures, VIX options
BIO
Buzz is a member of the Goldman Sachs Options Research team and covers macro derivative products including equity index options, variance swaps and VIX products. Buzz joined Goldman Sachs as part of the Equity Derivatives Strategy team in 2000, where he specialized in volatility and hedging strategies.
Buzz received a Masters in Mathematical Finance from the University of Chicago and a Ph.D. in Statistics from the University of Virginia with a research focus in time series analysis.