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The Spread: Options Discovery Episode 5; Complete Interview: Bob Whaley; How price volatility impacts the value of options | John Lothian News

The Spread: Options Discovery Episode 5; Complete Interview: Bob Whaley; How price volatility impacts the value of options

Options Discovery Episode 5: Alex Explains Options Volatility; interview with VIX developer Bob Whaley

In episode 5 of Options Discovery, Alex Teng discusses options volatility, beginning with the basics of what is volatility? He talks about how to calculate historical volatility with a set period of historical data using excel or a spreadsheet calculator. He also explains the relationship between historical volatility and implied volatility, and interviews Professor Bob Whaley, who is the director of financial markets research at Vanderbilt University. Whaley is also well known for his work developing some of the most widely used volatility indexes, such as the CBOE VIX and the VXN.

Complete Interview: Bob Whaley Discusses Options Volatility and Volatility Indexes With JLN’s Alex Teng

In this exclusive interview for JLN, Alex Teng sits down with Robert Whaley, a professor and the head of market research at Vanderbilt University, to discuss options volatility and Whaley’s work creating some of the most important volatility indexes in the industry.

Whaley, sometimes called the Father of the Fear Index, spoke about combining an academic career with a career in the trading industry. He worked with a number of industry players in the early 1990s after the October 1987 crash, when index put options on Cboe sold for enormous premiums and so became incredibly volatile. He worked intensively with the exchange’s options data and ended up being approached by the Cboe’s president to develop something more formal around implied volatilities. They gave him a retainer to design an index for them, and he spent four months there developing the VIX index, sometimes called the Fear Index.

Term of The Week – How price volatility impacts the value of options – August 3, 2022

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John Vaile Saw the Potential of Financial Futures and Helped Make Them A Success

John Vaile Saw the Potential of Financial Futures and Helped Make Them A Success

John Vaile had an aunt who invested in the stock market who bought Vaile some stock when he was 10 years old and that experience caused him to want to be a stockbroker. As a result, Vaile became a student of the market.

He went to a couple of different colleges in Illinois, then ended up in a program at Wharton for students who did not graduate from college. 

Vaile was working for Morgan Stanley and living in Lake Geneva, WI, surrounded by friends in the futures markets and he wanted to get involved with what was happening. He said he badgered Morgan Stanley to get involved. They gave him permission, but he said he could see how long it would take for them to truly become involved and he did not have the patience for that.

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