Apr 28, 2014
Volatility Views 108: VIX & More with Bill
Volatility Review: Today’s guest is Bill
Luby, founder of the VIXandMore.com blog. It was a relatively quiet
week for VIX, mostly drifting down toward the 13 handle until
today. An aggressive selloff boosted volatility across the board.
VIX Futures are catching bids as well. VIX options activity today:
4/1 calls over puts. Is there any sign of life in VXST?
India VIX reaches record highs. Kospi 200
volatility index hits record lows last week.
Volatility Voicemail: Panels for advisors,
volatility re: valuations, earnings, scanning tools, and more.
- Question from Sanjay Patel - I have to agree
with the hosts regarding the discussion from episode 104 regarding
VIX ETPs and RIAs or family offices. I have been active in the
advisor community for several decades, following all of the latest
research and attending many industry conferences. I have never
encountered a single study or panel devoted to this issue or a
fellow advisor who utilizes these products. My evidence is all
anecdotal but I would think that if advisors made up a significant
portion of those flows I would have encountered that by now. I just
wanted to share my thoughts with your listeners. Thank you for
reading my question. Please continue to produce this fine program
as well as the Advisors Option. They speak to very unique
- Question from Even_Star - Is it possible to
run options valuations models using actual rather than implied
volatility levels? I think this would give a truer approximation of
the options value when you strip away all of the nonsense that
comes from implied volatility.
- Question from Haweye - Aside from Apple last
week and Google last cycle, it seems like most companies are
dramatically underperforming their straddles during earnings
season. Microsoft and Amazon are simply the latest names to fall
victim to this trend. To what do you attribute this trend? Why are
traders so consistently overestimating volatility going into
earnings announcements this year? This would seem to be a good
environment for a risk defined premium harvesting strategy, such as
an iron condor or iron fly.
- Question from James Norman - Love the
Volatility Views show. Great content. Great guests. Keep them
coming. I would like to ask a question about tools, in particular
scanners. You have discussed scanners for unusual activity and
changes in implied Vol on previous shows. Do you know of any tools
that scan for changes in implied volatility skew? I am looking to
capture skew distortions that allow me to leg into verticals,
ratios and risk reversals at highly attractive levels. Does such a
tool exist? I did not know where else to turn, but I know Mark and
the Volatility Views team will not let me down!
Crystal Ball: FOMC, Q1 GDP, ISM and the
employment report (plus earnings) - all in one week!