Oct 6, 2014
Volatility Views 130: Talking
Volatility Review: What happened
last week in vol?
- VIX cash: A decent range this week.
Non-farms taking the remaining juice out of the market.
- VIX options: Top OI Positions:
351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207
VIX Oct-14 20 Calls.
- Big VIX Trades: Today (Friday)
paper traded 457900 VIX Oct 19 calls for $.86 & paper traded
54,997 VIX Nov 23 calls at $.94.
- Gold vol: GVZ ticking up over the
past few weeks - futures options still put heavy.
- Oil vol: Continued put love in
crude as well.
Volatility Voicemail: Listener
- Question from Crazyhorse - Can some
of the roll yield problems suffered by VXX and others be solved by
either 1) rebalancing on a less frequent basis or 2) trading a
basked of futures as opposed to simply buying the same long term
contracts every time?
- Question from Chris Hanks, Toledo,
OH - Hola volatility gang and perhaps special guest. I am a
frequent listener and wanted to write in to say thanks for putting
out this show every week. My Mondays suck but I get a nice little
pickup on my commute when I download the latest episode of
Volatility Views. I do miss Don's "sold to you" attitude, but I am
sure you will get him back on one of these days. No one gets as
fired up about selling vol as Don S. Let me leave you with this
question: Long term, which do you think will outperform -
dynamically hedged spy atm straddle or dynamically hedged VIX
straddle? They should be roughly equivalent but clearly they are
Crystal Ball: Jared and Mark make mad