Jan 20, 2015
Volatility Views 142: The Swiss Franc Black
Volatility Review: A look at the week that
- Swiss Franc: Deutsche Bank AG suffered about
$150 million in losses Thursday after the Swiss National Bank
abruptly removed the cap on the Swiss franc’s value, sparking a
massive rally. Meanwhile, a major U.S. currency broker warned its
equity was wiped out, a U.K. retail broker entered insolvency and a
New Zealand foreign-exchange trading house collapsed.
- Crude Oil: Oil prices fell on Thursday after
weak U.S. economic data spurred worries over crude oil demand. U.S.
crude declined $2.23, or 4.6 percent, to settle at $46.25 a barrel.
Brent crude was last down $1 to trade around $48 a barrel.
Volatility Voicemail: Listener questions and
- Question from Mark Brant - @Options How long
does VIX backwardation normally last and are the reversions to
contango sharp or mild?
- Question from Analygos - I have heard you
discuss previously buying options prior to earnings to capitalize
on free gamma with no decay. My question is about after earnings
when the premium collapses. Is that technically options decay all
coming out of the option at once? Or is it a collapse of implied
volatility that is erasing the premium in the options? If the
latter then is the decay technically occurring every day prior to
earnings and just being overcome by increasing implied volatility
leading up to the earnings event?
Crystal Ball: What is coming up for this week
in vol? Expiration making things extra crazy.