Feb 2, 2015
Volatility Views 144: Talking Earnings
Volatility Review: A look in the week from a
- VIX Cash: High: 21.55, Low: 15.52
- S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44.
Goldman says nap time for put sellers.
- VVIX: Thurs close: 100.70, Week range: 91.85-109.99
- VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts)
- VXST: Another week of anemic volume despite significant
- RVX: Still no appreciable volume.
- OIL: Another crazy week for oil. Saudi prince reiterates that
"we will never see $100 oil again." OPEC Chief says this may be the
bottom for oil.
Volatility Voicemail: Listener questions and
- Question from NINC - Hey Volatility Views
guys. I know you have discussed the topic of earnings studies in
the past, particularly as it relates to earnings straddles. You
said there was not much research on the topic. Has the situation
changed since that conversation? Has there been any new research on
the topic? I know you discussed the possibility of doing such a
study for this program? What is the status of that study? Please
let me know when you release it as I would be very interested in
the results. Thank you for this network. I am a regular listener of
volatility views, options boot camp and the news rundown
- Question from Andrew S - If you had to lean
long or short going into every earnings cycle which way would you
go? Me - I am tempted short but I am terrified about the blowout
- Question from Nitin Gulati - @OptionsInsider
Funny how $GOOG moved today, apparently skew was bid up all day
yesterday, so not a surprise.
Crystal Ball: Mark and Jared prognosticate