Feb 9, 2015
Volatility Views 145: Debating Earnings Skew
and Corporate Racism
Volatility Review: A look at the week in
- VIX Cash: High: 22.81, Low: 16.67
- S&P: 30-day IV: 15, 30-day HVOL: 16, Skew
- VVIX: Thursday close: 98.56
- VIX Options: Total 4.80m (2.86m Calls, 1.95m
- Market now loving CBOE numbers, stock off
5.5% - earnings were up 7.6%, but missed expectations. Extended VIX
Options trading hours start March 2.
- VXST: Another week of anemic volume dispute
significant underlying movement.
- RVX: Still no appreciable volume.
- OIL: Another crazy week for oil - rallies
over 20%, then clipped, the rallied more again. Currently hovering
above the $50 strike again.
Volatility Voicemail: Listener questions and
- Reply from Ernitin14 - @OptionsInsider love
Vol Views show. Here's my counterargument on remarks on skew shape.
If everybody is hedging their short bet, vol squeeze is very likely
which is exactly what happened in GOOG post earnings. Yes ATM call
spread were the best plays, in case it was a win - win situation.
Blow out numbers - upside explosion, so-so numbers- covering their
shorts. What I am missing?
- Question from Uncle Ben - Liked the
discussion on risk premium from the last episode. This is a topic I
have always struggled with. It seems like you are chasing your tail
either way. If you compare straightforward 30-day implied vol vs.
historic vol, then you are comparing an indicator that is really 30
days forward with an indicator that is nearly 30 days lagging. It
does not make much sense. If you attempt to extrapolate realized
vol forward, you run into the same errors that plague implied
volatility. There are millions of dollars spent on volatility
forecasting models that cannot get it right, so what chance do I
really have with my own little algorithm? Is this all a fool’s
- Comment from Alvo - Hey guys - just a note
that 30-day historical vol actually measures about 20 trading
sessions, with 30-day implied vol foes out a full month. Different
size sets = problems.
Crystal Ball: Andrew and Jared prognosticate