Feb 17, 2015
Volatility Views 146: Betting on Fed
Volatility Review: A look back in the week
from a volatility perspective
- VIX Cash: High - 19.28, low - 15.26
- S&P: 30-Day Imp. Vol - 13, 30-Day Hist.
Vol - 16. Skew Index - 129.94
- VVIX: Thursday Close - 93.24
- VIX Options: 700K contracts on Feb 12, for a
strong up day for the market. Total 5.36m (3.28M calls, 2.08M
- Extended VIX Options trading hours start
- Upcoming launch of RealVol SPY Options on BOX
- good news for our former co-hosts.
- VXST: Current open interest: 3
- RVX: Current open interest: 58
- International Volatility Review: RVI -
Russian Volatility Index
- OIL: WTI March futures are back above $50,
after dipping below it again. OVX still hovering near $60, 6-month
chart of OVX is pretty impressive.
Volatility Voicemail: Listener questions and
- Follow-up from Uncle Ben - Thanks for
answering my question last week. Your sympathy for my plight as the
“lone market participant” is appreciated. Sorry I set off the
racism detector with my handle. I did not mean to derail the
program. It just happens to be my name (although I do like the
- Question from Tim Biggs - Any data on that
theta free approach to earnings? What percentage of decay occurs
prior to the event vs. post-event and how does that compare to
underlying movement during the period?
- Question from George - This may seem like a
silly question but does anyone go out and look at old VIX cash data
from 30 days ago and compare that to current realized? Is that not
what VIX cash is attempting to predict? Is that disseminated
anywhere as a number or index? Something along the lines of a VIX
- The Wager:
- Comment from Tom Statton - I think both
co-hosts should buy Mark a steak regardless of the outcome for
featuring them on this fantastic program. Well done Mark. I would
buy you one as well if you ever make it to Alberta.
- Comment from Mark A - No way Fed raises this
year. When he loses, I think Jared should fly to Chicago and host a
cocktail party for all Volatility Views listeners. I would happily
allow him to buy me some tasty beverages.
- Comment from SylvanElph - Regarding the Fed
Bet - It is a radio program so the co-hosts cannot wear
embarrassing outfits. Maybe buy the other a pizza of their choice?
So Jared would have to buy Mark (and Mark) a nice Chicago deep dish
and Mark would have to buy Jared a tasty NYC thin crust. Or New
Haven style. Whatever his preference.
- Comment from Jeremy Stevens - I think the Fed
will have to adjust their rates before the close of 2015. They are
too terrified of inflation and stagflation to sit on their hands.
Not sure why a blip in CHF in early 2015 would set the tone for Fed
policy at the end of 2015? Maybe Mark can elaborate? As for the
wager - How about the loser gives away 5 free subscriptions to his
services to VV listeners? So Jared can give away some BGC Research
and Mark can offer his Option Pit subscriptions.
Crystal Ball: Mark and Mark prognosticate