Feb 23, 2015
Volatility Views 147: Men Cause Volatility
Volatility Review: A look back at the week from a volatility perspective
- VIX Cash: High - 16.74, Low - 15.10
- S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30
- VIX Options: A decent volume week except for 2/19 with only 250k contracts. Total 3.39m (2.33m Calls, 1.06m Puts). Extended VIX Options trading hours start March 2.
- International Volatility Review: Greece is the word.
- Oil: The battle for $50 continues - WTI March futures back below $50, OVX at $55.75.
- Men create volatility? Could more women traders cut volatility? Experimental market sessions show more women traders = smaller and fewer bubbles
Volatility Voicemail: Listener questions and comments
- 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 Jared’s 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 rice).
- Question from Brian T. - You say earnings is a crap shoot, so you simply should not play the game. I say that if you take a systematic, risk-limited short volatility approach, such as with iron condors, you maximize the potential to harvest premium, while eliminating the risk of what Mark referred to as "big blowouts". You clearly have to be judicious with your strike selection, but I have found this to be a profitable long term approach to earnings season.
- 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?
Crystal Ball: Will the Eurozone move towards gradual progress? What does economic growth really mean? Other wild prognostications.