Preview Mode Links will not work in preview mode

Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Mar 16, 2015

Volatility Views 150: Doing Our VIX Term Structure Homework

Volatility Review: A look back at the week in volatility:


  • VIX Cash: Low: 14.71 - High: 17.19
  • Skew Index: 121.53
  • VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon.
  • RVX: 65 Contracts open interest. FTSE volatility products coming soon.
  • VXST: OI just 25 contracts.
  • VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange.
  • International Volatility Review: What can we expect from the Kremlin?
  • Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration.

Volatility Voicemail: Listener questions and comments

  • Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long term futures typically exhibit over front month (i.e six month future 8% over front month future)? When the term structure is flat or even backward does this typically benefit ETPs like VXX that are forced to rebalance on a regular basis.
  • Question from Beta Ray Bill - Is there some way to use implied volatility to choose your strike when trading options?



Crystal Ball: The wager continues: Fed raising rates in 2015?