Mar 23, 2015
Volatility Views 151: The Fix on VIX
Volatility Review: A look back at the week
from a volatility perspective
- VIX Cash: Low: 12.54 - High: 16.37
- VIX Settlement seemed somewhat controversial
again this month.
- VIX ETFs: TVIX and VIXY shares outstanding
doubled over the past 5 weeks going into the bankers meeting this
- S&P: Options contracts that pay off
should the S&P 500 lose 10 percent in the next three months,
near the time of a potential Federal Reserve rate increase, are by
some measures almost seven times more expensive than at the start
of the year, the data show.
- Quadruple witching something of a non-event -
with expiration every week now, it seems as though triple and quad
witching have lost some of their luster.
- VIX Options: Big VIX trades this week -
customers buying upside calls in April, particularly 22 & 26
strikes. April 50 call still open.
- Total 3.65m (2.50m Calls, 1.16m Puts)
- Volatility Index Bracketology: Someone beat
Jared to the earnings volatility study - Informed traders prefer
options says academic research.
- International Vol Review: Russian "mystery"
event a bit of a letdown - Could the Israeli election have an
- Crude Oil: The bears had their claws out
again for crude oil. Brent down 3% Thursday - WTI down 2%.
Volatility Voicemail: Listener questions and
- Question from The Great Donaldo - Hello to
the volatility wizards. I enjoyed your coverage of the RMC
conference and Marks interviews with some of the speakers. I have
never been able to attend the event due to scheduling conflicts. I
am also not partial to attending an event that is primarily
intended to promote one firms products. So I would appreciate your
informed opinions on other volatility-oriented events that you feel
are worthwhile for the listening audience to attend. I do not mind
some forays into the mathematical realm but I am not interested in
modeling so much as strategy and theory. Thank you for all of the
work that you do to shine light into the darkness.
- Question from Lee Daniels - What is the
absolute baseline level of volatility that we could reasonably
expect to see in the marketplace. I have heard you guys talk about
a VIX in the low teens on earlier episodes. Is a single digit VIX
feasible and if so for how long? Could we ever see a VIX below 5?
What sort of situation would it take to achieve such historically
low volatility levels in the marketplace?