Mar 30, 2015
Volatility Review: A look back at the week in
- VIX Cash: Low: 12.89 - High: 17.19
- S&P: Skew Index: 122.86
- VIX Futures: Stories from the front
- Question - Hi Mark: My story is about a
professional trader in VIX Futures who claims he lost heavily
because the electronic broker he was trading through had the wrong
expiration date – it was one day early. Apparently this
professional trader had a position of over $100M. Apparently the
wrong expiration date had been posted for several months. He won an
award for over $2m at a FINRA panel behind closed doors.
- My questions: What is your reaction? If you
are a VIX Futures trader do you typically hold your position over
days/months or do you close out at end of day? It seems also
possible that if the wrong expiration date was published, a VIX
Futures traders could also come out ahead on the positive side of
the balance sheet? What is your take on VIX Futures?
- VIX Options: April 50 calls still open -
someone is quite optimistic about April Vol. Total 4.49m (3.03m
Calls, 1.46m Puts)
- International Vol Review: More from the
- Crude Oil: Call option trades target return
of $100 US crude oil.
Voicemail: Listener questions and comments
- Question from Charlie C - Hey Vol Viewers.
OIV and OVX both hovering around 50 - which has the best chance to
- Question from Mark - Liked the discussion
about the structural volatility of the market from the last
episode. Allow me to pose a related thought question to you. Mark
Longo stated on the show that it would take “world peace and
perfect harmony in the markets” to get the VIX below 5 for any
substantial period of time. But what if the S&P were to double
or even triple in value? According to the skew curve wouldn’t that
bring us down into a VIX in the single digits? Perhaps even below
five? Probably more feasible than world peace. Good show. I have to
side against Jared in the Fed wager. The odds of a raise this year
don’t look very good. If I throw my hat into the ring can I get in
on the inevitable steak party that Jared will be throwing in
Chicago? I like my T-bone medium rare please.