May 4, 2015
Volatility Review: A look back at the week
from a volatility point-of-view
- VIX Cash: Low: 12.33 - High: 15.29
- VIX Options: Another modest volume week.
- 75k May 20 calls purchased Wednesday for
- Paper buying June 23 puts for $.15.
- June 17-20 call spread vs 14.5 puts went up
nearly 30k times. May/June 13.5 put spread trade 10,000 times.
- Total 6.14m (4.39m Calls, 1.75m Puts)
- Options volume slid in first quarter.
- Volatility cycles and stock trends.
- International Volatility: India VIX caps
monthly advance as futures rollover below average.
- Crude Oil: OVX - 36.09, OIV - 36.95
Volatility Voicemail: Listener questions and
- Question from Eli - Would you agree that VXX
shares are a useful intraday way to trade volatility? What is the
longest you would consider holding that before the roll yield
effect begins to kick in?
- Question from Oaklander - Do VIX options
suffer the same from time decay as regular options? Are there
peculiarities to the VIX formula that make the options perform
differently on a theta basis?
- Question from Charlie B - Long VXX vs short
OTM front month VIX call. Can this be considered a covered call?
What other sorts of "volatility yield" strategies can you
Crystal Ball: Wild prognosticating? You
betcha. Non-farms have been rather “meh” lately, with people
selling vol into non-farms. What’s the outlook for this week?