May 18, 2015
Volatility Views 158: Is VIX Without Contango
Volatility Review: A look back at the week in
- VIX Cash: High: 15.13 - Low: 12.41
- VVIX: 82.12
- S&P 30-day realized Vol: 10
- VIX Options: Total: 7.84m (5.84m Calls, 2.01m
- Single largest VIX Options trade in History.
Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2
call spread to close play $0.11 - essentially rolling out to July.
Size was 1.08M contracts total.
- Crude Oil: Crude bears are starting to show
their claws again.
- OVX 31.67 - OIV 32.18
- This comes after today may set a near-record
9th week of gains for the most consecutive weekly gains in at least
Volatility Voicemail: Listener questions and
- Question from Andrew Grove - Are there any
packaged products out there that will replicate a long or short
delta-neutral straddle position? The key part I believe would be
the adjustments as the product would require multiple adjustments
to remain delta neutral. I have listened to your program for a long
time and come to the conclusion that delta-neutral is the best way
to capture volatility in the marketplace right now. But I do not
want to tie up all of my capital and all of my time managing and
adjusting one trade. I would prefer to buy or sell something that
handled the lion’s share of the work for me. If there was some
slippage on the execution I could live with it as the ultimate cost
of using a packaged product vs. doing it myself. Thoughts? Am I
crazy? I would love to get the old VolX guys opinion on this as
well if possible since I assume they have insight into this