Jun 24, 2015
Volatility Review: A look back at the week
from a volatility perspective
- June VIX settles at 14.67
- VIX Futures: Front month down to 15.15
- VIX Options: VIX call/put = 3.9 - getting
more attention again.
- RVX: OI 61 Contracts
- VXUP / VXDN
- VSTOXX: Hit 5-month high of 27.75 on Monday
ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread
widened this week with VIX crisis.
- Crude Oil: OVX: 30.60; OIV: 30.46
- Rates: TLT Aug IV = 15 - Has not changed much
over the past month.
Volatility Voicemail: Listener questions and
- Question from Tasty Meatballs - What is your
take on the new TYVIX index disseminated by the CBOE?
- Question from Jarvis - This is for the
volatility views radio program. There are a lot of players entering
the volatility ETF world. Some offer ratio products, inverse
products or the new wave of spot products. I would like to know if
there is a certain type of ETF or a certain area of the market that
you think is ripe for a new volatility product.
- Question from Azon - How does VSTOXX perform
relative to VIX? Just as call heavy? Similar pops to the
Crystal Ball: VIX pop? Buyers to come when the