Jun 29, 2015
Volatility Review: A look back at the week
from a volatility perspective
- VIX Cash: VIX poised to start moving
- VVIX: Hovering around 85 - near the low end
of its 1-year range.
- VIX Options: Back to light volume - all
sessions below 500k. 3.8/1 Calls over puts.
- RVX: OI 62 contracts.
- VXUP / VXDN: Light week here as well - VXUP
most days well under 30k shares, VXDN under 5k shares.
- VSTOXX: Flirted with a 5-month high of 27.5
earlier this week.
- Crude Oil: Crude Vol creeping lower. OVX -
29.18, OIV - 29.36
- Rates: TLT Aug IV = 16 - Has not changes much
over the past month.
Volatility Voicemail: Listener questions and
- Question from Nick James - Tuned in last week
for the first time and heard the discussion on volatility products,
and particularly the AccuShares VIX products. I have been intrigued
by this product and found your conversation interesting. It sounds
like you take a dim view of it and would recommend against me
buying shares of the VXUP version. How would you fix it if you
- Question from St. James - How low can VIX go?
You guys said on a recent show that a VIX of 1 was not realistic.
So what is a realistic low for VIX?
- Question from Encore - I am a fan of bullish
risk reversals or collars in the equity and index world, due to the
volatility premium inherent to the puts. It looks like that similar
strategy is not as effective in VIX Options and most volatility
products. The volatility premium is in the call, so most bullish
risk reversals end up costing a net debit rather than generating a
credit. So, should I take this to mean that I should flip my
strategy to employ bearish risk reversals instead in volatility
products? Do they tend to be more effective, or are the call
premiums merited in volatility products?