Jul 20, 2015
Volatility Review: Today's guest is Mike Thompson, Typhon
- VIX Cash: An apocalyptic week for VIX -
Largest 5-day drop in the product history.
- VVIX: 85.55 - Back at the low end of recent
- VIX Futures: Keeping an eye on the term
structure. Weekly VIX Futures coming next week, finally!
- VIX Options: Calls over puts 3.1/1 - a strong
volume week. Total 9.00m (6.79m Calls, 2.21m Puts)
- Oil: After some brief signs of life, oil
volatility continues to erode.
Volatility Voicemail: Listener questions and
- Question from Al Parasian, Oakland, CA - What
is the most effective way to speculate on a true volatility
explosion in the marketplace? Is it straight up VIX calls or is
there a more effective product?
- Question from ENV16 - I searched for
volatility programs on a lark using PockectCast. Did not think I
would find anything. Man, was I surprised when your show came up.
What a treat! 100+ episodes! I have been sinking my teeth in all
week. Any chance you could bring on a guest who specializes in OTC
variance swaps? That is a market that has always interested me, but
it is hard to find good color on it. Other than that, please keep
up the good work and to Russell for bringing us this show. One more
quick thing - you guys talked about how a VIX of one is all but
impossible. What do you feel is the realistic upside limit of VIX?
We saw it hit the 90s during the meltdown. Is that it or is a VIX
of 200 a possibility one day?