Jul 27, 2015
Volatility Review: In this episode, we are
joined by guest co-host Mark Shepherd, Derivatives Strategy
- VIX Cash: VIX selloff finally over - VIX cash
stabilized around the 13 handle this week.
- VIX Futures: New weeklies listed this
- VIX Options: Calls over puts: 2.9 / 1. Solid
volume week - most days over 600k contracts. Total 5.83m (4.35m
Calls, 1.48m Puts)
- Gold: GVZ: 19.39 - Spiked nearly 5 handles
this week. Gold volatility skew - clear concern in the near term,
longer-dated options showing some bullish positioning as well.
Volatility Voicemail: Listener questions and
- Question from LAX66 - Do you guys know where
I can find a list of the pensions and endowments that utilize
options and futures for hedging purposes? I would like to see if my
money is safe and being put to good use. Is that info publicly
- Question from Bailiwyck - I would like to
submit a question from the volatility views radio program. What is
the problem with GVZ? Why are there no products to trade with it? I
looked it up earlier this week only to find zero contracts traded.
Did they delist them? You would think this product would be very
popular in a week like this.
- Question from TalbotL - Let me see if I have
this straight. The front end of the VIX curve is where all the
crazy stuff happens. So I want to avoid that in my hedges and "kick
the can" past it. The longer portion of the VIX curve is where
things typically get pricey. So am I correct in assuming that
somewhere in the midpoint - around 3 months - is the goldilocks
spot where I should buy my porridge? Is that the most effective
place to purchase VIX futures for hedging from a cost to vega
Crystal Ball: Wild prognostications about the
future of volatility.