Oct 6, 2015
Volatility Review: A look back at the week from a volatility perspective.
- Moving up the list - 28 days over 20 in the VIX Cash.
- VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back!
- VIX: Total 7.77m (4.80m Calls, 2.97m Puts)
- SPX: Spot Price = 1920.70. Puts/Calls = 2.53.
- GLD: Spot Price = 108.90. Puts/Calls = 0.40.
- Crude Oil: OIV - 44.81, OVX - 44.75
Volatility Voicemail: Listeners have their say.
- Comment from Mark Brant - Being afraid of selling W1 IV is just wrong! We are traders, not market makers! Gamma cannot hurt us selling tight Vertical Spreads!
- Question from Noodles - VIX the tail or the dog? Hello Vol squad. I was just talking with a few of my trading buddies (all VIX options traders) and they were complaining that VIX does not represent SPX volatility anymore. They said that it is its own beast now because so many people are just trading VIX and VIX products and not SPX. I thought I would put it to the Vol pros to settle the debate. Incidentally, I also turned them on to your program in the process. Bonus points for me. Your insight would be appreciated.
- Comment from Joe S. - With regard to the listener who wrote in looking for a good quick Vol calculator - I find the Greeks breakdown on TOS to be particularly informative for my trading. Maybe he should try a paper account there to see what he thinks. Hope that helps him out.
The Crystal Ball: Wild prognostication