Oct 26, 2015
Volatility Review: A look back at the week from a volatility
- VIX Cash: Volatility erosion continues as VIX slips below the
16 handle - Low of 13.24 today. The volatility measure has been
below 20 for 12 straight days.
- Skew Index: A dramatic 30-point drop in The CBOE Skew Index -
Last week: 151.22, this week: 121.02
- VIX Weeklies: Another robust volume week for weeklies.
- VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov
30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts)
- Now that Google is Alphabet, options suggest another big stock
- Gold: GVZ: 15.59
- Crude Oil: OIV: 40.18, OVX: 40.22
Volatility Voicemail: What do our listeners have to say?
- Comment from Frank W. - Great discussion on the origins of
volatility skew. I really learned a lot. I wish more programs would
discuss these topics.
- Comment from Phil O. - What is it about volatility that tends
to bring out the crazies? That stuff about VIX mean reversion and
moral hazard was pretty deep into tinfoil hat territory. Surprised
to hear that coming out of Artemis.
- Comment from mark brant - What a relief! Btw fantastic story
of the Vol skew big bang by Herr Doktor Schlesinger! A perfect
collar is a work of art! Thanks!… Cool thing about selling VIX
options spreads is no theta, a pure Vol play at all tenors!
- Question from Ironc - So Taleb and the 1x2 guy both love
backspreads. Are backspreads pretty much the ideal volatility
trading position? They have little or no net outlay and let you
stay in the game long enough to profit from the big moves. I have
to say I am becoming a fan. Are there any secret downsides that I
- Question from Varz - Any good recommendations for variance swap
- Question from Dan D. - Can you please explain the CBOE skew
index? What is it and what does it measure? Thank you
Crystal Ball: Earnings season has begun. Will we stay below 20
for the next week?