Jan 19, 2016
Volatility Viewpoint: Another volatile week with volatility
still readily apparent in the marketplace. Review of Russell
Rhoad's article Five Volatility Market Takeaways from
2015, CBOE meeting takeaways; SPX weeklies attract more retail
- not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX
Weeklies - Many institutional clients had to treat VXST like a
new product, receive compliance approval, adopt new systems, etc.,
that complicated adoption by end users.
Volatility Voicemail: Listener questions and comments
- Question from Nick B. - Hello mark and greetings to the
team on Volatility Views. I very much enjoy your program and have
learned much from you and your guests. I have two questions for you
guys to mull and (hopefully) answer on a future episode. 1) Do you
guys use trading days or calendar days when calculating volatility?
2) Does it seem logical to add some sort of daily volatility
product to the VIX universe? The weeklies do well and most spot VIX
products have failed but a daily VIX option would track the
future/cash fairly tightly. Off topic p.s. - Are you guys as
caught up in the making a murderer show as I am?
Crystal Ball: Wild, reckless prognostication.