Feb 1, 2016
Volatility Viewpoint: VIX outside of "Red Zone" indicates no
recession, Goldman says. The Goldman Sachs analysis shows the VIX
is currently in a “low and rising” phase, which tends to last about
two months on average.
- VIX Options: Massive spread on Thursday - Paper buys Mar 27/35
vertical. Total 4.82m (3.15m Calls, 1.67m Puts)
- Earnings Volatility: AMZN: Bulls dominate Amazon options as
- Crude Oil: Talk of Saudi/Russian oil deal on production lifted
markets earlier this week. OIV: 64. OVX: 63
Volatility Voicemail: Listener questions and comments
- Question from Andrew T. - Vega is pretty straightforward but is
Gamma really a second-order Greek since it measures the rate of
change of another Greek?
- Question from TBig - You guys always talk about VIX futures
term structure and contango impacting products like VXX. But does
the same not apply to USO and the contango in the crude futures?
What about backwardation in both products - how does that impact
The Crystal Ball: Reckless prognosticating