Mar 15, 2016
Volatility Review: A look back at the week from a volatility
- VVIX - 95
- Earnings volatility: The season is winding down - except for
Russells Weekly Rundown:
- VIX Options: A fairly strong volume week. Total 7.49m (5.54m
calls, 1.95m puts). VIX faces challenge from trading robots
unleashed by bats
- Crude Oil: OIV/OVX - 52. WTI skew chart
- Gold: GVZ 23.36 - Elevated
Volatility Voicemail: Listener questions and comments
- Comment from Chic9 - Selling puts = blowout!
- Question from Nic s. - Why was there such an emphasis on
selling puts at RMC? Is that not an old strategy?
- Question from JV - Can you explain the free cash flow yield
theory and why it would help improve strike selection for selling
- Question from Labeach2 - Ratio verticals work in VIX what about
SPX and SPY - sell 1 ATM buy 2 OTM to hedge and spec. No studies on
that? Seems better than just blasting away ATM puts?
- Question from JPeach - I really enjoyed the wrap up episode
from the CBOE conference. I thought the discussion about the
pension fund manager panel was particularly interesting. Two
questions: 1. What percentage of pension funds out there use
options in some capacity? 2. Is CBOE going to make that panel
available to the public?
Crystal Ball: Where will the VIX close on Friday?
- Russell - Above 25
- Mark S. - Low 20s
- Marl L. - 23