May 2, 2016
Volatility Review: A look back at the week from a
- VIX cash: Creeping back up - a crazy day, almost all of
ourpredictions were valid today.
Russells Weekly Rundown:
- VIX Options: A light volume week overall - only on day
evenremotely exceeding ADV. Lots of put love on Friday: Total
7.26m(5.41m Calls, 1.85m Puts)
- Earnings Volatility: A bad time for premium sellers. Most ofthe
major names reporting the past few weeks have blown throughtheir
straddles - AAPL, MSFT, GOOG, FB, AMZN
Volatility Voicemail: Listener questions and comments
- Comment from Mark Melin - @RussellRhoads Talk
about"anticipatory" nature of VIX futures. I have known several
fundmanagers to play this as mean reversion
- Comment from John K. - One of the Tyler Durdens @zerohedge is
a“Credit Derivatives Strategist” @Options: Discuss.
- Question from R_Chang - The VIX is hovering at 2016 lows.
Isthis a good time to buy VIX calls to profit from a potential
roarback into the 20s or beyond?
Crystal Ball: It's time for everyone's favorite game "Where
willthe VIX close?!"
- Russell - 16
- Mark S. - 13.5
- Mark L. - 14.5
- Russell - 18
- Andrew - 15
- Mark L. - 15.5