Aug 29, 2016
Volatility Review: A look back at the week from a volatility
- VIX Cash: Spiked over 14 this week thanks to Yellen &
- What will remain of vol after Yellen!? 21-day S&P realized
Vol as of Wed. was 4.92.
- Buy volatility ahead of a jam-packed 'Policy Month,' says Bank
of America/Merrill Lynch.
- VIX Futures: Futures extremely rich with significant premium to
cash. Oct future $5 premium to cash last week.
- VVIX: 85.43
Russells Weekly Rundown
- Featured VIX Weekly trades: An anemic volume week: Mon., 362k,
Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m
- Earnings Volatility: HPQ
- Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock
down post-earnings. Sep. 16 calls now offered at $0.02, still 25k
open on the strike.
- Crude Oil: USO = 10.95
- OIV/OVX: 37: Less than half of peak levels back in Feb.
- USO Skew: Still bid toward the puts, with the exception of Jan
Crystal Ball: Where will the VIX close?
- Russell - 11.90
- Andrew - 12.10
- Mark L. - 11.50