Oct 24, 2016
VOLATILITY REVIEW
VIX Cash - 13.34
Russells paper link: https://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/accounting--finance/Park-PriceDislocationandPriceDiscoveryintheSP500OptionsandV....pdf
VIX Options
Strong volume on Tues, 10/18: 780k, but light volume the rest of the week.
Total 4.30m (3.24m Calls, 1.05m Puts)
The VIX: Not so fearsome after all? - by David Hait
http://blogs.barrons.com/focusonfunds/2016/10/21/the-vix-not-so-fearsome-after-all/
VOLATILITY VOICEMAIL
Question from Avery - I found the discussion and the "point" made by ThinkTankTrading extremely confusing. Is this really something to worry about or, as Mark suggested, is it really a distinction without a difference? VXX erodes predictably. Does it really matter if its is caused by roll yield or stampeding elephants?
Question from Tom from NYC - Love the Vol Views. Been thinking about that 1x2 call vertical in VIX. Would flipping the script also work? So instead of selling 1 buying 2 calls you would BUY 1 ATM VIX PUT and then Sell 2 OTM VIX PUTS. You could capture a downside move in VIX without spending a lot. While you are short an extra VIX put you would not have the same worry of being short a VIX call because the downside risk of VIX is limited. Thanks and hope you read my question.
Question from JonasBro - What does CBOE acquisition of BATS mean for the future of SPYIX? Is it dead? Also an update please on VolDex and VIXUP / VIXDN?
CRYSTAL BALL
Last Week:
Ghost of Mark S - 9.99, Mark L. - 13.50, Russell - 17
This Week:
Mark S. - 12.5, Mark L. - 13.75, Russell - 13.3333