Dec 5, 2016
Volatility Review: The Trump vol selloff seems to have
stabilized. VIX Cash: 14. VVIX : 97. VIX Options: Light volume week
coming off the holiday, and even mild volume heading into
non-farms. Total 5.97m (4.16m Calls, 1.81m Puts). Oil Volatility:
OIV: 40. XLE is up 8% since Tuesday, volume 1.5x ADV - calls slight
over puts. USO up over 10% Since Tuesday, volume 2x ADV today -
calls over put 2-to-1.
Volatility Voicemail: Listener questions and comments
- Comment from Kay Kamra - In regards to Faith in OPEC Deal Turns
Options Traders Into Oil Bulls - OVX almost touching July highs...I
expect a pullback in OVX and subsequent pop in /CL
- Comment from Mark Brant - Selling SPX IBs daily reveals Vol
variance not apparent in VIX. We need an ATM VIX @CBOE!
- Question from RealRK - Speaking of bond volatility, if you have
time, what do you guys think of bearish put spreads on HYG/JNK/LQD?
With yields increasing, why have the high yield bonds lagged? I
assume because of the longer term move more in price because of the
lower yields moving more in price with short term yield changes,
but I see huge put activity every other day in these high yield
- Comment from TJones - VXXLE who knew? Where are those CBOE guys
hiding these indexes? Any more up their sleeves?
- Comment from Tulip Futures - Low for VIX is no signal, high of
VIX is signal that forces in world will come and calm things
Crystal Ball: Prognostication headquarters
- Mark L. - 11.75
- Mark S. - 12.25
- Russell - 14
- Mark L. - 13.5
- Mark S. - 14.25