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 bond funds.
- 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 down.
Crystal Ball: Prognostication headquarters
Last week:
- Mark L. - 11.75
- Mark S. - 12.25
- Russell - 14
This week:
- Mark L. - 13.5
- Mark S. - 14.25