Jan 9, 2017
Volatility Review: A much quieter start to 2017 than expected.
VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at
1.43. 2016 was a good year for the volatility business. From a CBOE
press release: Several trading records were set for the year.
Russells Weekly Rundown
- VIX Options: ADV: 544k
- A fairly light volume week to kick off the new year.
- Total 5.9M (4.4m Calls, 1.5m Puts)
- What is the impact of the Volcker Rule of volatility?
- Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above
Volatility Voicemail: Pop quizzes, questions, and comments
Happy New Year! First #QuestionOfTheWeek for 2017. Total
#Options volume dropped 2% last year. How will 2017 #Options volume
- About the Same (+- .5%)
- Modest Increase (up 1-2%)
- Modest Drop (down 1-2%)
- Big Change (+- over 2%)
#Volatility Pop Quiz - New Years edition: The trillion dollar
question - Where will $VIX close at the end of 2017?
- Below 12
- Between 12-15
- Between 15-18
- Over 18
Listener questions and comments:
- Comment from Alaran: I think the 30 strike is popular each
month simply because big insurance firms need to hedge themselves
against calamitous market events. VIX > 30 = calamitous event in
the eyes of many.
- Question from Julio: In the spirit of the new year, when are we
going to get new VIX products? Especially Monday through Friday
weekly VIX options?
Crystal Ball: Looking into the future
Two weeks ago:
- Mark L. - 11.25
- Russell - 12
- Ghost of Mark S. - 5.2
- Mark L. - 11.5
- Russell - 10.99
- Mark S. - 12.01