Feb 6, 2017
Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management.
He discusses:
- What is VolSurface Capital Management?
- What is their typical strategy and product?
- What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility
- VIX long-term mean of 20?
- Why is the 30 strike so popular?
Volatility Review: A look back at the week from a volatility perspective
- VIX Cash: 11.25
- VVIX: 88, off its recent highs.
- VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6
Russells Weekly Rundown:
- VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k
- VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts)
- OIV/OVX - 29.50
- GVZ - 15
- TYVIX - 5.40
Crystal Ball: Wild and reckless prognostication
Last week:
- Mark L. - 11.50
- Mark S. - 11.05
- Russell - 12.99
- Bill Luby - 11.78
This week:
- Mark L. - 10.50
- Mark S. - 10.92
- Russell - 12.01