Feb 20, 2017
Volatility Review: A look back at the week from a volatility perspective.
- VIX Cash - Just under 11.76
- VVIX - 80
- CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20.
- VIX Futures: Front month premium to cash - 1.25; Two month premium to cash - 2.50.
Russell's Weekly Rundown:
- VIX and Three Day Weekends, by Russell Rhoads, CFA
- Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade, by Russell Rhoads, CFA
- VIX Options: A high volume week, ADV - 559k; Mon - 816k, Tues - 1.3M, Wed - 1.14M, Thurs - 822k; VIX Call/Put: 2.8/1; Total 7.21m (5.18m Calls, 2.03m Puts)
Volatility Voicemail: Quizzes, questions, comments
Options #QuestionOfTheWeek: Trading single #Calls and #Puts is fine, but smart #Options traders use spreads. What is your go-to spread?
- Vertical/Ratio Vertical
- Calendar/Diagonal
- Butterfly/ Iron Butterfly
- Iron Condor
Listener questions:
- Question from Nordictan - Is it possible to change the default LiveVol font settings and make it larger? The current setting is simply too small for my multi-monitor setup. My screen devoted to LiveVol is a bit removed from my seating position so I always struggle to read it. A nice pop in the font size would be very useful.
- Question from Vincent Chase - Why do you say that this earnings cycle is disappointing from a volatility perspective?
Crystal Ball: Your headquarters for wild and reckless prognostication.
Last week:
- Mark L - 10.45
- Mark S. - 10.85
- Russell - 11.75
This week:
- Mark L. - 11.25
- Mark S. - 10.75
- Russell - 12.01