Mar 6, 2017
Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics.
He discusses:
- A overview of Option Metrics and the Feb. 21 release on skew
- What is the flavor of choice for skew at Option Metrics?
- Why does he think we are seeing such a bid in VIX futures right now?
- How does this term structure compare to historical levels?
- What his your outlook for volatility under Trump?
Volatility Review: A look back at the week from a volatility perspective.
- VIX Cash - 11.71, unchanged from last week.
- VVIX - 83.61, also unchanged from last week.
- CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week.
Russell's Weekly Rundown:
- VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts)
- SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26.
Options Pop Quiz: If $SNAP opens at $17 what price would you give the ATM straddle expiring 3/10? AKA how much movement do you expect? (Our listeners totally called this one)
- 13% - Between $1 - $2
- 13% - Between $2 - $3
- 19% - Between $3 - $4
- 55% - Over $4 - aka over 23%
Volatility Voice Mail: Options #QuestionOfTheWeek
$VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?
- 29% - It won't break 10 again
- 22% - Between 9-10
- 22% - Between 8 - 9
- 27% - Below 8
Question Number 2: $SNAP closed at $24.50. If #Options were available tomorrow would you rather:
- 45% - Buy 1 month $24 put
- 11% - Buy 1 month $25 call
- 19% - Stay the heck away
- 25% - I would rather sell premium
Listener questions and comments:
- Comment from Hawkeye - Mark, I call MAJOR umbrage for you
taking credit for MY idea of calling Russell "Dr. VIX"! As you can
see in the forwarded email below, I have it IN WRITING that I
proposed that moniker for the good Dr. back on November 17, 2015.
You should feel ASHAMED of yourself in your weak attempt to take
credit for my idea, ESPECIALLY since I sat right next to you and
Uncle Mike at the Lobster and Meatball fest in Chicago a couple
years ago, eating tasty steaks on Sebastian dime. Have you no
shame, sir? Is your memory that short? Umbrage! I hereby give you
permission to send the residual checks to my PayPal account. On
another note, here is another idea that you CAN keep:
The business show should use as its motto The Business Show! It is an audio train wreck -- you cannot stop listening no matter how much you know you shouldn't. While I am at it, I really like Nick and the new revitalized Futures shows. Even though I do not trade futures options, I still use the concepts to trade some of the ETFs/ETNs. Get the Typhon guys back on and see if you can get the Viceroy and Don S. back on for a mega-reunion show sometime. Keep up the great work! Hawkeye - Question from Kmar65 - Have you all covered the situation with Catalyst and the HFXAX fund recently? I try to get to all the webcasts but must have missed it if you had. Expected max drawdown was 5% and they blew through that. Gives one cause for pause re options strategies. would be great to understand how it happened and how it could/should have been avoided. Thanks in advance!
Crystal Ball: Your prognostication headquarters
Last week:
- Mark L. - 11.25
- Mark S. - 11.50
- Russell - 12.34
- Guest - 12.65
This week:
- Mark L. - 11.55
- Mark S. - 11.00
- Russell - 12.00