Apr 24, 2017
Volatility Review: A look back at the week from a volatility
- VIX Cash: 14.15
- VVIX: 94.53
- CBOE Skew Index: 146.85 +6.65 (+4.74%), getting rich
Russell's Weekly Rundown:
- VIX Options: Mon - 616k, Tues - 1.4M, Weds - 1.6M, Thurs -
752k, ADV - 712k
- VIX Call/Put: 3/1: Total 7.27m (5.45m Calls, 1.82m Puts)
- OIV/OVX - 28.26
Volatility Voicemail: Options #QuestionoftheWeek
Earnings are back with some juicy straddles reporting this week.
Which is your pick for the most overpriced?
- $NFLX: ATM Straddle 8%
- $BAC: ATM Straddle 3%
- $EBAY: ATM Straddle 7%
- $ETFC: ATM Straddle 4%
- Question from Nizy - So I am confused. Per your VIX
Myth-busting episode - what is the deal with with the VXX erosion?
It is not due to the roll or it is? If so then how does it erode
when VIX futures are backward?
- Question from Avil3 - UGetting my dad to the dark side. He is
thinking about dipping his toes in the Vol waters. What product do
you recommend for a Vol newcomer making his first trade? Thx and I
will try to get him to listen.
Crystal Ball: Wild prognosticating
- Mark L. - 12.75
- Mark S. - 16
- Russell - 13.25