May 1, 2017
Volatility Review: A look back at the week from a volatility
- VIX Cash - 10.36
- VVIX - 76.66, back in the toilet.
- CBOE Skew Index - 142.55, still rich.
Russell's Weekly Rundown:
- VIX Options: Mon - 975k, Tues - 801k, Weds - 475k, Thurs -
571k, ADV - 734k
- VIX Call/Put - 2.7/1; Total 8.81m (6.55m Calls, 2.27m
- Earnings Volatility: Alphabet, Amazon, Intel, Starbucks, Alcoa,
Volatility Voicemail/OptionsQuestion of theWeek:
Earnings Season is upon us. Big names are reporting soon. Which
is your pick for the largest % move post-earnings?
- $AMZN - 36%
- $GOOGL - 26%
- $CMG - 30%
- $MSFT - 8%
Listener questions and comments:
- Question from FContangotrader -What is your 2 cents on this article?
- Comment from Lolzi - Could we all just get along and agree that
VXX erodes relatively predictably? Who really cares if its roll
yield or flying pigs as long as you can count on it with some
degree of certainty?
- Question from JJonQuin - You say VIX call to put of 2-3 is
normal. What is not normal? When should we get alarmed? 5? 6?
Crystal Ball: Wild and reckless prognostication.
- Mark L. - 12.75
- Mark S. - 16
- Russell - 13.25
- Mark L. - 11.5
- Mark S. - 11
- Russell - 11.95