May 8, 2017
Volatility Review: A look back at the week from a volatility
- VIX Cash - 10.46, practically unchanged from last week.
- VVIX - 78, same as last week.
- CBOE Skew Index - 130.5, 12 point lower than last week.
Russell's Weekly Rundown:
- VIX Options: Mon - 572k, Tues - 746k, Weds - 469k, Thurs -
657k, ADV - 734k
- VIX Call/Put: 3/1: Total 9.68m (7.26m Calls, 2.42m Puts)
- CBOE begins trading options on VelocityShares EVIX - contract
based on VSTOXX Short-Term Futures Investable Index
- Tesla Close - $311, ATM Straddle approx. - $17, approx.
- FB: Close - $151.80, ATM Straddle - $5.63, approx. 3.7%
Volatility Voicemail: AAPL Earnings Pop Quiz
AAPL $146.50, Weekly straddle $5 (3.5%). IV30 = 21%, Weekly 155
Call= $.27, 138 Put = $.27 Would you rather?
- Buy Straddle/ Iron Fly, 18%
- Sell Straddle/Iron Fly, 34%
- Buy Call, 44%
- Buy Put, 7%
Earnings Season Flash Poll
ZNGA reports earnings today. Stock is trading $2.87. #Options
ADV 3K. Do you trade options on cheap stocks?
- Yes, down to $10
- Yes, down to $5
- No, the stock is an option
Listener questions and comments:
- Thank you for the fan art, inspired by Don Schlesinger, sent in
- Comment from Don S. - Mark, listening to the recent Vol Views
from RMC, I was going to write to you, in any event, when, all of a
sudden, I heard my name invoked with respect to buying options ("I
hope Don Schlesinger is not listening")! Well, I was listening, so
will share a few views on vol. :-). I am continually amused by the
staying power of the traditional topics. Thirty-three years ago,
when I began in the industry, but most especially after the 1987
crash, when the skew was born, it became axiomatic to me that the
only good thing to do with an option was to sell it or not sell it.
Today, you have invented new-fangled terminology, such as "risk
premium harvesting" (which I find adorable!) to describe exactly
the same thing: to sell options because their implied volatilities
are, on average, considerably higher than what realized volatility
of the underlying goes on to display. I am not sure why we need the
new vocabulary, but whatever makes people happy. You can either be
the insurance company or be the policy owner. Which one makes the
- Question from @fksthlm - Did something just break in VIX ETFs?
Was the move 11:45 Wednesday, hindsight guess I was only surprised
to the sensitivity to futures at this level
Crystal Ball: Wild and reckless prognostication
- Mark L. - 11.50
- Mark S. - 11
- Russell - 11.95
- Mark L. - 10.55
- Mark S. - 9.95
- Russell - 10.10