May 21, 2018
Volatility Review: A look back at the week from a volatility
- VIX Cash - 13.43, almost unchanged from last week.
- VVIX - 93
- VIX Options - ADV: 592k, VIX call/put: 2.7/1, Total 5.86m
(4.26m Calls, 1.59m Puts)
- VXX - 34.87
Volatility Voicemail: Listener questions and comments
- Question from Trevor Salsman - Why no love for ZIV on
- Comment from Tom Frank - Not sure I agree with your consensus
that covered calls are better for novice options traders. Puts
typically have higher implied volatility and should generate higher
returns than covered calls over time and have a better risk/reward.
The novices would probably appreciate the higher returns.
- Question from OliveTrader2 - What kind of volatility reaction
should we expect if trade talks are successful or
- Question from Bruce Stern - I know that contango in VIX futures
is the best scenario to foster VXX erosion. But is there a
particular degree of slope or term structure that is optimal for
maximum roll decay in the VXX product? Or is it just a question of
the steeper the term structure slope the better?
- Question from NMZ56 - Not sure my fav vol product has been
invented yet. Outside of a truly tradable cash VIX, maybe we need
some sort of cool earnings volatility product. Maybe something that
allows you to trade the straddle without actually having to trade
it? I think that would open the strategy up to more people.
- Question from MTimes - What do you guys think of UPRO? Does the
levered nature of this product make it a decent stand-in for some
of the other vol products out there that have been defanged
recently like SVXY or delisted like XIV?
Crystal Ball: Wild and reckless prognostication
- Mark L. - 13.55
- Mark S. - 12.75
- Mark L. - 13.25
- Mark S. - 12.75