May 29, 2018
Volatility Viewpoint: Today's guest is Tom Lee, Managing
Director at Investment Strategy and Research at Parametric.
- What is Parametric?
- Who are their customers?
- What do they trade?
- Harvesting risk premium
- VIX: Is it rigged?
Volatility Review: A look back at the week from a volatility
- VIX Cash - 12.53
- VVIX - 90.5
- VIX Options - ADV: 592k, VIX call/put: 2.8/1, Total 6.67m
(4.94m Calls, 1.72m Puts)
- VXX - 33.81
Volatility Voicemail: Options question of the week
Holiday Weekends are notoriously tough for VIX traders. The
markets love to crush Volatility going into these events. So we
thought we'd poll the savvy VIX traders in our audience - where do
you think VIX will OPEN on Tues 5/29?
- Here: 12-14
- Higher: 14-16
- Lower: 10.5-12
- Much Higher: >16
Listener questions and comments:
- Comment from James1 - I took a flyer on a couple hundred VXX
Jan 10 puts for .03 after learning about them on your shows. Seems
like I'm not alone as a few hundred thousand others appear to have
joined the party. It's a fairly cheap roll of the dice on long term
VIX erosion without massive risk or expense.
- Question from Malik - VXX puts to spec on contango in VIX
futures makes sense to me. Do you think it's worth it to have a few
VXX OTM call spreads in the back pocket as well to help protect or
spec on a few reversals that buck the long-term trend? Or is it
just wasted money on anything bullish VXX?
- Question from TGeek -Thx for the show. Can you include a
breakdown of OTC variance swaps on an upcoming episode?
Crystal Ball: Wild and reckless prognostication
- Mark L. -13.25
- Mark S. - 12.75
- Mark L. - 12.95
- Mark S. - 13.50