Oct 1, 2018
Volatility Review: A look back at the week from a volatility perspective
This week, featuring guest co-host Bill Valentine from Valentine Ventures.
- The old VIX call vs SPX put debate continues
- VIX Cash - 12.5, up 0.3 from last show
- RVX - 14.6, up 0.7 from last week
- VVIX - 89, 2 handles higher than last show
- Size "hedge" in SPX puts this week
- VIX Options - ADV, 452K, VIX call/put: 2.8/1, Total 7.77m (5.74m Calls, 2.03m Puts)
- VXX - 26.65, almost unchanged from last show
Volatility Voicemail: Volatility Flash Poll
The CBOE Skew Index alarmed many when it soared above 150. Of course, every index tells its own skew story. Which index do you think has the steepest skew right now (aka 25D put vol vs. 25D Call vol)?
- Russell 2000
- S&P 500
- Nasdaq
- Other
Listener questions and comments:
- Question from Leans - Do you think SVXY will ever go back to its pre-Feb structure?
- Question from Tim - Is there really such a thing as a "covered call" in VIX since the options don't expire into futures? If I'm long a future and sell a XIV call against it what is that called?
Crystal Ball: Your prognostication headquarters
Last week:
- Mark L. - 11.25
- Mark S. - 12.14
This week:
- Mark L. - 11.75
- Mark S. - 12.15
- Bill - 13.00