Apr 15, 2019
VOLATILITY REVIEW
SPIKES - 12.25, down 0.5-points from last show
VIX Cash - 12.3, 0.7-points lower than last week
VVIX - 85, 6-points higher than last show. We saw the expected pop but not the expected move in VIX/VXX
VIX Options - ADV: 530k, Total 11.1m (8.41m Calls, 2.65m Puts)
VXXB - 26.6, 1.4-points lower than last show
VOLATILITY VOICEMAIL
Question from Jim Daily - Just to clarify. Are they really staying with $VXXB? There’s no name change coming?
Comment from Jack Heneka - Hi, greetings from Europe!
Question from Curious George - RE: VXEFA silly prints. My question is: VXEFA has had some ridiculous intraday spikes. Yesterday O-11.8, C-11.4 with a High 25.5? Can you weigh in on what is causing that and what CBOE might do to eliminate these nonsensical prints? Also, really enjoyed your coverage of SPIKES. Are they going to do anything in EAFE or EEM? Thanks for all the good work you do!
Question from Allen Y. - I get that if i buy vix options i can hedge them with vix futures. If i trade spikes options can I also hedge them with VIX futures or do I have to do some sort of spy straddle? It seems from my initial review that vix futures are closely correlated enough to get the job done.
CRYSTAL BALL
Last week:
Mark L. - 13.25
Mark S. - 12.37
Simon - 12.65
Next week:
Mark L. - 12.75
Mark S. - 12.37