Jun 9, 2014
Volatility Views114: The VIX Is Dead. Long
Live the VIX.
Volatility Review: Another slow week from a
vol perspective - VIX Cash vacillating around 11.50 most of the
week. Is VIX and volatility too quiet? Is the VIX too cheap?
VIX and VXST options. New volatility ETFs
launch. Gold volatility hits 14-month low.
Volatility Voicemail: Listener comments and
- Comment from Angelthorn - Great show last
week guys! Finally people not afraid to stand up to the "VIX is
cheap" hype machine and back it up with some data. I am join to
sell some Vol in your honor.
- Question from George - I do not know whether
the VIX index or the implied volatility and historical volatility
of the SPY ETF is a better indicator to make sure where the SPY and
indeed most assets are headed. How do you use these indicators
together for your work? I would use other indicators too, such as
moving averages, volume underlying price, RSI and other major
supports and resistance levels of the underlying prices. Thank You.
- Question from TheAnalyst - I was able to
track down a copy of recent BGC research notes through a colleague.
I found a comment in the most recent research note, surprising
given recent statements to the contrary on Volatility Views. “The
one month implied volatility of VIX options as measured by VVIX was
featured in our last Volatility Tracker update, and the estimate
remains near record lows. Given this discount, VIX options still
look more attractive for equity portfolio hedgers than e.g. at the
money SPX or SPY puts.” It was my impression from the last episode
that the panel, particularly both hosts named Mark, took a dim view
of VIX as a hedging tool. Yet the most recent BGC research appears
to recommend them. I very much enjoy this program and hope you can
shine some light on this discrepancy for me.
Crystal Ball: An outlook for VIX, RVX VIX ETPs
and other volatility products.