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Aug 29, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Spiked over 14 this week thanks to Yellen & Co.
  • What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92.
  • Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch.
  • VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week.
  • VVIX: 85.43

Russells Weekly Rundown

  • Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts)
  • Earnings Volatility: HPQ
  • Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike.
  • Crude Oil: USO = 10.95
  • OIV/OVX: 37: Less than half of peak levels back in Feb.
  • USO Skew: Still bid toward the puts, with the exception of Jan 17.
  • Gold

Crystal Ball: Where will the VIX close?

This week:

  • Russell - 11.90
  • Andrew - 12.10
  • Mark L. - 11.50