May 30, 2017
Volatility Review: A look back at the week from a volatility perspective
- VIX Cash - 9.99
- VVIX - 82.20
- CBOE Skew Index - 123.65
Russell's Weekly Rundown:
- VIX Options: Mon - 558k, Tues - 522k, Weds - 449k, Thurs - 474k, ADV - 727K, VIX Call/Put: 3/1
- Total 7.70M (5.79m Calls, 1.91m Puts)
- Oil plunges 4 percent on disappointment with OPEC cuts
Volatility Voicemail: Options Question of the Week
$VIX =11.20. $VIX June Future = 12.40 $VIX Weekly 11 puts = $.15, Weekly 13 Calls = $.15. What's your trade?
- Buy 13 Call for $.15
- Buy 11 Put for $.15
- Sell 13 Call for $.15
- Sell 11 Put for $.15
Listener Questions and Comments:
- Comment from VTrader - When VIX is below 11.5 since 2006, that current difference between from the front month and VIX cash is at its highest.
- Question from Eli Vagan - Did the spike in VIX last week finally break that short Vol feedback loop that everyone is focused on these days?
- Question from Benod - What was the truth behind that VIX strangle last week?
- Question from Allan Nemy - All this action in crude it seems like a good time for some crude Vol products. Why no CBOE crude volatility options?
Crystal Ball: Wild and reckless prognostication
This week:
- Mark L. - 10.25
- Mark S. - 9.75
- Russell - 10.75