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Home > Volatility Views > Volatility Views 264: Winter Is Coming
Podcast: Volatility Views
Episode:

Volatility Views 264: Winter Is Coming
Category: Business
Duration: 00:58:54
Publish Date: 2017-07-24 11:46:33
Description:

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

The Numbers:

  • VIX Cash - 9.58, VVIX - 76
  • VXN - 14.36, CBOE Skew Index - 130
  • VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts)

Russell's Weekly Rundown:

Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread?

  • "Hedge" Short OTC Vol
  • Bullish Volatility Spec
  • Someone had $1.2M to burn
  • "Hedge" Equity Portfolio

Volatility Voicemail: Listener questions and comments

  • Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short.

Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make?

  • 41% - Buy $MSFT Straddle 3.5%
  • 28% - Buy $EBAY Straddle 7%
  • 21% - Sell $MSFT Straddle 3.5%
  • 10% - Sell $EBAY Straddle 7%

More questions and comments:

  • Question from Avery Thompkins & HSchwartz - Russell any progress on creating a VIX calc spreadsheet?
  • Question from Ballen - What is your take on this article?  Time to Stop Calling the VIX the “Fear Index”
  • Question from MMouse - Check out this chart. Short volatility for the win! Why would you buy VIX?

Crystal Ball: Wild and reckless prognostication

Last week:

  • Mark L. - 10.25
  • Ghost of Russell - 13.74
  • Andrew - 9.99
  • Guest - 9.75

This week:

  • Mark L. - 10.25
  • Russell - 9.76
  • Mark S. - 10.04

 
Total Play: 0

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