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Home > Volatility Views > Volatility Views 259: Revenge of VIX Mullets and Tellums
Podcast: Volatility Views
Episode:

Volatility Views 259: Revenge of VIX Mullets and Tellums
Category: Business
Duration: 01:01:14
Publish Date: 2017-06-19 13:52:31
Description:

Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management.

  • Weird Nasdaq selloff that started during last show continues.
  • Amazon looks to buy Whole Foods.
  • VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week.
  • CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago.
  • VIX Futures - Front month: .6, Second month: 1.5

Russell's Weekly Rundown

  • VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts)
  • VXX - ADV 364k, OI - 1.3/1 Calls over puts.
  • OIV - 29.45
  • OVX - 31.90

Volatility Voicemail: Alternative volatility sources

With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading?

  • 33% - Crude Oil (WTI, etc.)
  • 20% - Metals ($GLD, $SLV, etc.)
  • 20% - FX (GBP/USD, etc.)
  • 27% - Indv. Equities-$TSLA, etc.

VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will $VIX get in 2017?

  • Still Won't Break 9
  • Won't Break 8.5
  • Won't Break 8.0
  • Lookout! 7 Handle in '17

Listener questions and comments

  • Comment from Angelo - The point from Barclay's about convexity of SPX puts is somewhat meaningless. As long as market stays lofty the bid for those puts will remain. I do not foresee a scenario where market remains elevated but the bid mysteriously disappears for SPX OTM puts. So the VIX cannot realistically break into the 7 or 8 handle. Did like the stat about VIX prints since 1960 though.

Crystal Ball: Wild prognostication.

Last week

  • Mark L. - 9.75
  • Mark S. - 9.63
  • Russell - 10.60
  • Guest - 10

This week

  • Mark L. - 10.50
  • Mark S. - 10.05
  • Ghost of Russell - 9.15
  • Guest - 12.25

 
Total Play: 0

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