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Home > Volatility Views > Volatility Views 167: Consulting on Volatility Strategy
Podcast: Volatility Views
Episode:

Volatility Views 167: Consulting on Volatility Strategy
Category: Business
Duration: 00:57:28
Publish Date: 2015-07-27 15:26:09
Description:

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants.

  • VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week.
  • VIX Futures: New weeklies listed this week.
  • VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts)
  • Gold: GVZ: 19.39 - Spiked nearly 5 handles this week. Gold volatility skew - clear concern in the near term, longer-dated options showing some bullish positioning as well.

Volatility Voicemail: Listener questions and comments.

  • Question from LAX66 - Do you guys know where I can find a list of the pensions and endowments that utilize options and futures for hedging purposes? I would like to see if my money is safe and being put to good use. Is that info publicly available?
  • Question from Bailiwyck - I would like to submit a question from the volatility views radio program. What is the problem with GVZ? Why are there no products to trade with it? I looked it up earlier this week only to find zero contracts traded. Did they delist them? You would think this product would be very popular in a week like this.
  • Question from TalbotL - Let me see if I have this straight. The front end of the VIX curve is where all the crazy stuff happens. So I want to avoid that in my hedges and "kick the can" past it. The longer portion of the VIX curve is where things typically get pricey. So am I correct in assuming that somewhere in the midpoint - around 3 months - is the goldilocks spot where I should buy my porridge? Is that the most effective place to purchase VIX futures for hedging from a cost to vega perspective?

Crystal Ball: Wild prognostications about the future of volatility.
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