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Home > Volatility Views > Volatility Views 156: VSTOXX vs. VIX
Podcast: Volatility Views
Episode:

Volatility Views 156: VSTOXX vs. VIX
Category: Business
Duration: 00:52:25
Publish Date: 2015-05-04 16:18:35
Description:

Volatility Review: A look back at the week from a volatility point-of-view 

  • VIX Cash: Low: 12.33 - High: 15.29
  • VIX Options: Another modest volume week.
  • 75k May 20 calls purchased Wednesday for $.40.
  • Paper buying June 23 puts for $.15.
  • June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
  • Total 6.14m (4.39m Calls, 1.75m Puts)
  • Options volume slid in first quarter.
  • Volatility cycles and stock trends.
  • International Volatility: India VIX caps monthly advance as futures rollover below average.
  • Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

  • Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
  • Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?
  • Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?
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