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Podcast: Volatility Views
Episode:

Volatility Views 151: The Fix on VIX
Category: Business
Duration: 00:56:01
Publish Date: 2015-03-23 14:21:24
Description:

Volatility Views 151: The Fix on VIX

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

 

  • VIX Cash: Low: 12.54 - High: 16.37
  • VIX Settlement seemed somewhat controversial again this month.
  • VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week.
  • S&P: Options contracts that pay off should the S&P 500 lose 10 percent in the next three months, near the time of a potential Federal Reserve rate increase, are by some measures almost seven times more expensive than at the start of the year, the data show.
  • Quadruple witching something of a non-event - with expiration every week now, it seems as though triple and quad witching have lost some of their luster.
  • VIX Options: Big VIX trades this week - customers buying upside calls in April, particularly 22 & 26 strikes. April 50 call still open.
  • Total 3.65m (2.50m Calls, 1.16m Puts)
  • Volatility Index Bracketology: Someone beat Jared to the earnings volatility study - Informed traders prefer options says academic research.
  • International Vol Review: Russian "mystery" event a bit of a letdown - Could the Israeli election have an impact?
  • Crude Oil: The bears had their claws out again for crude oil. Brent down 3% Thursday - WTI down 2%.

 

Volatility Voicemail: Listener questions and comments

 

  • Question from The Great Donaldo - Hello to the volatility wizards. I enjoyed your coverage of the RMC conference and Marks interviews with some of the speakers. I have never been able to attend the event due to scheduling conflicts. I am also not partial to attending an event that is primarily intended to promote one firms products. So I would appreciate your informed opinions on other volatility-oriented events that you feel are worthwhile for the listening audience to attend. I do not mind some forays into the mathematical realm but I am not interested in modeling so much as strategy and theory. Thank you for all of the work that you do to shine light into the darkness.
  • Question from Lee Daniels - What is the absolute baseline level of volatility that we could reasonably expect to see in the marketplace. I have heard you guys talk about a VIX in the low teens on earlier episodes. Is a single digit VIX feasible and if so for how long? Could we ever see a VIX below 5? What sort of situation would it take to achieve such historically low volatility levels in the marketplace?
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