Mark, Mark, and Russell talk about additional take-aways from the CBOE Risk Management Conference
Download Volatility Views 196: More from the CBOE Risk Management Conference
Volatility Review: A look back at the week from a volatility perspective.
- VVIX – 95
- Earnings volatility: The season is winding down – except for Dollar General
Russells Weekly Rundown:
- VIX Options: A fairly strong volume week. Total 7.49m (5.54m calls, 1.95m puts). VIX faces challenge from trading robots unleashed by bats
- Crude Oil: OIV/OVX – 52. WTI skew chart
- Gold: GVZ 23.36 – Elevated
Volatility Voicemail: Listener questions and comments
- Comment from Chic9 -?Selling puts = blowout!
- Question from Nic s. -?Why was there such an emphasis on selling puts at RMC? Is that not an old strategy?
- Question from JV -?Can you explain the free cash flow yield theory and why it would help improve strike selection for selling puts?
- Question from Labeach2 -?Ratio verticals work in VIX what about SPX and SPY – sell 1 ATM buy 2 OTM to hedge and spec. No studies on that? Seems better than just blasting away ATM puts?
- Question from JPeach -?I really enjoyed the wrap up episode from the CBOE conference. I thought the discussion about the pension fund manager panel was particularly interesting. Two questions: 1. What percentage of pension funds out there use options in some capacity? 2. Is CBOE going to make that panel available to the public?
Crystal Ball: Where will the VIX close on Friday?
- Russell – Above 25
- Mark S. – Low 20s
- Marl L. – 23