Domestically, vol is a bit tame, internationally, it’s exploding.
Download Volatility Views 248: International Volatility Explosion
Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI.
- VIX Cash – 13.12
- VVIX – 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007.
- CBOE Skew Index – 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17.
- VIX Futures – Front month: .9, Two Month: 1.4
- VIX Options: Mon – 785k, Tues – 1.6M, Weds – 917k, Thurs – 512k, ADV – 637k. Total 8.09m (5.77m Calls, 2.32m Puts)
- VIX Call/Put: 2.5 / 1
- OIV/OVX – 29.85
- GVZ – 12.58
- TYVIX – 4.37
Volatility Voicemail: Listener questions and comments
- Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so?
Crystal Ball: Wild and reckless prognostication
Last Week:
- Mark L. – 10.65
- Mark S. – 10.90
- Russell – 11.11
This Week:
- Mark L. – 12.50
- Mark S. – 12.00
- Russell – 12.80
- Ricardo – 13.50