Flim flammery all over the place.
Download Volatility Views 202: The Flim Flammery of Volatility
Volatility Review: A look back at the week from a volatility perspective.
- VIX cash: Creeping back up – a crazy day, almost all of our predictions were valid today.
Russells Weekly Rundown:
- VIX Options: A light volume week overall – only on day even remotely exceeding ADV. Lots of put love on Friday: Total 7.26m (5.41m Calls, 1.85m Puts)
- Earnings Volatility: A bad time for premium sellers. Most of the major names reporting the past few weeks have blown through their straddles – AAPL, MSFT, GOOG, FB, AMZN
Volatility Voicemail: Listener questions and comments
- Comment from Mark Melin – @RussellRhoads Talk about “anticipatory” nature of VIX futures. I have known several fund managers to play this as mean reversion
- Comment from John K. – One of the Tyler Durdens @zerohedge is a ?Credit Derivatives Strategist? @Options: Discuss.
- Question from R_Chang – The VIX is hovering at 2016 lows. Is this a good time to buy VIX calls to profit from a potential roar back into the 20s or beyond?
Crystal Ball: It’s time for everyone’s favorite game “Where will the VIX close?!”
Last Week:
- Russell – 16
- Mark S. – 13.5
- Mark L. – 14.5
This Week:
- Russell – 18
- Andrew – 15
- Mark L. – 15.5