In this episode of Volatility Views, the all stars call for a dynamically updated SKEW index.
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Volatility Review: What happened last week in vol?
- VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market.
- VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls.
- Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 54,997 VIX Nov 23 calls at $.94.
- Gold vol: GVZ ticking up over the past few weeks – futures options still put heavy.
- Oil vol: Continued put love in crude as well.
Volatility Voicemail: Listener questions
- Question from Crazyhorse – Can some of the roll yield problems suffered by VXX and others be solved by either 1) rebalancing on a less frequent basis or 2) trading a basked of futures as opposed to simply buying the same long term contracts every time?
- Question from Chris Hanks, Toledo, OH – Hola volatility gang and perhaps special guest. I am a frequent listener and wanted to write in to say thanks for putting out this show every week. My Mondays suck but I get a nice little pickup on my commute when I download the latest episode of Volatility Views. I do miss Don?s ?sold to you? attitude, but I am sure you will get him back on one of these days. No one gets as fired up about selling vol as Don S. Let me leave you with this question: Long term which do you think will outperform – dynamically hedged SPY?ATM straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not.
Crystal Ball:? Jared and Mark make mad prognostications.