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Volatility Review: Nonfarms and volatility.
Looking back on Q1:
- VIX High – on Jan. 20, Low – 13.06 on March 30, VVIX High – 121.15. VVIX Low 77.29. The great crushing – VIX Cash falls 50% in about a month.
Did the VIX fall too far, too fast? - VIX Options: A fairly light volume week. Total 6.85m (5.26m Calls, 1.59m Puts)
- Crude Oil: OIV/OVX – 46
- Gold: GVZ – 18.50, well off recent highs.
Volatility Voicemail: Question from ChaChing – How does last month’s VIX backwardation streak stack up to the run above 20 last year?
Crystal Ball: Where do the hosts think that VIX will close on Friday? Andrew: 13.01, Mark throws caution to the wind and says 12.00.