Depending on who you ask, winter might already be upon us.
Download Volatility Views 264: Winter Is Coming
Volatility Review: A look back at the week from a volatility perspective.
The Numbers:
- VIX Cash – 9.58, VVIX – 76
- VXN – 14.36, CBOE Skew Index – 130
- VIX Options – ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts)
Russell’s Weekly Rundown:
Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time – Why would someone buy this spread?
- “Hedge” Short OTC Vol
- Bullish Volatility Spec
- Someone had $1.2M to burn
- “Hedge” Equity Portfolio
Volatility Voicemail: Listener questions and comments
- Question from FContangotrader:?When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short.
Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make?
- 41% – Buy $MSFT Straddle 3.5%
- 28% – Buy $EBAY Straddle 7%
- 21% – Sell $MSFT Straddle 3.5%
- 10% – Sell $EBAY Straddle 7%
More questions and comments:
- Question from Avery Thompkins & HSchwartz – Russell any progress on creating a VIX calc spreadsheet?
- Question from Ballen – What is your take on this article? ?Time to Stop Calling the VIX the ?Fear Index?
- Question from MMouse – Check out this chart. Short volatility for the win! Why would you buy VIX?
Crystal Ball: Wild and reckless prognostication
Last week:
- Mark L. – 10.25
- Ghost of Russell – 13.74
- Andrew – 9.99
- Guest – 9.75
This week:
- Mark L. – 10.25
- Russell – 9.76
- Mark S. – 10.04