Jan 4, 2016
Originally posted July 20th, 2015
Volatility Review: Today's guest is Mike Thompson, Typhon
- VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in
the product history.
- VVIX: 85.55 - Back at the low end of recent range.
- VIX Futures: Keeping an eye on the term structure. Weekly VIX
Futures coming next week, finally!
- VIX Options: Calls over puts 3.1/1 - a strong volume week.
Total 9.00m (6.79m Calls, 2.21m Puts)
- Oil: After some brief signs of life, oil volatility continues
Volatility Voicemail: Listener questions and comments
- Question from Al Parasian, Oakland, CA - What is the most
effective way to speculate on a true volatility explosion in the
marketplace? Is it straight up VIX calls or is there a more
- Question from ENV16 - I searched for volatility programs on a
lark using PockectCast. Did not think I would find anything. Man,
was I surprised when your show came up. What a treat! 100+
episodes! I have been sinking my teeth in all week. Any chance you
could bring on a guest who specializes in OTC variance swaps? That
is a market that has always interested me, but it is hard to find
good color on it. Other than that, please keep up the good work and
to Russell for bringing us this show. One more quick thing - you
guys talked about how a VIX of one is all but impossible. What do
you feel is the realistic upside limit of VIX? We saw it hit the
90s during the meltdown. Is that it or is a VIX of 200 a
possibility one day?