Jan 21, 2014
Volatility Views 95: When the Crazies Emerge
Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February.
The 2013 numbers are in:
- VIX futures 2013 annual ADV - 159K - Up 67% from 2012.
- VIX options 2013 annual ADV - 567K - Up 28% from 2012.
- SPX options 2013 annual ADV - 823K - Up 18% from 2012.
Volatility Voicemail: What questions do you have for us?
Comment from nrlbuild: Great to have Volatility Views back on the air...but what about Don Schlesinger? Breakin' my heart man! Keep up the good work, Ned
Question from Greg: I'd been looking at the CBOE's Put-write vs. Buy-write strategy that rolls the ATM monthly options short. On the surface it appears the PW outperformed with less volatility over the last 25 years. It appears the PW outperforms over longer periods because any or all of the following:
1) Investors have overestimated future dividend payments
2) Investors have overestimated future interest rates
3) The random timing from the call or put being slightly ITM or OTM during more pronounced market moves
It's important to note that implied volatility should not explain a significant difference here. Both Calls and Put values are positively correlated with volatility. If you have a taxable account and your underlying holdings are targeted to be held at least 1 year, it would seem covered call would win out due to the stock and dividend being taxed at LT rates. Put premiums and bond interest are both taxed at ST rates. Commissions are a slight advantage to the PW strategy but in the world of online discount brokerages I would think this is insignificant. Thoughts?
Question from: expertmagician: I just found you! Just started using Volatility ETFs, and have never used futures or options. What is the best way to learn about various ways to hedge S&P or Russell using VIX ETFs? Great podcast! I would love to see an RVX ETF. Problem is with contango and contract roll exposure with ETFs. So, I am looking for a way to do this because I do not have the time to learn and actively trade futures or options.
Crystal Ball: Outlook at VIX options, futures, RVX and other volatility products activity next week.