Mar 2, 2015
Volatility Views 148: What Color Is
Volatility Review: A look back in the
week from a volatility perspective
- VIX Cash: Low: 12.86, High: 15.48
- Skew Index: 126.20
- The extended hours for VIX options are set to
begin Monday, March 2, while the extended hours for SPX options are
expected to start on Monday, March 9.
- VIX Options: Total 4.38m (2.98m Calls, 1.40m
- VIX term structure hits CBOE earnings
- International Volatility Review
- Crude Oil: Volatility returning to oil.
Volatility Voicemail: Listener
questions and comments
- Question from Jordan M. - Do you have any
updates on the volatility ETF from Robert Whaley that proposes to
eliminate the roll yield issues with VXX? Is it coming to market
any time soon?
- Question from Smile Creators - Hello, big
fan. Thanks for the great shows. Is there a study that tracks
Implied vol vs Historical vol? I am interested to see when they are
following the same pattern or they deviate. Pakapiko.
- Question from Mr. Bochco - Where do you guys
fall on the great 252 vs 365 debate when analyzing volatility? I
have heard arguments for both. At the end of the day does
volatility not occur even on the weekends and holidays?
- Comment from AvonDude - Recent comments from
the Fed this week seem to reinforce Marks stance on rates. Whomever
wins the wager should buy the other guy a bottle of the fine liquor
of their choice.
- Comment from Mike S. - Not looking good on
the Fed front. I probably have to fall on the no change side of the
fence after this week. I do not remember which host wagered on what
but I would like to see the losing host make a donation to the
other host’s favorite charity. That way everyone wins.
- Comment from Tom Statton - I think both
co-hosts should buy Mark a steak regardless of the outcome for
featuring them on this fantastic program. Well done Mark. I would
buy you one as well if you ever make it to Alberta.
- Comment from Mark A. - No way Fed raises this
year. When he loses I think Jared should fly to Chicago and host a
cocktail party for all Volatility Views listeners. I would happily
allow him to buy me some tasty beverages.
- Comment from SylvanElph - Regarding the Fed
Bet - It o\is a radio program so the co-hosts cannot wear
embarrassing outfits. Maybe buy the other a pizza of their choice?
So Jared would have to buy Mark (and Mark) a nice Chicago deep dish
and Mark would have to buy Jared a tasty NYC thin crust. Or New
Haven style. Whatever his preference.
- Comment from Jeremy Stevens - I think the Fed
will have to adjust their rates before the close of 2015. They are
too terrified of inflation and stagflation to sit on their hands.
Not sure why a blip in CHF in early 2015 would set the tone for Fed
policy at the end of 2015? Maybe Mark can elaborate? As for the
wager - How about the loser gives away 5 free subscriptions to his
services to VV listeners? So Jared can give away some BGC Research
and Mark can offer his Option Pit subscriptions.
Crystal Ball: Andrew and
Jared prognosticate wildly. VIX cash to below 13?