Apr 20, 2015
Volatility Review: A look back at the week from a volatility perspective.
- Greece bringing some volatility back to the table.
- VIX Cash: Low: 12.50 - High: 14.75
- Earnings do not seem to be injecting much Vol into the market.
- S&P: Skew Index: 120.37
- VIX Options: Our friend with the April 13 puts decided that discretion was the better part of valor - sold 90,636 of them on Tuesday for $.05. 800K contracts on Tuesday. Total 4.22m (3.12m Calls, 1.11m Puts)
- Elizabeth Warren: Tax the banks. Warren called for a transaction tax on firms that use computer-based trading systems to make rapid-fire transactions. She said taxing so-called high-frequency trading would make the market less volatile and give smaller investors a fighting chance.
- Crude Oil: The bulls are back in crude - OVX: 43.48, OIV: 42.67
Volatility Voicemail: Listener questions and comments
- Question from K9 - Why does no one in the US talk about VSTOXX as a volatility gauge? I think it does a better job of measuring overall Vol by taking the square root of the implied variance rather than the convoluted VIX formula. It also does not have all the outside influences polluting the calculation the way VIX does. Maybe this should be something you guys include in your program going forward?
- Question from Fred - My study of options is enjoyable, but it takes so long. I am going to be 200 before I know anything… Do you think expiration Friday has changes in significance in recent years? Is it not really that much of a big deal anymore?
- Comment from Mark Brant - Inspired by C-bass video: AAPL, Sell W234 6-Strike Iron Butterflies; Buy W7 Straddle. Credit is 20% of margin requirement...AAPL Week2 1X5 modified Iron Butterflies with long 5X gamma wings are working!
Crystal Ball: Maybe check the expiration date of the contracts you trade. Just saying. Will there be an all-time high in S&P 500?