Apr 20, 2015
Volatility Review: A look back at the week
from a volatility perspective.
- Greece bringing some volatility back to the
- 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
- 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
- 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?