Preview Mode Links will not work in preview mode

Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

May 18, 2015

Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Review: A look back at the week in vol

  • VIX Cash: High: 15.13 - Low: 12.41
  • VVIX: 82.12
  • S&P 30-day realized Vol: 10
  • VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts)
  • Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total.
  • Crude Oil: Crude bears are starting to show their claws again.
  • OVX 31.67 - OIV 32.18
  • This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years.

Volatility Voicemail: Listener questions and comments

  • Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long time and come to the conclusion that delta-neutral is the best way to capture volatility in the marketplace right now. But I do not want to tie up all of my capital and all of my time managing and adjusting one trade. I would prefer to buy or sell something that handled the lion’s share of the work for me. If there was some slippage on the execution I could live with it as the ultimate cost of using a packaged product vs. doing it myself. Thoughts? Am I crazy? I would love to get the old VolX guys opinion on this as well if possible since I assume they have insight into this issue.