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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.

Aug 29, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Spiked over 14 this week thanks to Yellen & Co.
  • What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92.
  • Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch.
  • VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week.
  • VVIX: 85.43

Russells Weekly Rundown

  • Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts)
  • Earnings Volatility: HPQ
  • Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike.
  • Crude Oil: USO = 10.95
  • OIV/OVX: 37: Less than half of peak levels back in Feb.
  • USO Skew: Still bid toward the puts, with the exception of Jan 17.
  • Gold

Crystal Ball: Where will the VIX close?

This week:

  • Russell - 11.90
  • Andrew - 12.10
  • Mark L. - 11.50