Dec 27, 2016
Volatility Review: A look back at the week from a volatility perspective
- VIX Cash - 11.75
- VVIX at 89, rebounding slightly off late-November ow of 79.
- VIX Futures: Approx. 2.5 point premium cash vs. Jan future.
Russells Weekly Rundown:
- Watching the Dec 28 strike
- VIX Options: ADV - 550k. A decent volume week, several days over ADV, light volume on Friday. Total 4.80m (3.55m Calls, 1.26m Puts)
- Crude Oil: Crude Vol continues to be crushed, now below 30. OIV/OVX - 29, what is the new floor for crude volatility?
Volatility Voicemail: Listener questions and comments
#QuestionOfTheWeek - Major market indices are pushing record highs. Everyone has protection on the brain. How do you protect your portfolio?
- Just Move to Cash/Bonds
- Protective ATM/OTM Put
- Put Spread/Ratio Put Sprd
- Collar or Collar w/Kicker
- Question from Ian Wagner - I am confused. Are there tradable RVX options? CBOE has microsite, but not seeing them listed on brokers. Thanks!
- Question from Eddy - December for volatility; Is this month always the seasonal low for volatility in the year, or is that still reserved for July/August?
Crytsal Ball: Wild prognostication ensues
Last week:
- Mark L. - 12.25
- Mark S. - 11.5
- Russell - 13.5
This week:
- Mark L. - 11.25
- Russell - 12