Feb 27, 2017
Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA.
He discusses:
- His background in the volatility space
- Which products did he trade?
- The Hong Kong volatility scene
- What does True Partner Capital do?
- What does True Partner Capital trade?
Volatility Review: A look back at the week from a volatility perspective.
- VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week.
- CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20.
- VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week.
Russell's Weekly Rundown:
- VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts)
- OIV/OVX: 25.52, oil volatility continues to be crushed.
- GVZ: 13.68, also continues to erode.
- TYVIX: 5.29
Volatility Voicemail: So many questions
Options #QuestionOfTheWeek: $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?
- It wont break 10 again
- Between 9-10
- Between 8 - 9
- Below 8
- Question from Fksthlm: VSTOXX vs VIX Frexit risk: your view on this in today's show would be very interesting!
Crystal Ball: Wild, reckless prognostication
Last week:
- Mark L. - 10.45, Mark S. - 10.85, Russell - 11.75
This week:
- Mark L. - 11.25, Mark S. - 11.50, Russell - 12.34, Tobias - 12.65