Jun 19, 2017
Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management.
- Weird Nasdaq selloff that started during last show continues.
- Amazon looks to buy Whole Foods.
- VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week.
- CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago.
- VIX Futures - Front month: .6, Second month: 1.5
Russell's Weekly Rundown
- VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts)
- VXX - ADV 364k, OI - 1.3/1 Calls over puts.
- OIV - 29.45
- OVX - 31.90
Volatility Voicemail: Alternative volatility sources
With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading?
- 33% - Crude Oil (WTI, etc.)
- 20% - Metals ($GLD, $SLV, etc.)
- 20% - FX (GBP/USD, etc.)
- 27% - Indv. Equities-$TSLA, etc.
VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will $VIX get in 2017?
- Still Won't Break 9
- Won't Break 8.5
- Won't Break 8.0
- Lookout! 7 Handle in '17
Listener questions and comments
- Comment from Angelo - The point from Barclay's about convexity of SPX puts is somewhat meaningless. As long as market stays lofty the bid for those puts will remain. I do not foresee a scenario where market remains elevated but the bid mysteriously disappears for SPX OTM puts. So the VIX cannot realistically break into the 7 or 8 handle. Did like the stat about VIX prints since 1960 though.
Crystal Ball: Wild prognostication.
Last week
- Mark L. - 9.75
- Mark S. - 9.63
- Russell - 10.60
- Guest - 10
This week
- Mark L. - 10.50
- Mark S. - 10.05
- Ghost of Russell - 9.15
- Guest - 12.25