Jan 11, 2019
VOLATILITY VIEWS 337: Looking At VIX From A European Perspective
- HOST: MARK LONGO, OPTIONS INSIDER MEDIA GROUP
- SPECIAL GUEST CO-HOST: AASH VYAS, PORTFOLIO MANAGER -
TUNGSTEN INVESTMENT FUNDS
VOLATILITY
REVIEW SEGMENT
VIX STILL EERILY FLAT - HOVERING AROUND 20 LEVEL.
MARK/ANDREW VOLATILITY REVIEW - WHICH VOLATILITY TRADES, TRENDS OR
DEVELOPMENTS CAUGHT YOUR EYE THIS WEEK?
VIX
CASH
19.25 - 3.5 PTS LOWER THAN LAST SHOW
VVIX
85.5 - 4.5 PTS HIGHER THAN LAST SHOW
VIX FUTURES
CURVE
STRANGELY FLAT
FRONT MONTH: .4PT PREMIUM TO CASH
2ND MONTH: .65 PT PREMIUM TO CASH
VIX
OPTIONS
TODAY - 215K
ADV - 584K NEARLY UNCHD FROM LAST SHOW
TOP VIX
POSITIONS
327336 .VIX Feb 13th 37.5 C, chg -2140
245513 .VIX Jan 16th 30.0 C, chg -243
213192 .VIX Jan 16th 35.0 C, chg -24
209890 .VIX Feb 13th 40.0 C, chg +175
170651 .VIX Jan 16th 32.5 C, chg -380
164631 .VIX Apr 17th 45.0 C, chg +2463
156643 .VIX Jan 16th 18.0 P, chg +571
153838 .VIX Apr 17th 70.0 C, no chg
144909 .VIX Feb 13th 35.0 C, chg +3900
140853 .VIX Apr 17th 37.5 C, no chg
138566 .VIX Mar 19th 37.5 C, chg -3
135504 .VIX Jan 16th 24.0 C, chg -308
132670 .VIX Jan 16th 15.0 P, chg +292
131605 .VIX Jan 16th 16.0 P, chg +3575
124540 .VIX May 22nd 37.5 C, no chg
122430 .VIX Jan 16th 25.0 C, chg -3957
121452 .VIX Mar 19th 40.0 C, chg -286
121369 .VIX Feb 13th 30.0 C, chg +29260
116491 .VIX Jan 16th 19.0 P, chg +2240
116019 .VIX Jan 16th 20.0 P, chg +3823
Total 8.63m (6.41m Calls, 2.22m Puts)
HOT VIX OPTIONS
TODAY
FEB RR/STRANGLE?
POTENTIALLY CLOSING?
15000 VIX Feb 13th 45.0 Calls $0.12 (FT Theo=0.09) EDGE=0.03 ASK
CBOE 09:39:32.942 IV=136.3% -0.9 CBOE 59k x $0.05 - $0.15 x 62k
CBOE SPREAD VIX=20.25 Fwd 122%OTM Detail ContractHist
15000 VIX Feb 13th 16.0 Puts $0.27 (FT Theo=0.26) EDGE=0.01 MID
CBOE 09:39:32.941 IV=72.8% +3.6 CBOE 24 x $0.25 - $0.3 x 54k CBOE
SPREAD VIX=20.25 Fwd 20%OTM Detail ContractHist
11660 VIX Mar 19th 30.0 Calls $0.64 (FT Theo=0.63) EDGE=0.01 MID CBOE 10:56:38.471 IV=86.0% -0.6 CBOE 27k x $0.6 - $0.7 x 43k CBOE SPIM VIX=20.08 Fwd 49%OTM Detail ContractHist
VXX
40 - 4 PTS LOWER THAN LAST SHOW
TODAY - 121K
ADV - 273K
VXX TOP POSITIONS
203693 VXX Jan 10.0 P, no chg
82235 VXX Jan 15.0 P, no chg
70226 VXX Jan 5.0 P (Nonstd VXX2), no chg
65901 VXX Jan 33.0 P, chg +53
53317 VXX Jan 20.0 P, no chg
51873 VXX Jan 25.0 P, no chg
51826 VXX Jan 50.0 C, chg +14
47328 VXX Jan 30.0 P, chg -38
39767 VXX Jan 50.0 C (Nonstd VXX2), no chg
39578 VXX Jan 52.0 C, chg +22
39265 VXX Jan 40.0 P, chg +549
34849 VXX Jan 35.0 P, chg +92
33589 VXX Jan 18.0 P, no chg
32999 VXX Jan 31.0 P, no chg
32052 VXX Jan 32.0 P, no chg
32000 VXX Jan 28.0 P, chg -1
28451 VXX Jan 35.0 C, chg +8
28171 VXX Jan 27.0 P, no chg
28100 VXX Jan 60.0 C (Nonstd VXX2), no chg
26737 VXX Jan 37.0 P, chg -629
Total 2.41m (1.06m Calls, 1.35m Puts)
VXX TOP
TRADES
4829 VXX Jan 39.0 Puts $0.80 (FT Theo=0.81) EDGE=0.01 ASK [MULTI]
11:45:32.979 IV=59.4% +0.7 CBOE 204 x $0.79 - $0.8 x 1167 ISE
VXX=40.13 2%OTM Detail ContractHist
2430 VXX Jan 59.0 Calls $0.03 (FT Theo=0.01) EDGE=0.02 BID [MULTI] 12:23:07.285 IV=123.2% +11.1 AMEX 1822 x $0.03 - $0.04 x 1029 GEMX VXX=39.82 Ref 48%OTM Detail ContractHist
SVXY
46 - UNCHD FROM LAST SHOW
VOLATILITY
VOICEMAIL
*QUESTION FROM JLVC: What’s the vol crew predicting for 2019?
*QUESTION FROM JT: Any new year's resolutions for vol traders?
*QUESTION FROM TONTAN: So is the short vol, vix trade dead? Should we all just buy vix or vxx calls?
*QUESTION FROM E5L4: Not looking good for the 200k jan 10 puts in VXX.
*QUESTION FROM LROCK3: Is there an update on spikes launch?
CRYSTAL
BALL
WHERE WILL VIX BE THIS WEEK?
WINNER - MARK L. with 19.25?
LOSER - The Greasy Meatball with 17.50?
WHERE WILL VIX BE NEXT WEEK?
MARK: 19.25
GUEST: 17.5
AASH VIX CLOSE 2019 PREDICTION IS 22