Jun 9, 2014
Volatility Views114: The VIX Is Dead. Long Live the VIX.
Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap?
VIX and VXST options. New volatility ETFs launch. Gold volatility hits 14-month low.
Volatility Voicemail: Listener comments and questions.
- Comment from Angelthorn - Great show last week guys! Finally people not afraid to stand up to the "VIX is cheap" hype machine and back it up with some data. I am join to sell some Vol in your honor.
- Question from George - I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF is a better indicator to make sure where the SPY and indeed most assets are headed. How do you use these indicators together for your work? I would use other indicators too, such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George
- Question from TheAnalyst - I was able to track down a copy of recent BGC research notes through a colleague. I found a comment in the most recent research note, surprising given recent statements to the contrary on Volatility Views. “The one month implied volatility of VIX options as measured by VVIX was featured in our last Volatility Tracker update, and the estimate remains near record lows. Given this discount, VIX options still look more attractive for equity portfolio hedgers than e.g. at the money SPX or SPY puts.” It was my impression from the last episode that the panel, particularly both hosts named Mark, took a dim view of VIX as a hedging tool. Yet the most recent BGC research appears to recommend them. I very much enjoy this program and hope you can shine some light on this discrepancy for me.
Crystal Ball: An outlook for VIX, RVX VIX ETPs and other volatility products.