Volatility Views 237: Surprise Fed Study on Systemic Volatility

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for the year. Russells Weekly Rundown VIX Options: ADV: 544k A fairly light volume week to kick off the new year. Total 5.9M (4.4m Calls, 1.5m Puts) What is the impact of the Volcker Rule of volatility? Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above 30. Volatility Voicemail: Pop quizzes, questions, and comments Happy New Year! First #QuestionOfTheWeek for 2017. Total #Options volume dropped 2% last year. How will 2017 #Options volume compare? About the Same (+- .5%) Modest Increase (up 1-2%) Modest Drop (down 1-2%) Big Change (+- over 2%) #Volatility Pop Quiz - New Years edition: The trillion dollar question - Where will $VIX close at the end of 2017? Below 12 Between 12-15 Between 15-18 Over 18 Listener questions and comments: Comment from Alaran: I think the 30 strike is popular each month simply because big insurance firms need to hedge themselves against calamitous market events. VIX > 30 = calamitous event in the eyes of many. Question from Julio: In the spirit of the new year, when are we going to get new VIX products? Especially Monday through Friday weekly VIX options? Crystal Ball: Looking into the future Two weeks ago: Mark L. - 11.25 Russell - 12 Ghost of Mark S. - 5.2 This week: Mark L. - 11.5 Russell - 10.99 Mark S. - 12.01