Volatility Views 248: International Volatility Explosion

Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI. VIX Cash - 13.12 VVIX - 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007. CBOE Skew Index - 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17. VIX Futures - Front month: .9, Two Month: 1.4 VIX Options: Mon - 785k, Tues - 1.6M, Weds - 917k, Thurs - 512k, ADV - 637k. Total 8.09m (5.77m Calls, 2.32m Puts) VIX Call/Put: 2.5 / 1 OIV/OVX - 29.85 GVZ - 12.58 TYVIX - 4.37 Volatility Voicemail: Listener questions and comments Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so? Crystal Ball: Wild and reckless prognostication Last Week: Mark L. - 10.65 Mark S. - 10.90 Russell - 11.11 This Week: Mark L. - 12.50 Mark S. - 12.00 Russell - 12.80 Ricardo - 13.50