Volatility Views 255: The Myth of VIX 50-Cent

Volatility Review: A look back at the week from a volatility perspective VIX cash: 14.66 VVIX: 104.12 Ten biggest $VIX rallies and what $VIX did the following day Question from @FContangotrader: How many % $VIX went up today? #%of% CBOE SKEW Index:137 The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday VIX options: ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K VIX call/put: 3.1/1 Hot VIX strikes 308315 .VIX Jun 21st 30.0 C, chg +4261 274854 .VIX Jun 21st 35.0 C, chg +521 261116 .VIX Jun 21st 20.0 C, chg +22016 256652 .VIX Jun 21st 15.0 C, chg +61381 207375 .VIX Jun 21st 19.0 C, chg +36896 182527 .VIX Jun 21st 16.0 C, chg +21143 165518 .VIX Jun 21st 25.0 C, chg -17814 161130 .VIX Jun 21st 18.0 C, chg +7305 153348 .VIX Jun 21st 17.0 C, chg +4539 139338 .VIX Jun 21st 11.5 P, chg +8819 Total 6.77m (5.13m Calls, 1.64m Puts) Earnings Volatility GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8% BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 - $6.72; close $121.35 - UP .5% WMT: close $75; ATM straddle $2.25; approx 3%; high $77.66 Volatility Voicemail: Listener questions and comments Question from Vtrader168: Considering that there is large Vol jump Wednesday without major event, and the market recovery is not that strong, is it an indicator that the period of the extremely low VIX is over, and VIX return to "normal-low" level? Question from Volbug: Hi. This is for Volatility Views: Thanks for the show Marks and Russell. You mentioned that implied vol is often more than realized vol. Does the time frame of the option, impact that calculation? For example 1 monthly option is cheaper that 4 weekly options. Thanks. Crystal Ball: Wild prognostication Last Week: Mark L. - 10.25 Russell - 11.25 Henry - 9.90 This Week: Mark L. - 10.75 Mark S. - 11.05 Russell - 12.26