Volatility Views 264: Winter Is Coming
from Volatility Views
Volatility Review: A look back at the week from a volatility perspective. The Numbers: VIX Cash - 9.58, VVIX - 76 VXN - 14.36, CBOE Skew Index - 130 VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts) Russell's Weekly Rundown: Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread? "Hedge" Short OTC Vol Bullish Volatility Spec Someone had $1.2M to burn "Hedge" Equity Portfolio Volatility Voicemail: Listener questions and comments Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short. Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make? 41% - Buy $MSFT Straddle 3.5% 28% - Buy $EBAY Straddle 7% 21% - Sell $MSFT Straddle 3.5% 10% - Sell $EBAY Straddle 7% More questions and comments: Question from Avery Thompkins & HSchwartz - Russell any progress on creating a VIX calc spreadsheet? Question from Ballen - What is your take on this article? Time to Stop Calling the VIX the "Fear Index" Question from MMouse - Check out this chart. Short volatility for the win! Why would you buy VIX? Crystal Ball: Wild and reckless prognostication Last week: Mark L. - 10.25 Ghost of Russell - 13.74 Andrew - 9.99 Guest - 9.75 This week: Mark L. - 10.25 Russell - 9.76 Mark S. - 10.04
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