BROADCASTS.com

Volatility Review: A look back at the week from a volatility point-of-view\xa0

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• VIX Cash: Low: 12.33 - High: 15.29
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• VIX Options: Another modest volume week.
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• 75k May 20 calls purchased Wednesday for $.40.
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• Paper buying June 23 puts for $.15.
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• June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
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• Total 6.14m (4.39m Calls, 1.75m Puts)
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• Options volume slid in first quarter.
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• Volatility cycles and stock trends.
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• International Volatility: India VIX caps monthly advance as futures rollover below average.
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• Crude Oil: OVX - 36.09, OIV - 36.95
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Volatility Voicemail: Listener questions and comments

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• Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
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• Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?
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• Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?
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Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather \u201cmeh\u201d lately, with people selling vol into non-farms. What\u2019s the outlook for this week?