Volatility Views 178: The Primordial History of Volatility Skew

Published: Oct. 19, 2015, 8:05 p.m.

Volatility Review: A look back at the week from a volatility perspective.

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  • VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days
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  • Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer
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  • VIX Weeklies: Another robust volume week.
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  • VIX Options: VIX Nov 25-30 Call spread papa buys about 7k. Paper "buys" 15K Nov 15 puts. Total 9.58m (6.23m Calls, 3.35m Puts)
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  • Crude Oil: OIV - 42.28, OVX - 41.99
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Volatility Voicemail: Listeners have their say.

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  • Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.
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