Volatility Views 181: Earnings Strangles & Volatility Failures

Published: Nov. 9, 2015, 9:23 p.m.

Today, Mark is joined by:

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

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  • Non-farm numbers and the resulting market reaction
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  • Bifurcated earnings season
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  • A less volatile VIX?
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  • SKEW index
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  • Earnings crush
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  • VIX weekly options
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  • Is there a new 12 for VIX?
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  • Put love in VIX-land
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  • Mark S. extrapolates VIX weekly trading for the past seven years
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  • Earnings! The force is strong with DIS.
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  • Crude: WTI Skew
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Volatility Voicemail: Listener questions and comments

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Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse?

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Question from Pick6: Are there too many VIX-related products? Have any of them ever failed?

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Crystal Ball: Earnings season! What will the Fed do in December?

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