Podcasts Business Volatility Views Volatility Views 194: CDS / VIX Correlation

Volatility Views 194: CDS / VIX Correlation

Published: Feb. 29, 2016, 9:27 p.m.

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost.

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Russells Weekly Rundown:

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  • Wednesday weeklys!
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VIX Options:

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  • Fairly light volume week.
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  • Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k.
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  • Total 5.55M (3.89M calls, 1.66M puts)
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Even more CBOE studies!
Crude Oil
Recent rumors of supply action driving crude.
Volatility remains on low end of recent elevated range. OIV/OVX - 67.
Gold: GVZ 23.36 (elevated)

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Volatility Voicemail: Listener questions and comments:

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  • Options Question of the Week: No love for more options exchanges - Twitter poll has 60% of respondents saying "Heck no to more exchanges!!!"
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  • Question from George T. -\xa0What is the longest stretch of backwardation in VIX history?
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Crystal Ball: Vol Predictions: Russell - higher than everybody - above 25. Mark S. - low 20s. Mark L. - 23