Volatility Views 197: Holy Vol Crush

Published: March 21, 2016, 7:57 p.m.

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84.

Russells Weekly Rundown:

  • VIX Options: A fairly strong volume week.
  • Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m calls, 1.28m puts)
  • Crude Oil: OIV/OVX - 46, about 49 today, almost touched 80 back in mid-February, multi-year high.
  • Gold: GVZ 18 - well off recent highs. GVZ - peaked around 28 back in mid-February - last hit these levels in June 2013 - so nearly 3-year high.

Volatility Voicemail: Listener questions and comments

  • Question from George K. - What is the thought process regarding the new SPYIX and hedging? Can you hedge it with VIX Futures?
  • Question from BJLane - VIX vs. RVX - Which performs better for call verticals? Which pops better when it hits the fan?
  • Question from Jacro - Why no volume in RVX?

Crystal Ball: VIX Predictions:

  • Russell - 15.5/8
  • Mark S. - 14.25
  • Mark L. - 15