Volatility Views 202: The Flim Flammery of Volatility

Published: May 2, 2016, 8:37 p.m.

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

  • VIX cash: Creeping back up - a crazy day, almost all of ourpredictions were valid today.

Russells Weekly Rundown:

  • VIX Options: A light volume week overall - only on day evenremotely exceeding ADV. Lots of put love on Friday: Total 7.26m(5.41m Calls, 1.85m Puts)
  • Earnings Volatility: A bad time for premium sellers. Most ofthe major names reporting the past few weeks have blown throughtheir straddles - AAPL, MSFT, GOOG, FB, AMZN

Volatility Voicemail: Listener questions and comments

  • Comment from Mark Melin - @RussellRhoads Talk about"anticipatory" nature of VIX futures. I have known several fundmanagers to play this as mean reversion
  • Comment from John K. - One of the Tyler Durdens @zerohedge is a\u201cCredit Derivatives Strategist\u201d @Options: Discuss.
  • Question from R_Chang - The VIX is hovering at 2016 lows. Isthis a good time to buy VIX calls to profit from a potential roarback into the 20s or beyond?

Crystal Ball: It's time for everyone's favorite game "Where willthe VIX close?!"

Last Week:

  • Russell - 16
  • Mark S. - 13.5
  • Mark L. - 14.5

This Week:

  • Russell - 18
  • Andrew - 15
  • Mark L. - 15.5