Published: Sept. 26, 2016, 3:35 p.m.
Volatility Review: A look back at the week from a volatility perspective
- VIX cash:
- Janet & Co. crushed vol. VIX cash back in the toilet, but futures are still rich
- 30-day HV: 11
- 30-day IV: 10
- VXX: Futures setting up for a VXX implosion
- VVIX: at 89, or 20 handles lower than last week
- Russell's Weekly Rundown:
- 1000-lot VIX weekly trades creates a synthetic VIX collar
- Two-way action in the VIX Sep28 13 calls
- The week in VIX volume:
- Monday: 546,000
- Tuesday: 661,000
- Wednesday: 727,000
- Thursday: 751,000
- Crude
- OIV/OVX: 40. Same as last week
- Gold
- GVZ: 13.73. Close to a 52-week low
Volatility Voicemail: Listener questions and comments
- Comment from Jim Investor: Shortsighted market over focused on Yellen. Soon they eye Trump widening lead in battleground states
- Comment from John King: Since #SPX has 15+ "non-standard" expirations/month VS 1 "standard" -isn't it time @CBOE truly standardizes the monthly?
- Comment from Mark Brant: Sell VIX 2M CV (X+5) (X+9) daily thru settlement (regression). X=ATM. Risk 1% $4 daily. Sold today's SPX IB wide 4X every 10 points today! Dailies rock!
- Comment from ThinkTankTrading: all right,- first my question gets on volatility voice mail, Next the world muhahahaha evil laugh.
Crystal Ball: In which the VIX giveth and taketh away
Last week:
- Mark L. - 11.75
- Mark S. - 12.50
- Russell - 12.99
This week:
- Andrew - 12.25
- Russell - 13.40
- Mark L. - 11.60