Volatility Views 238: VIX Mullets vs. VIX Tellums

Published: Jan. 17, 2017, 4:20 p.m.

Volatility Review: A much quieter start to 2017 than 2016 so far.

  • VIX Cash - 11.54
  • VVIX - 90.5
  • VIX Futures: Front month premium to cash: < 1; Two-month premium to cash: 2.70
  • Expect 2017 to be more volatile than last year.
  • VIX Options: A heavy volume week - ADV: 554k; Total 7.5M (5.7m Calls, 1.8m Puts)
  • Oil Volatility: OIV/OVX - 29.87

Volatility Voicemail/QuestionOfTheWeek:

$VIX hit a high of 28 last year. How high will $VIX get in 2017?

  • About the same (27-29)
  • Slightly Lower (24-26)
  • Slightly Higher (30 - 33)
  • Much Higher (Above 33)
  • Listener Question from ChilliBill: The fed report from the last show was pretty damning. Any other secret studies on Volcker and Vol lurking out there?

Crystal Ball: Wherein the hosts prognosticate on where the VIX will close.

Last week:

  • Mark L. - 11.5
  • Russell - 10.99
  • Mark S. - 12.01

This week:

  • Mark L. - 12.25
  • Guest - 14.51
  • Mark S. - 11.5