Volatility Views 244: The Vibrant Asian Warrant Scene

Published: Feb. 27, 2017, 7:57 p.m.

Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA.

He discusses:

  • His background in the volatility space
  • Which products did he trade?
  • The Hong Kong volatility scene
  • What does True Partner Capital do?
  • What does True Partner Capital trade?

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

  • VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week.
  • CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20.
  • VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week.

Russell's Weekly Rundown:

  • VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts)
  • OIV/OVX: 25.52, oil volatility continues to be crushed.
  • GVZ: 13.68, also continues to erode.
  • TYVIX: 5.29

Volatility Voicemail: So many questions

Options #QuestionOfTheWeek: $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?

  • It wont break 10 again
  • Between 9-10
  • Between 8 - 9
  • Below 8
  • Question from Fksthlm: VSTOXX vs VIX Frexit risk: your view on this in today's show would be very interesting!

Crystal Ball: Wild, reckless prognostication

Last week:

  • Mark L. - 10.45, Mark S. - 10.85, Russell - 11.75

This week:

  • Mark L. - 11.25, Mark S. - 11.50, Russell - 12.34, Tobias - 12.65