Published: July 24, 2017, 4:46 p.m.
Volatility Review: A look back at the week from a volatility perspective.
The Numbers:
- VIX Cash - 9.58, VVIX - 76
- VXN - 14.36, CBOE Skew Index - 130
- VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts)
Russell's Weekly Rundown:
Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread?
- "Hedge" Short OTC Vol
- Bullish Volatility Spec
- Someone had $1.2M to burn
- "Hedge" Equity Portfolio
Volatility Voicemail: Listener questions and comments
- Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short.
Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make?
- 41% - Buy $MSFT Straddle 3.5%
- 28% - Buy $EBAY Straddle 7%
- 21% - Sell $MSFT Straddle 3.5%
- 10% - Sell $EBAY Straddle 7%
More questions and comments:
- Question from Avery Thompkins & HSchwartz - Russell any progress on creating a VIX calc spreadsheet?
- Question from Ballen - What is your take on this article? \xa0Time to Stop Calling the VIX the \u201cFear Index\u201d
- Question from MMouse - Check out this chart. Short volatility for the win! Why would you buy VIX?
Crystal Ball: Wild and reckless prognostication
Last week:
- Mark L. - 10.25
- Ghost of Russell - 13.74
- Andrew - 9.99
- Guest - 9.75
This week:
- Mark L. - 10.25
- Russell - 9.76
- Mark S. - 10.04
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