June 23, 2014

Volatility Views 116: The Mystery of Gold Volatility Futures

59 minutes

Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew predicted this not too long ago. Top OI Strikes: July 13 Put - 416K, July 16 Call - 385K, July 20 Call - 371K & Sep 19 Call - 261K. RVX: OI still hovering around 5K contracts.

Janet Yellen torpedoed a key catalyst for market volatility, characterizing the recent inflation data as "noisy". GVZ jumps 20% in one session. Oil volatility returns on Iraq fears. Currency volatility plummets.

Volatility Voicemail: Listener questions and comments

Question from J. Ingraham: loved the discussion of GVZ on the network this week. I’m very intrigued by this product. Like Mark said, GLD and VIX should be two great tastes that taste great together. Yet this product does no appreciable volume. I’ve tried to trade this several times but the lack of volume and terrible spreads kept me out of it. Why do you think GVZ has essentially failed as a trading product?

Question from Cigar Store Indian: Great show. Thanks for breaking down the problems with volatility ETFs like VXX. I’ve dumped that product from my portfolio after listening to your program. Thanks for helping me dodge a bullet on that one. I also have a question about another ETF product GLD. This product doesn’t seem to have the same issues with regards to term structure. Am I correct in the estimation that this product is safe to buy and hold in my portfolio for longer than a few hours?

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other volatility products.

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