Volatility Views 120: Breaking down Earnings Straddles

Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions

• 245,725 .VIX Aug-14 15.0 calls
• 241,232 .VIX Aug-14 16.0 calls
• 238,364 .VIX Sep-14 19.0 calls

Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable following recent volatility hovering around 14%.

Volatility Voicemail: Listener questions and comments

• Question from Nick Snow - Figured this would be a good place or at least the right place for this question. What is implied vol? I mean to ask for a stock we just get one number but every strike has a different IV so when we get one is that the average of the smile or is it the ATM straddle vol? Seems like I should know this if I am trading it.
• Question from Mr. Higgins - Dear volatility viewers - the Proshares Ultrashort VIX (UVXY) hit a low in June. I though the spread between VIX cash and UVXY would continue to expand, but UVXY seems to have leveled out. What is your analysis of the trading relationship between these two products? Are they reliable spreading candidates? I am not much for futures so I would probably stick with straddle in each to capture the divergence. Thanks for the program - please give my regards to Don.