Volatility Views 127: Diving Into Treasury Volatility

Volatility Review:

• VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike.
• VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio - 3.8/1
• VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol VXTYN) beginning on Thursday, November 13, pending regulatory review. Metals, Energy and International vol.

Volatility Voicemail: Listener questions and comments

• Question from Victor C - Do you think the failure of VXST has to do with the product being too much vol of vol for most people? Is it just too wild of a product for the mostly institutional VIX crowd?
• Question from Señor Pablo - Thanks for the show Mark, and please say Hi to Jared and Andrew for me. You guys have mentioned some of the VIX competitors in the past. It looks like we will probably get at least one of them, if not both this year. Which one, if any, do you think has the best chance in the marketplace?
• Question from AltasSmirked - What is a reasonable skew level for the SPX? At what level should I be looking to buy puts? Where should I be thinking of selling them?

Crystal Ball: Wild volatility prognosticating is in the house.