Volatility Views

Volatility Views 128: Gold Skew Palooza

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Volatility Views 128: Gold Skew Palooza

Vol Review:  An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range.

VIX options- hot strikes:

  • 281480 VIX Oct-14 16.0 Calls
  • 253852 VIX Oct-14 17.0 Calls
  • 248014 VIX Oct-14 20.0 Calls

    • Top trades:

    • 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times for $0.18. Paper buys 5k DEC 25 calls for $0.67.

      • VXST Top OI Positions:

      • 1000 VXST 10/1 12.0 Puts
      • 800 VXST 10/1 25.0 Calls
      • 500 VXST 9/24 14.0 Calls

        • Gold/metals vol: Gold skew looking somewhat steep to the downside.

        Volatility Voicemail: Listener questions and comments

         

        • Question from John King ‏@jking321 - Could you do a show with an in-depth discussion on LiveVol vs IVolatility vs? Costs/benefits over std broker data etc. Thanks!
        • Question from Indy04 - This might be a strange question but does implied volatility always exist? Are there options out there that essentially trade at their realized volatility level or some other type of riskless rate? Keep on rolling with the show. I love it. Big fan of the network. 
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