December 15, 2014

Volatility Views 139: Getting Angry About Volatility

1 hour 2 minutes

Volatility Review: The week in volatility:

VIX Cash: Low - 12.55, High - 21.09

VIX Options: Total 6.66M (4.35M calls, 2.31M puts)

VXST: Total 7,746 (5,185 calls, 2,561 puts)

Oil Volatility: USO vs. XLE - Traders hedge oil ETF while energy stocks lure buyers.

Volatility Voicemail: Questions and comments from our loyal listeners

Question from CPunk - Hello Volatility Gurus! Long time, first time. Love your discussions of all things volatility, particularly your breakdowns of the different products. I listened to your episode with Scott Nations recently and it got me thinking about how most volatility products appear to be very flawed. VIX has obvious issues and the Voldex product does not appear to solve many of them beyond eliminating skew. The various ETPs all have very well-known issues as well. If I had to think of an ideal volatility product, it would probably be something along the lines of what your former sponsors VolX promoted - a product that essentially captures the actual volatility in the marketplace. I am not familiar with the underlying mechanics of their product to analyze it, but I think we need more products in that vein, that attempt to deliver the actual volatility in the marketplace versus some vague guesstimate that is probably wildly inaccurate. Do you agree? If you could construct your ideal volatility product, what would it be?

Crystal Ball: What do we expect to see in the last few weeks of 2014?

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