Volatility Views 144: Talking Earnings Volatility

Volatility Review: A look in the week from a volatility perspective

• VIX Cash: High: 21.55, Low: 15.52
• S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers.
• VVIX: Thurs close: 100.70, Week range: 91.85-109.99
• VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts)
• VXST: Another week of anemic volume despite significant underlying movement.
• RVX: Still no appreciable volume.
• OIL: Another crazy week for oil. Saudi prince reiterates that "we will never see $100 oil again." OPEC Chief says this may be the bottom for oil.

Volatility Voicemail: Listener questions and comments

• Question from NINC - Hey Volatility Views guys. I know you have discussed the topic of earnings studies in the past, particularly as it relates to earnings straddles. You said there was not much research on the topic. Has the situation changed since that conversation? Has there been any new research on the topic? I know you discussed the possibility of doing such a study for this program? What is the status of that study? Please let me know when you release it as I would be very interested in the results. Thank you for this network. I am a regular listener of volatility views, options boot camp and the news rundown programs.
• Question from Andrew S - If you had to lean long or short going into every earnings cycle which way would you go? Me - I am tempted short but I am terrified about the blowout events.
• Question from Nitin Gulati - @OptionsInsider Funny how $GOOG moved today, apparently skew was bid up all day yesterday, so not a surprise.

Crystal Ball: Mark and Jared prognosticate wildly.