Volatility Views 146: Betting on Fed Volatility
Volatility Review: A look back in the week from a volatility perspective
- VIX Cash: High - 19.28, low - 15.26
- S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94
- VVIX: Thursday Close - 93.24
- VIX Options: 700K contracts on Feb 12, for a strong up day for the market. Total 5.36m (3.28M calls, 2.08M puts).
- Extended VIX Options trading hours start March 2.
- Upcoming launch of RealVol SPY Options on BOX - good news for our former co-hosts.
- VXST: Current open interest: 3 contracts.
- RVX: Current open interest: 58 contracts.
- International Volatility Review: RVI - Russian Volatility Index
- OIL: WTI March futures are back above $50, after dipping below it again. OVX still hovering near $60, 6-month chart of OVX is pretty impressive.
Volatility Voicemail: Listener questions and comments
- Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the “lone market participant” is appreciated. Sorry I set off the racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice).
- Question from Tim Biggs - Any data on that theta free approach to earnings? What percentage of decay occurs prior to the event vs. post-event and how does that compare to underlying movement during the period?
- Question from George - This may seem like a silly question but does anyone go out and look at old VIX cash data from 30 days ago and compare that to current realized? Is that not what VIX cash is attempting to predict? Is that disseminated anywhere as a number or index? Something along the lines of a VIX Accuracy Index?
- The Wager:
- Comment from Tom Statton - I think both co-hosts should buy Mark a steak regardless of the outcome for featuring them on this fantastic program. Well done Mark. I would buy you one as well if you ever make it to Alberta.
- Comment from Mark A - No way Fed raises this year. When he loses, I think Jared should fly to Chicago and host a cocktail party for all Volatility Views listeners. I would happily allow him to buy me some tasty beverages.
- Comment from SylvanElph - Regarding the Fed Bet - It is a radio program so the co-hosts cannot wear embarrassing outfits. Maybe buy the other a pizza of their choice? So Jared would have to buy Mark (and Mark) a nice Chicago deep dish and Mark would have to buy Jared a tasty NYC thin crust. Or New Haven style. Whatever his preference.
- Comment from Jeremy Stevens - I think the Fed will have to adjust their rates before the close of 2015. They are too terrified of inflation and stagflation to sit on their hands. Not sure why a blip in CHF in early 2015 would set the tone for Fed policy at the end of 2015? Maybe Mark can elaborate? As for the wager - How about the loser gives away 5 free subscriptions to his services to VV listeners? So Jared can give away some BGC Research and Mark can offer his Option Pit subscriptions.
Crystal Ball: Mark and Mark prognosticate wildly.
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