Volatility Views 148: What Color Is the Dress?

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

• VIX Cash: Low: 12.86, High: 15.48
• Skew Index: 126.20
• The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9.
• VIX Options: Total 4.38m (2.98m Calls, 1.40m Puts)
• VIX term structure hits CBOE earnings
• International Volatility Review
• Crude Oil: Volatility returning to oil.

Volatility Voicemail: Listener questions and comments

• Question from Jordan M. - Do you have any updates on the volatility ETF from Robert Whaley that proposes to eliminate the roll yield issues with VXX? Is it coming to market any time soon?
• Question from Smile Creators - Hello, big fan. Thanks for the great shows. Is there a study that tracks Implied vol vs Historical vol? I am interested to see when they are following the same pattern or they deviate. Pakapiko.
• Question from Mr. Bochco - Where do you guys fall on the great 252 vs 365 debate when analyzing volatility? I have heard arguments for both. At the end of the day does volatility not occur even on the weekends and holidays?

The Wager:

• Comment from AvonDude - Recent comments from the Fed this week seem to reinforce Marks stance on rates. Whomever wins the wager should buy the other guy a bottle of the fine liquor of their choice.
• Comment from Mike S. - Not looking good on the Fed front. I probably have to fall on the no change side of the fence after this week. I do not remember which host wagered on what but I would like to see the losing host make a donation to the other host’s favorite charity. That way everyone wins.
• 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 o\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: Andrew and Jared prognosticate wildly. VIX cash to below 13?