March 30, 2015

Volatility Views 152: Tales from the Front

1 hour 4 minutes

Volatility Review: A look back at the week in vol

VIX Cash: Low: 12.89 - High: 17.19

S&P: Skew Index: 122.86

VIX Futures: Stories from the front

Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date – it was one day early. Apparently this professional trader had a position of over $100M. Apparently the wrong expiration date had been posted for several months. He won an award for over $2m at a FINRA panel behind closed doors.

My questions: What is your reaction? If you are a VIX Futures trader do you typically hold your position over days/months or do you close out at end of day? It seems also possible that if the wrong expiration date was published, a VIX Futures traders could also come out ahead on the positive side of the balance sheet? What is your take on VIX Futures?

VIX Options: April 50 calls still open - someone is quite optimistic about April Vol. Total 4.49m (3.03m Calls, 1.46m Puts)

International Vol Review: More from the Russians?

Crude Oil: Call option trades target return of $100 US crude oil.

Volatility Voicemail: Listener questions and comments

Question from Charlie C - Hey Vol Viewers. OIV and OVX both hovering around 50 - which has the best chance to pop?

Question from Mark - Liked the discussion about the structural volatility of the market from the last episode. Allow me to pose a related thought question to you. Mark Longo stated on the show that it would take “world peace and perfect harmony in the markets” to get the VIX below 5 for any substantial period of time. But what if the S&P were to double or even triple in value? According to the skew curve wouldn’t that bring us down into a VIX in the single digits? Perhaps even below five? Probably more feasible than world peace. Good show. I have to side against Jared in the Fed wager. The odds of a raise this year don’t look very good. If I throw my hat into the ring can I get in on the inevitable steak party that Jared will be throwing in Chicago? I like my T-bone medium rare please.

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