May 04, 2015

Volatility Views 156: VSTOXX vs. VIX

Listen Later

52 minutes

Volatility Review: A look back at the week from a volatility point-of-view

VIX Cash: Low: 12.33 - High: 15.29

VIX Options: Another modest volume week.

75k May 20 calls purchased Wednesday for $.40.

Paper buying June 23 puts for $.15.

June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.

Total 6.14m (4.39m Calls, 1.75m Puts)

Options volume slid in first quarter.

Volatility cycles and stock trends.

International Volatility: India VIX caps monthly advance as futures rollover below average.

Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?

Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?

Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?

...more

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Volatility Views

By The Options Insider Radio Network

4.2

1717 ratings

May 04, 2015

Volatility Views 156: VSTOXX vs. VIX

Listen Later

52 minutes

Volatility Review: A look back at the week from a volatility point-of-view

VIX Cash: Low: 12.33 - High: 15.29

VIX Options: Another modest volume week.

75k May 20 calls purchased Wednesday for $.40.

Paper buying June 23 puts for $.15.

June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.

Total 6.14m (4.39m Calls, 1.75m Puts)

Options volume slid in first quarter.

Volatility cycles and stock trends.

International Volatility: India VIX caps monthly advance as futures rollover below average.

Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?

Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?

Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?

...more

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