May 18, 2015

Volatility Views 158: Is VIX Without Contango Even Possible?

Listen Later

1 hour

Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Review: A look back at the week in vol

VIX Cash: High: 15.13 - Low: 12.41

VVIX: 82.12

S&P 30-day realized Vol: 10

VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts)

Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total.

Crude Oil: Crude bears are starting to show their claws again.

OVX 31.67 - OIV 32.18

This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years.

Volatility Voicemail: Listener questions and comments

Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long time and come to the conclusion that delta-neutral is the best way to capture volatility in the marketplace right now. But I do not want to tie up all of my capital and all of my time managing and adjusting one trade. I would prefer to buy or sell something that handled the lion’s share of the work for me. If there was some slippage on the execution I could live with it as the ultimate cost of using a packaged product vs. doing it myself. Thoughts? Am I crazy? I would love to get the old VolX guys opinion on this as well if possible since I assume they have insight into this issue.

...more

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Volatility Views

By The Options Insider Radio Network

4.2

1717 ratings

May 18, 2015

Volatility Views 158: Is VIX Without Contango Even Possible?

Listen Later

1 hour

Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Review: A look back at the week in vol

VIX Cash: High: 15.13 - Low: 12.41

VVIX: 82.12

S&P 30-day realized Vol: 10

VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts)

Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total.

Crude Oil: Crude bears are starting to show their claws again.

OVX 31.67 - OIV 32.18

This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years.

Volatility Voicemail: Listener questions and comments

Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long time and come to the conclusion that delta-neutral is the best way to capture volatility in the marketplace right now. But I do not want to tie up all of my capital and all of my time managing and adjusting one trade. I would prefer to buy or sell something that handled the lion’s share of the work for me. If there was some slippage on the execution I could live with it as the ultimate cost of using a packaged product vs. doing it myself. Thoughts? Am I crazy? I would love to get the old VolX guys opinion on this as well if possible since I assume they have insight into this issue.

...more

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