July 20, 2015

Volatility Views 166: Kicking the VIX Can with Typhon

59 minutes

Volatility Review: Today's guest is Mike Thompson, Typhon Capital

VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history.

VVIX: 85.55 - Back at the low end of recent range.

VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally!

VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts)

Oil: After some brief signs of life, oil volatility continues to erode.

Volatility Voicemail: Listener questions and comments

Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product?

Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

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