September 08, 2015

Volatility Views 172: The VIX Futures Conflagration

56 minutes

Volatility Review: A look back at the week in volatility

VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession.

VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places.

VIX Options: Sept. 1 - 1.5M Contracts, Sept. 2 - 791K Contracts, Sept. 3 - 1.1M Contracts

VelocityShares Daily Inverse VIX Short-Term ETN (XIV) has accumulated $1.1 billion in net inflows, according to ETF.com.

VXY: Additionally, over the past two weeks, the ProShares Short VIX Short-Term Futures ETF brought in $540.3 million in net inflows and now has $599.9 million in assets under management.

Crude Oil: Crude market full of volatility and uncertainty.

Volatility Voicemail: Listener questions and comments

Comment from Mark Brant - Thanks for sharing the VIX 1x2 call swap roller trader and repeating it until we get it! A super great VIX strategy!

Question from Jay G. - Is the interest in VIX options mostly institutional, or is retail there too?

Question from Peter R. - Mark, thanks for doing the free webinar. Trying to educate myself regarding VIX. Please answer why if there is backwardation in the VIX term structure is the VXX not trading close to 3 times higher than the VIX? Thank you.

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