Volatility Views

Volatility Views 181: Earnings Strangles & Volatility Failures


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Today, Mark is joined by:

  • Mark Sebastian, from Option Pit
  • Russell Rhoads, Senior Instructor, the Options Institute
  • Kevin Nichols, Director, CBOE LiveVol

Volatility Review: A look back at the week from a volatility perspective, including:

  • Non-farm numbers and the resulting market reaction
  • Bifurcated earnings season
  • A less volatile VIX?
  • SKEW index
  • Earnings crush
  • VIX weekly options
  • Is there a new 12 for VIX?
  • Put love in VIX-land
  • Mark S. extrapolates VIX weekly trading for the past seven years
  • Earnings! The force is strong with DIS.
  • Crude: WTI Skew

Volatility Voicemail: Listener questions and comments

Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse?

Question from Pick6: Are there too many VIX-related products? Have any of them ever failed?

Crystal Ball: Earnings season! What will the Fed do in December?

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