November 16, 2015

Volatility Views 182: The Yellen Finger Premium

1 hour 1 minute

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

VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19

VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\

VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts)

Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5%

Gold - GVZ this week: 18.47, GVZ last week: 17.69

Crude Oil - OIV: 43.14, OVX: 43.93

Volatility Voicemail: Listeners have their day

Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so why are the spreads so wide? Do you think it is worth the approximately 33% increase in cost to trade a weekly vs. a standard monthly? Thanks for the show. Keep up the good work sirs and welcome aboard to russell.

Question from Pick6 - When a takeover is announced does the volatility (time value) of farther out options erode or go away?

Crystal Ball: Earnings season is in full swing. Fed on the horizon in December.

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