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

• VIX Cash: Spiked over 14 this week thanks to Yellen & Co.
• What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92.
• Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch.
• VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week.
• VVIX: 85.43

Russells Weekly Rundown

• Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts)
• Earnings Volatility: HPQ
• Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike.
• Crude Oil: USO = 10.95
• OIV/OVX: 37: Less than half of peak levels back in Feb.
• USO Skew: Still bid toward the puts, with the exception of Jan 17.
• Gold

Crystal Ball: Where will the VIX close?

This week:

• Russell - 11.90
• Andrew - 12.10
• Mark L. - 11.50