Volatility Review: Featuring guest co-hosts Kevin Davitt from the CBOE Options Institute and Matt Amberson from ORATS.

The market fear gauge could quintuple by Halloween, strategist warns

The numbers:

• VIX Cash - a high of 15.77 this week, VVIX - 117.77
• CBOE Skew Index - 142.73

Russell's (Kevin's) Weekly Rundown:

• VIX Options - ADV: 706k, VIX Call/Put: 3.6
• Total 10.6m (8.26m Calls, 2.37m Puts)
• OIV - 27.77, OVX - 28.94

Volatility Voicemail/TWIFO Flash Poll:

Which major index has experienced the largest % change in 30-day ATM #Volatility year-to-date?

• S&P 500
• Nasdaq 100
• Dow
• Russell 2000

Listener Questions and Comments:

• Question from Tosaw's client: I have an options question regarding VIX and I cannot seem to find the answer. Is there a way to determine the incremental change in an a SPY option price as the VIX moves? For example, if VIX moves 10% does that mean that the extrinsic value of the SPY option should be 10% more expensive? I checked the 30 day SPY option thinking that the IV of the option would map to VIX in some way, but clearly that is not the case (I could be looking in the wrong spot). I have seen qualitative examples of this, but not quantitative. Is there a formula? (Modified Black-Scholes?) Not sure if you are okay with me sending you questions, I can send this to the Option Block or Volatility Views if that is more appropriate. I would imagine you have many clients to deal with. Thanks
• Question from Richard D - I was wondering if Mark S or Andrew ever tried VXX/UVXY pair type trades, intra-day or longer? Meaning capturing fluctuations in the prices of VXX and UVXY via options by taking some put type spread in one and a call spread in the other when the ratio of the prices look out of whack? Or is this a trade the big financial firms already do thus there is no edge there?

Crystal Ball: Where do the hosts think VIX will close on Friday?

Last week:

• Mark - 12.55
• Andrew - 12.01
• Russell - 13.5
• Guest - 10.5

This week:

• Mark L. - 14.55
• Mark S. - 12.00
• Kevin - 18.25
• Matt - 14.30