Volatility Viewpoint: Today's guest is Tom Lee, Managing Director at Investment Strategy and Research at Parametric.

He discusses:

• What is Parametric?
• Who are their customers?
• What do they trade?
• Harvesting risk premium
• VIX: Is it rigged?

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

• VIX Cash - 12.53
• VVIX - 90.5
• VIX Options - ADV: 592k, VIX call/put: 2.8/1, Total 6.67m (4.94m Calls, 1.72m Puts)
• VXX - 33.81

Volatility Voicemail: Options question of the week

Holiday Weekends are notoriously tough for VIX traders. The markets love to crush Volatility going into these events. So we thought we'd poll the savvy VIX traders in our audience - where do you think VIX will OPEN on Tues 5/29?

• Here: 12-14
• Higher: 14-16
• Lower: 10.5-12
• Much Higher: >16

Listener questions and comments:

• Comment from James1 - I took a flyer on a couple hundred VXX Jan 10 puts for .03 after learning about them on your shows. Seems like I'm not alone as a few hundred thousand others appear to have joined the party. It's a fairly cheap roll of the dice on long term VIX erosion without massive risk or expense.
• Question from Malik - VXX puts to spec on contango in VIX futures makes sense to me. Do you think it's worth it to have a few VXX OTM call spreads in the back pocket as well to help protect or spec on a few reversals that buck the long-term trend? Or is it just wasted money on anything bullish VXX?
• Question from TGeek -Thx for the show. Can you include a breakdown of OTC variance swaps on an upcoming episode?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -13.25
• Mark S. - 12.75

This week:

• Mark L. - 12.95
• Mark S. - 13.50