Volatility Views 251: VIX Feedback Loops and the Great Erosion Debate

Volatility Views

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

• VIX Cash: 14.15
• VVIX: 94.53
• CBOE Skew Index: 146.85 +6.65 (+4.74%), getting rich again.

Russell's Weekly Rundown:

• VIX Options: Mon - 616k, Tues - 1.4M, Weds - 1.6M, Thurs - 752k, ADV - 712k
• VIX Call/Put: 3/1: Total 7.27m (5.45m Calls, 1.82m Puts)
• OIV/OVX - 28.26

Volatility Voicemail: Options #QuestionoftheWeek

Earnings are back with some juicy straddles reporting this week. Which is your pick for the most overpriced?

• $NFLX: ATM Straddle 8%
• $BAC: ATM Straddle 3%
• $EBAY: ATM Straddle 7%
• $ETFC: ATM Straddle 4%

Listener Questions:

• Question from Nizy - So I am confused. Per your VIX Myth-busting episode - what is the deal with with the VXX erosion? It is not due to the roll or it is? If so then how does it erode when VIX futures are backward?
• Question from Avil3 - UGetting my dad to the dark side. He is thinking about dipping his toes in the Vol waters. What product do you recommend for a Vol newcomer making his first trade? Thx and I will try to get him to listen.

Crystal Ball: Wild prognosticating

This week:

• Mark L. - 12.75
• Mark S. - 16
• Russell - 13.25