Volatility Views 255: The Myth of VIX 50-Cent

Volatility Views

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

• VIX cash: 14.66
• VVIX: 104.12
• Ten biggest $VIX rallies and what $VIX did the following day
• Question from @FContangotrader: How many % $VIX went up today? #%of%
• CBOE SKEW Index:137
• The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday

VIX options:

• ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K
• VIX call/put: 3.1/1

Hot VIX strikes

• 308315 .VIX Jun 21st 30.0 C, chg +4261
• 274854 .VIX Jun 21st 35.0 C, chg +521
• 261116 .VIX Jun 21st 20.0 C, chg +22016
• 256652 .VIX Jun 21st 15.0 C, chg +61381
• 207375 .VIX Jun 21st 19.0 C, chg +36896
• 182527 .VIX Jun 21st 16.0 C, chg +21143
• 165518 .VIX Jun 21st 25.0 C, chg -17814
• 161130 .VIX Jun 21st 18.0 C, chg +7305
• 153348 .VIX Jun 21st 17.0 C, chg +4539
• 139338 .VIX Jun 21st 11.5 P, chg +8819
• Total 6.77m (5.13m Calls, 1.64m Puts)

Earnings Volatility

• GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8%
• BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 - $6.72; close $121.35 - UP .5%
• WMT: close $75; ATM straddle $2.25; approx 3%; high $77.66

Volatility Voicemail: Listener questions and comments

• Question from Vtrader168: Considering that there is large Vol jump Wednesday without major event, and the market recovery is not that strong, is it an indicator that the period of the extremely low VIX is over, and VIX return to "normal-low" level?
• Question from Volbug: Hi. This is for Volatility Views: Thanks for the show Marks and Russell. You mentioned that implied vol is often more than realized vol. Does the time frame of the option, impact that calculation? For example 1 monthly option is cheaper that 4 weekly options. Thanks.

Crystal Ball: Wild prognostication

Last Week:

• Mark L. - 10.25
• Russell - 11.25
• Henry - 9.90

This Week:

• Mark L. - 10.75
• Mark S. - 11.05
• Russell - 12.26