Volatility Views 322: The Throes of VIX

Volatility Views

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

VIX Cash - 12.2, down 2.2 points from last show

• RVX - 13.9, down 2 points from last week
• VVIX - 91, nine handles lower than last show
• Cboe SKEW Index Tops 150 for Record Four Straight Trading Days; Some Cite Surge in Black-Swan Hedging
• VIX Options - ADV: 467k, VIX call/put: 2.8/1, Total 6.86m (5.04m Calls, 1.82m Puts)
• More size Oct/Nov risk reversal on Weds - over 50k on the tape.
• VXX - 26.65, over 1 point lower than last show.

Volatility Voicemail: Options question of the week

Some people look to analysts for their market outlook. We prefer to analyze actual options positions. This week we're looking at SPY. In a nutshell - what do you think is the largest options position in SPY right now? No cheating - what does your gut tell you?

• 16% - SPY Mar 255.0 P
• 32% - SPY Oct 272.0 P
• 34% - SPY Dec 31st 320.0 C
• 18% - SPY Sep 300.0 C

Listener questions and comments:

• Question from Godfr3y - I'm long VXX from 28.30 and long Jan 25 puts from $.55. Today I sold the Oct05 29.50 call for $.56. Thoughts? Should I just scrap the shares?
• Question from Piers - I'm long a bunch of VXX puts. I'm wondering if it is cheaper to buy VXX stock rather than the OTM calls to hedge against vol spikes over short periods like weekends or a few days. The underlying isn't going to suffer the same theta as the options and you get more deltas.

Crystal Ball: Wild prognostication

Last week:

• Mark L. - 11.67
• Mark S. - 12.15

Next week:

• Mark L. - 11.25
• Mark S. - 12.14