Volatility Views 122: Goldman Straddles and Buffett Puts
Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions:
273,733 .VIX Aug-14 16.0 C, chg +7148
262,146 .VIX Sep-14 19.0 C, chg +1029
221,559 .VIX Sep-14 21.0 C, chg +24
VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio
RVX OI: 591
Goldman analyst events study http://www.docstoc.com/docs/158693818/Goldman-Sachs from Trading-Events-Analyst-days. Studied 3,700 analyst days from 2002 to 2012. Twice as positive for stocks vs average day. Analyst days are more significant if held far after earnings. Checking in on Warren Buffett’s equity index put trade by Russell Rhoads, CFA.
Volatility Voicemail: Listener questions and comments
Question from Rueben Brooks -Listened a while back to a show you and Jared did talking about N. N. Taleb and how you were surprised that, given his long-gamma leanings, he would short the ATM straddle.