Volatility Views 125: The Holiday Fear Premium
A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend. Trader taking time delay/Vol out of the market ahead of the weekend? VIX Cash. Trading in the 11.24-12.73 range. VIX Options. 4.2/1 - Call/Put. Top OI Positions: VIX Sep-14 19 C, VIX Sep-14 20 C, VIX Sep-14 16 C. VXST Options. RVX Options. Metals Vol - GVZ down about a point this week. Energy Vol - Oct WTI realized vs. ICE heating oil implied intersecting.
Question from Silas - Congrats to the Vol Crew on such an excellent program. I enjoy all of your analysis, particularly the addition of volatility breakdowns in other asset classes, including crude oil. Ia, starting to dabble more into these asset classes, but I am somewhat dismayed at the overall lack of tools for analyzing these products. What software do you typically use when breaking down volatility in products like curve oil? Thank you again for the