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  • 3 years ago
Volatility Views 144: Talking Earnings Volatility

Volatility Views 144: Talking Earnings Volatility

Volatility Views 144: Talking Earnings Volatility
Volatility Review: A look in the week from a volatility perspective

VIX Cash: High: 21.55, Low: 15.52
S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers.
VVIX: Thurs close: 100.70, Week range: 91.85-109.99
VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts)
VXST: Another week of anemic volume despite significant underlying movement.
RVX: Still no appreciable volume.
OIL: Another crazy week for oil. Saudi prince reiterates that "we will never see $100 oil again." OPEC Chief says this may be the bottom for oil.

Volatility Voicemail: Listener questions and comments

Question from NINC - Hey Volatility Views guys. I know you have discussed the topic of earnings studies in the past, particularly as it relates to earnings straddles. You said there was not much research on the topic. Has the situation changed since that conversation? Has there been any new research on the topic? I know you

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