Keep up to date with every new upload!

Join free & follow Volatility Views
Share
  • 3 years ago
Volatility Views 150: Doing Our VIX Term Structure Homework

Volatility Views 150: Doing Our VIX Term Structure Homework

Volatility Views 150: Doing Our VIX Term Structure Homework
Volatility Review: A look back at the week in volatility:

VIX Cash: Low: 14.71 - High: 17.19
Skew Index: 121.53
VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon.
RVX: 65 Contracts open interest. FTSE volatility products coming soon.
VXST: OI just 25 contracts.
VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange.
International Volatility Review: What can we expect from the Kremlin?
Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration.

Volatility Voicemail: Listener questions and comments

Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long te

Comments