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  • 3 years ago
Volatility Views 156: VSTOXX vs. VIX

Volatility Views 156: VSTOXX vs. VIX

Volatility Review: A look back at the week from a volatility point-of-view 

VIX Cash: Low: 12.33 - High: 15.29
VIX Options: Another modest volume week.
75k May 20 calls purchased Wednesday for $.40.
Paper buying June 23 puts for $.15.
June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
Total 6.14m (4.39m Calls, 1.75m Puts)
Options volume slid in first quarter.
Volatility cycles and stock trends.
International Volatility: India VIX caps monthly advance as futures rollover below average.
Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perf