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  • 3 years ago
Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Views 158: Is VIX Without Contango Even Possible?
Volatility Review: A look back at the week in vol

VIX Cash: High: 15.13 - Low: 12.41
VVIX: 82.12
S&P 30-day realized Vol: 10
VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts)
Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total.
Crude Oil: Crude bears are starting to show their claws again.
OVX 31.67 - OIV 32.18
This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years.

Volatility Voicemail: Listener questions and comments

Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to

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