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  • 3 years ago
Volatility Views 160: Cheat the Right Way

Volatility Views 160: Cheat the Right Way

Volatility Review: The week in review, from a volatility perspective

Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle.
VIX Futures: Front month future flirted with 15 during the selloff.
VIX Options: Anemic volume week post-holiday - only 63k contracts through 11am. Still mostly call buyer in June - primarily VIX. Total 6.06m (4.73m Calls, 1.33m Puts)
VXX: Puts trade in iPath S&P 500 VIX Short Term ETN (VXX) are up 0.34 to 19.02 today. VXX is near the lower end of the 52 week range.
VXST: Volume: 0, OI: 4. VXST will be replaced by VIX weeklies probably by the end of the summer depending on VIX weekly approval and launch.
Crude Oil: OIV: 33.04; OVX: 32.5

Volatility Voicemail: Listener questions and comments

Question from Aeschylus - One thing I cannot understand clearly is why there is so much focus on the volatility smile. Given my knowledge of the Black and Scholes model, this is what I get: People use the volatility smile as a forecast o