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  • 2 years ago
Volatility Views 179: The Great Skew Implosion

Volatility Views 179: The Great Skew Implosion

Volatility Review: A look back at the week from a volatility perspective.

VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days.
Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02
VIX Weeklies: Another robust volume week for weeklies.
VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts)
Now that Google is Alphabet, options suggest another big stock move.
Gold: GVZ: 15.59
Crude Oil: OIV: 40.18, OVX: 40.22

Volatility Voicemail: What do our listeners have to say?

Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics.
Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfo