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  • 2 years ago
Volatility Views 219: WTF Is Up With VIX?

Volatility Views 219: WTF Is Up With VIX?

Volatility Review: A look back at the week from a volatility perspective VIX Cash: Spiked over 14 this week thanks to Yellen & Co. What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92. Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch. VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week. VVIX: 85.43 Russells Weekly Rundown Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts) Earnings Volatility: HPQ Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike. Crude Oil: USO = 10.95 OIV/OVX: 37: Less than half of peak levels back in Feb. USO Skew: Still bid toward the puts, with the exception of Jan 17. Gold Crystal Ball: Where will the VIX close? This week: Russell - 11.90 Andrew - 12.1