Volatility Views 280: Tapping the Secret Sources of VIX Info

Volatility Views 280: Tapping the Secret Sources of VIX Info

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

• VIX cash: VIX briefly flirted with 12
• VVIX: 98.5 - 7 points higher than last week
• CBOE SKEW Index: 129 - 8 points higher than last week
• VXN: 15.04 - .5 points higher than last week

Russell's Weekly Rundown:

VIX Options:

• ADV - 758k
• Thurs - 1m
• Weds - 632k
• Tues - 899k
• Mon - 442k
• VIX call/put: 3.8 - Russell is nervous

Hot VIX strikes

• 710842 .VIX Dec 20th 25.0 C, chg +67163
• 515136 .VIX Dec 20th 15.0 C, chg -1377
• 400697 .VIX Nov 15th 20.0 C, chg +5029
• 372447 .VIX Dec 20th 12.0 P, chg +829
• 334283 .VIX Nov 15th 21.0 C, chg -5413
• 308546 .VIX Dec 20th 22.0 C, chg +4167
• 263899 .VIX Nov 15th 17.0 C, chg +11157
• 240963 .VIX Dec 20th 20.0 C, chg +7087
• 226612 .VIX Nov 15th 15.0 C, chg -3270
• 222571 .VIX Dec 20th 17.0 C, chg +4591
• Total 12.7m (10.1m Calls, 2.61m Puts)

VXX: 34 - almost unchd from last week

Top VXX positions

• 114719 VXX Jan19 10.0 P, chg +22
• 75429 VXX Jan 10.0 P (Nonstd VXX2), no chg
• 75157 VXX Jan19 5.0 P (Nonstd VXX2), no chg
• 60900 VXX Jan 5.0 P (Nonstd VXX2), no chg
• 55450 VXX Jan 5.0 P (Nonstd VXX1), no chg
• 55150 VXX Mar 24.0 P, chg +408
• 49560 VXX Jan 7.0 P (Nonstd VXX2), no chg
• 46458 VXX Nov 38.0 C, chg -1763
• 43537 VXX Jan 20.0 C (Nonstd VXX2), no chg
• 43457 VXX Jan 8.0 P (Nonstd VXX2), chg +6
• Total 3.88m (1.78m Calls, 2.10m Puts)

Volatility Voicemail: Listener questions and comments

Options question of the week: Trading #Options during #Earnings is a coin flip. But you know you love to do it. What's your #Earnings #Options MO?

• Buy Calls/Call Spreads
• Buy Puts/Put Spreads
• Sell Puts/Put Spreads
• Fly/Iron Fly/ Iron Cond.

Listener questions and comments

• Comment from TMal: Big options sell firm gain AUM as they do well. They are another "natural seller" of options (weekly and monthly).
• Question from Chris Thomas: Hey guys. Trading a long calendar on VIX is a bad idea in that what you pay isn't the max loss. It's possible for the closer expiration to experience a larger move than the back month and thus you can lose more than you make? I believe I understand that correctly so my actual question is, is this true for SVXY and VXX? Thanks for imparting your knowledge so us plebeians can learn.
• Question from Encinoj: Here’s my time strangle trade idea for VIX. Buy 1-2 yr VXX 20% OTM puts and also buy approx. 3 mth. 20% OTM VIX calls.

Crystal Ball: Wild prognostication ensues

Last week:

• Andrew: 9.99
• Russell: 8.95
• Mark L: 9.55

This week:

• Mark S.: 9.99
• Russell: 9.15
• Mark L.: 9.65