Volatility Views 241: VIX: The Shining Beacon of Efficiency

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management.

He discusses:

• What is VolSurface Capital Management?
• What is their typical strategy and product?
• What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility
• VIX long-term mean of 20?
• Why is the 30 strike so popular?

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

• VIX Cash: 11.25
• VVIX: 88, off its recent highs.
• VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6

Russells Weekly Rundown:

• VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k
• VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts)
• OIV/OVX - 29.50
• GVZ - 15
• TYVIX - 5.40

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 11.50
• Mark S. - 11.05
• Russell - 12.99
• Bill Luby - 11.78

This week:

• Mark L. - 10.50
• Mark S. - 10.92
• Russell - 12.01