Volatility Views 252: Did VIX Drop Too Much?

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

• VIX Cash - 10.36
• VVIX - 76.66, back in the toilet.
• CBOE Skew Index - 142.55, still rich.

Russell's Weekly Rundown:

• VIX Options: Mon - 975k, Tues - 801k, Weds - 475k, Thurs - 571k, ADV - 734k
• VIX Call/Put - 2.7/1; Total 8.81m (6.55m Calls, 2.27m Puts)
• Earnings Volatility: Alphabet, Amazon, Intel, Starbucks, Alcoa, Chipotle

Volatility Voicemail/OptionsQuestion of theWeek:

Earnings Season is upon us. Big names are reporting soon. Which is your pick for the largest % move post-earnings?

• $AMZN - 36%
• $GOOGL - 26%
• $CMG - 30%
• $MSFT - 8%

Listener questions and comments:

• Question from FContangotrader -What is your 2 cents on this article? Thanks.
• Comment from Lolzi - Could we all just get along and agree that VXX erodes relatively predictably? Who really cares if its roll yield or flying pigs as long as you can count on it with some degree of certainty?
• Question from JJonQuin - You say VIX call to put of 2-3 is normal. What is not normal? When should we get alarmed? 5? 6? Higher?

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 12.75
• Mark S. - 16
• Russell - 13.25

This week:

• Mark L. - 11.5
• Mark S. - 11
• Russell - 11.95