Volatility Views Volatility Views 150: Doing Our VIX Term Structure Homework
Mar 16, 2015
51:59
Volatility Views 150: Doing Our VIX Term Structure Homework
Volatility Review: A look back at the week in volatility:
- VIX Cash: Low: 14.71 - High: 17.19
- Skew Index: 121.53
- VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon.
- RVX: 65 Contracts open interest. FTSE volatility products coming soon.
- VXST: OI just 25 contracts.
- VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange.
- International Volatility Review: What can we expect from the Kremlin?
- Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration.
Volatility Voicemail: Listener questions and comments
- Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long term futures typically exhibit over front month (i.e six month future 8% over front month future)? When the term structure is flat or even backward does this typically benefit ETPs like VXX that are forced to rebalance on a regular basis.
- Question from Beta Ray Bill - Is there some way to use implied volatility to choose your strike when trading options?
Crystal Ball: The wager continues: Fed raising rates in 2015?