Volatility Views Volatility Views 224: New VIX Strategies and Research from CBOE RMC
Oct 3, 2016
01:01:36
Volatility Review: CBOE just concluded the Risk Management Conference in Europe. They will soon introduce the CBOE S&P 500 Smile Index. At the event, they released a new study of of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options, looking at various aspects of their performance over a 15-year period spanning 2001 through 2016. Russell gives a rundown of the new products coming your way, themes overheard and the event, and more.
What else happened in the market this week? Deutsche Bank debacle.
Russell's Weekly Rundown:
- VIX Weeklys and harvesting volatility
- Is the Deutsche Bank issue just a reissue of Bear Stearns from 2008?
- Crude oil vol spiked to 45 earlier this week. Calls are finally springing back to life leading into the OPEC announcement
- No one wants gold premium
Volatility Voicemail: Listener questions and comments
- Question from Mort: My question is: In terms of SKEW, how do you think about the difference in CBOE SKEW and CSFB. At it's simplest, it appears CBOE is 30 day and CSFB is 3 month measure of demand for downside protection vs upside calls. Other than the difference in time-frame, how should one think about the two as indicators of market sentiment?
- Comment from last week's show: What flavor would a $VIX slurpee be? @Emanuel_Wynne: Is worthless a flavor?
- Options #QuestionOfTheWeek: How will the election impact $VIX? Are we heading for #Trump-ocalypse or #Clint-astrophe? Share your feelings.
- Spike > 20 - Blame Trump
- Spike > 20 - Blame Clinton
- No impact (12-14 range)
- Modest Increase (15-20)
Crystal Ball: Wild prognosticating
Last Week:
- Mark L. - 11.60
- Mark S./Andrew - 12.25
- Russell - 13.40
This Week:
- Mark L. - 12.60
- Mark S. - 14.50
- Russell - 13.70