Volatility Views 126: A Big VIX Shakeup

Volatility Views 126: A Big VIX Shakeup

Vol Review:

VIX Cash - A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire. Non-farms a non-event.

Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6.

Question from Spreadjunkie - CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer?

VIX Options - 4.1 Call/put. VXST. RVX - Not much going on, only 504 OI. Gold/metals volatility. Scottish independence?

Volatility Voicemail:

Question from Nick Valenti - I am glad to see you are adding more volatility products to the show including the new Russell VIX. I trade RUT and IWM options very actively and I have been watching this product with great interest. I have yet to pull the trigger on a contract, but I have been close a few times. Like a lot of people, I am still waiting for other traders to join me before I dive into the deep end of the pool. What do you think it will take to kickstart this product? What will the eventual catalyst be for this?

Comment from Johnny Mac - My Vol pet peeve is people quoting skew with a "25 delta risk reversal" - wake up people! It is a 50 delta risk reversal. Thanks for letting me get that off my chest.

Question from Nickel5 - I know Jared is a reformed iron condor trader. Do these relatively low levels of implied volatility in SPY make him want to get long some condors out there? Maybe in the Oct cycle? Also what is his view on the diagonal condor - buying longer-term guts and selling front month/weekly wings?

Crystal Ball:

Reckless prognostication of VIX, VXST, RVX and other volatility products.