Volatility Views 236: What a Crazy Year for Volatility

Volatility Review: VIX Cash - 13.45, Where is the Vol coming from?

• VVIX: 89
• VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week.

Russells Weekly Rundown

• Interesting VIX weekly trades
• VIX Options ADV: 550k
• A very light volume week. 79k contracts on 12/27, lightest of the year. Total 5.25M (3.95m Calls, 1.3m Puts)
• Oil Volatility: OIV/OVX: 29

Volatility Voicemail/End of Year Volatility Pop Quiz.

$VIX is currently 13.71. Where will $VIX close for 2016?

• Between 13.75-14
• Over 14
• Between 13.5 - 13.75
• Below 13.50

Listener questions:

• Question from Tadoom: Biggest volatility surprise of 2016? Mine was Brexit.
• Question from RealRX: Hey fellas! When Vol is this low and heavy volume in Jan SPY puts of late, what long Vol delta range do you prefer to use in these super cheap premium times?
• Question from Andrew P.: Which president oversaw the period of greatest volatility?

Crystal Ball: Year-end prognosticating

Last week:

• Mark S - 11.25
• Russell - 12

Bonus Round - Next year:

• Russell - low: 12.50, high: 37.37, avg. 17.50
• Mark S. - low: 10.50, high: 25.00, avg. 15
• Mark L. - low: 10.00, high: 34.50, avg. 15.5