Volatility Views 259: Revenge of VIX Mullets and Tellums

Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management.

• Weird Nasdaq selloff that started during last show continues.
• Amazon looks to buy Whole Foods.
• VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week.
• CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago.
• VIX Futures - Front month: .6, Second month: 1.5

Russell's Weekly Rundown

• VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts)
• VXX - ADV 364k, OI - 1.3/1 Calls over puts.
• OIV - 29.45
• OVX - 31.90

Volatility Voicemail: Alternative volatility sources

With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading?

• 33% - Crude Oil (WTI, etc.)
• 20% - Metals ($GLD, $SLV, etc.)
• 20% - FX (GBP/USD, etc.)
• 27% - Indv. Equities-$TSLA, etc.

VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will $VIX get in 2017?

• Still Won't Break 9
• Won't Break 8.5
• Won't Break 8.0
• Lookout! 7 Handle in '17

Listener questions and comments

• Comment from Angelo - The point from Barclay's about convexity of SPX puts is somewhat meaningless. As long as market stays lofty the bid for those puts will remain. I do not foresee a scenario where market remains elevated but the bid mysteriously disappears for SPX OTM puts. So the VIX cannot realistically break into the 7 or 8 handle. Did like the stat about VIX prints since 1960 though.

Crystal Ball: Wild prognostication.

Last week

• Mark L. - 9.75
• Mark S. - 9.63
• Russell - 10.60
• Guest - 10

This week

• Mark L. - 10.50
• Mark S. - 10.05
• Ghost of Russell - 9.15
• Guest - 12.25