Volatility Views Volatility Views 137: Crying Wolf in Volatility ETPs
Nov 24, 2014
01:04:33
Volatility Views 137: Crying Wolf in Volatility ETPs
Volatility Review: The week in vol:
- Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high.
- VIX Cash: High - 15.74, Low - 13.13
- VIX Options: Total 4.34M (2.89M Calls, 1.46M Puts)
- VXST: Another weird volume week - 300 to 3,000 contracts on various days. Total 11k (8305 Calls, 2801 Puts)
- A Review of Jared's Vol ETP Report - Crying Wolf: What the VIX alarmists are missing.
- Crude Vol: Nat Gas and Oil
Volatility Voicemail: Listener questions and comments
- Question from IndyJoe - I saw Marks tweet about buying high VIX/selling low VIX this week. Can he clarify what he meant by that? Seems counterintuitive.
- Question from Pat Cummins - I think the pounding the VIX has taken lately is overdone. I am bullish volatility in the long term. Question: What is the best way for me to express that view? You have already dissuaded me from buying VXX as that is clearly the road to ruin. Would I be better off buying and holding a 1-year future? Or is there a third option I am overlooking
- Question from Alagory - Which is more overpriced - VIX calls or SPX puts?