Volatility Views 113: Fighting Low VIX Hysteria

Volatility Views 113: Fighting Low VIX Hysteria

Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine CBOE indexes.

Volatility Voicemail: Listener questions and comments

Question from Jim Charles, Lexington, KY - I know your recent guest Euan Sinclair downplayed the VIX call/put ratio as being due to systemic issues with the products, but that indicator has only risen since that episode. Leading me to believe there is something to it. Where do you guys stand now on VIX call/put? Are we poised for a pop or is this just the result of the CBOE beating the mean reversion drum back to 20?

Question from Annabelle Schmidt - Your guys profiled a sizable VIX vertical call spread in the September expiration cycle. Mark mentioned that it might be tied to an OTC variance trade. Is there any way for customer to get more information on that dark portion of the volatility market? It seems that quite a bit of the daily activity actually occurs in the OTC realm, so we are only getting half the picture if we just look at listed VIX trades. Great show! Great discussions! Hopefully Jared will stay on the program now that he has a new job.

Question from Sienna78 - S&P 500 at record high, VIX at record low, portfolio looking good. VIX Aug 12/16 calls for $2 or SPY Jul 190/170 puts for $2.30 - best protection?

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.