Volatility Views 156: VSTOXX vs. VIX

Volatility Review: A look back at the week from a volatility point-of-view 

• VIX Cash: Low: 12.33 - High: 15.29
• VIX Options: Another modest volume week.
• 75k May 20 calls purchased Wednesday for $.40.
• Paper buying June 23 puts for $.15.
• June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
• Total 6.14m (4.39m Calls, 1.75m Puts)
• Options volume slid in first quarter.
• Volatility cycles and stock trends.
• International Volatility: India VIX caps monthly advance as futures rollover below average.
• Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

• Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
• Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?
• Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?