Volatility Views 248: International Volatility Explosion

Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI.

• VIX Cash - 13.12
• VVIX - 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007.
• CBOE Skew Index - 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17.
• VIX Futures - Front month: .9, Two Month: 1.4
• VIX Options: Mon - 785k, Tues - 1.6M, Weds - 917k, Thurs - 512k, ADV - 637k. Total 8.09m (5.77m Calls, 2.32m Puts)
• VIX Call/Put: 2.5 / 1
• OIV/OVX - 29.85
• GVZ - 12.58
• TYVIX - 4.37

Volatility Voicemail: Listener questions and comments

• Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so?

Crystal Ball: Wild and reckless prognostication

Last Week:

• Mark L. - 10.65
• Mark S. - 10.90
• Russell - 11.11

This Week:

• Mark L. - 12.50
• Mark S. - 12.00
• Russell - 12.80
• Ricardo - 13.50