The Options Insider Radio Network
Volatility Views 565: Shooting Machine Guns and Smoking Crack
Jan 5, 2024
Guest host Russell Rhoads from Kelley School of Business - Indiana University joins the show. They discuss the annual Vix high/low ranges, breakdown volatility products in the markets, and Vix futures volume numbers for December 2023. They also explore the surprising nature of Vix, volatility in the market, and trading strategies related to the volatility curve.
01:02:47
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Quick takeaways
- Volatility in the market is not expected to embrace a new low, with VIX ranging between 12.90 and 14.67 next week.
- S-VIX and UVXY are both grinding higher, potentially setting up for a double top, with a preference for higher ranges between 35 and 40 in both cases.
Deep dives
VIX Analysis: VIX closing at 13.40
VIX closed the week at 13.40, up 0.15 points from last week. The market appeared to be in an itchy state, with volatility not quite ready to embrace a new low. The 30-day straddle for SPX was priced at around $120, indicating that the market is not expecting significant moves outside a range of 25 handles. The VIX options market saw light activity throughout the week, with the Jan 17 calls being the most active, although there was no significant paper in VIX. Overall, VIX is expected to range between 12.90 and 14.67 next week.
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