Volatility Views 145: Debating Earnings Skew and Corporate Racism

Volatility Views 145: Debating Earnings Skew and Corporate Racism

Volatility Review: A look at the week in vol:

• VIX Cash: High: 22.81, Low: 16.67
• S&P: 30-day IV: 15, 30-day HVOL: 16, Skew Index: 127.54
• VVIX: Thursday close: 98.56
• VIX Options: Total 4.80m (2.86m Calls, 1.95m Puts)
• Market now loving CBOE numbers, stock off 5.5% - earnings were up 7.6%, but missed expectations. Extended VIX Options trading hours start March 2.
• VXST: Another week of anemic volume dispute significant underlying movement.
• RVX: Still no appreciable volume.
• OIL: Another crazy week for oil - rallies over 20%, then clipped, the rallied more again. Currently hovering above the $50 strike again.

Volatility Voicemail: Listener questions and comments

• Reply from Ernitin14 - @OptionsInsider love Vol Views show. Here's my counterargument on remarks on skew shape. If everybody is hedging their short bet, vol squeeze is very likely which is exactly what happened in GOOG post earnings. Yes ATM call spread were the best plays, in case it was a win - win situation. Blow out numbers - upside explosion, so-so numbers- covering their shorts. What I am missing?
• Question from Uncle Ben - Liked the discussion on risk premium from the last episode. This is a topic I have always struggled with. It seems like you are chasing your tail either way. If you compare straightforward 30-day implied vol vs. historic vol, then you are comparing an indicator that is really 30 days forward with an indicator that is nearly 30 days lagging. It does not make much sense. If you attempt to extrapolate realized vol forward, you run into the same errors that plague implied volatility. There are millions of dollars spent on volatility forecasting models that cannot get it right, so what chance do I really have with my own little algorithm? Is this all a fool’s errand?
• Comment from Alvo - Hey guys - just a note that 30-day historical vol actually measures about 20 trading sessions, with 30-day implied vol foes out a full month. Different size sets = problems.

Crystal Ball: Andrew and Jared prognosticate wildly.