Volatility Review: A look back at the week from a volatility perspective
VIX Cash - 12.2, down 2.2 from last show RVX - 13.9, down 2 points from last week VVIX - 91, nine handles lower than last show VIX Options - ADV: 459k, VIX call/put: 3/1, Total 8.66m (6.48m Calls, 2.18m Puts) Why go 1x2 when you can go 1x4!? VXX - 27.80, nearly 3 points lower than last showVolatility Voicemail: Volatility Flash Poll
VIX is threatening 15 and VXX is back above 30. Is this the return of volatility or just a blip? Quite simply - where will we be at the end of next week?
14% - Here: VIX=14, VXX=30 32% - Low: VIX=<13, VXX=<29 15% - Lower: VIX=<12, VXX=<28 39% - Higher: VIX=<15, VXX=<30Listnener Questions and Comments:
Question from Eleva7 - Since VXX erodes so aggressively is the best bet for long players to overwrite calls aggressively? Slight OTM, ATM or perhaps even ITM? Has anyone researched this to see if that outperforms long only? Comment from Louis Pena - Insider should create its own indicator. Some sort of VXX erosion indicator. The Erosionator?Crystal Ball: Wild prognostication
Last week:
Mark L. - 13.75 Mark S. - 13.00This week:
Mark L. - 11.67 Mark S. - 12.75