Volatility Views 184: Shadow Gamma and VIX Moral Hazards
Volatility Views · The Options Insider Inc.
December 7, 201559m 49s
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Show Notes
Volatility Viewpoint: Today's guest is Chris Cole, Managing Partner at Artemis Capital Management. They discuss Chris's now "infamous" letter to his investors, "Volatility and the Allegory of the Prisoner's Dilemma."
Volatility Review: A look back at the week from a volatility perspective, plus a review from RMC Asia.
- VIX Cash: Volatility surges after sell-off and heading into Non-Farm Payrolls. VIX Cash: 18.11, VVIX: 101.80
- What is the Fed impact on Vol?
- SPX
- CBOE Skew Index back to boring - This week: 135.26
- VIX: A heavier volume week in VIX Options. Total 6.24m (4.57m Calls, 1.68m Puts)
Crystal Ball: Earnings season is winding down. FED on the horizon in December.