The Options Insider Radio Network

Volatility Views


Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

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Show Archive

Volatility Views 243: Crazy VIX Ratio Call Spreads

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - Just under 11.76 VVIX - 80 CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20. VIX Futures: Front month premium to cash - 1.25; Two month premium...
Posted February 20th, 2017

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash - Just under 11.76
  • VVIX - 80
  • CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20.
  • VIX Futures: Front month premium to cash - 1.25; Two month premium to cash - 2.50.

Russell's Weekly Rundown:

Volatility Voicemail: Quizzes, questions, comments

Options #QuestionOfTheWeek: Trading single #Calls and #Puts is fine, but smart #Options traders use spreads. What is your go-to spread?

  • Vertical/Ratio Vertical
  • Calendar/Diagonal
  • Butterfly/ Iron Butterfly
  • Iron Condor

Listener questions:

  • Question from Nordictan - Is it possible to change the default LiveVol font settings and make it larger? The current setting is simply too small for my multi-monitor setup. My screen devoted to LiveVol is a bit removed from my seating position so I always struggle to read it. A nice pop in the font size would be very useful.
  • Question from Vincent Chase - Why do you say that this earnings cycle is disappointing from a volatility perspective?

Crystal Ball: Your headquarters for wild and reckless prognostication.

Last week:

  • Mark L - 10.45
  • Mark S. - 10.85
  • Russell - 11.75

This week:

  • Mark L. - 11.25
  • Mark S. - 10.75
  • Russell - 12.01

Volatility Views 242: The Godfather of VXX

Volatility Viewpoint: Today we have special guest: Greg King, REX ETFs CEO/Founder, "The Godfather of VXX." He discusses: The process for launching VXX How did it come about? The process for launching XIV Why make the switch into a short volatility...
Posted February 13th, 2017

Volatility Viewpoint: Today we have special guest: Greg King, REX ETFs CEO/Founder, "The Godfather of VXX."

He discusses:

  • The process for launching VXX
  • How did it come about?
  • The process for launching XIV
  • Why make the switch into a short volatility product?
  • What is REX ETF?
  • How do the new products work?

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash - under 11
  • VVIX - 85.84
  • VIX Futures: Front month premium to cash: 1.1. Two month premium to cash: 2.80.

Russell's Weekly Rundown:

  • VIX Options: ADV - 559k. Mon - 350k, Tues - 519k, Weds - 886k, Thurs - 691k. Total 9.18m (6.82m Calls, 2.36m Puts).
  • VIX Call/Put: 2.8/1
  • CBOE Skew Index - 129, down 4.82 (3.6%)
  • OIV/OVX - 29.50
  • GVZ - 15
  • TYVIX - 5.40

Crystal Ball: Wild and reckless prognostication.

Last week:

  • Mark L. - 10.50!
  • Mark S. - 10.92
  • Russell - 12.01
  • GUEST - 11.34

This week:

  • Mark L. - 10.45
  • Mark S - 10.85
  • Russell - 11.75

Volatility Views 241: VIX: The Shining Beacon of Efficiency

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management. He discusses: What is VolSurface Capital Management? What is their typical strategy and product? What is their take on the new volatility and political regime? Are we...
Posted February 6th, 2017

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management.

He discusses:

  • What is VolSurface Capital Management?
  • What is their typical strategy and product?
  • What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility
  • VIX long-term mean of 20?
  • Why is the 30 strike so popular?

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: 11.25
  • VVIX: 88, off its recent highs.
  • VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6

Russells Weekly Rundown:

  • VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k
  • VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts)
  • OIV/OVX - 29.50
  • GVZ - 15
  • TYVIX - 5.40

Crystal Ball: Wild and reckless prognostication

Last week:

  • Mark L. - 11.50
  • Mark S. - 11.05
  • Russell - 12.99
  • Bill Luby - 11.78

This week:

  • Mark L. - 10.50
  • Mark S. - 10.92
  • Russell - 12.01

Volatility Views 240: VIX Put Love and Earnings Volatility Debacle

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 10.63 VVIX: 80, off recent highs. VIX Futures: Front month premium to cash: 2.1, two month premium to cash: 3.5 Russell's Weekly Rundown: VIX Options: ADV - 580k;...
Posted January 30th, 2017

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: 10.63
  • VVIX: 80, off recent highs.
  • VIX Futures: Front month premium to cash: 2.1, two month premium to cash: 3.5

Russell's Weekly Rundown:

  • VIX Options: ADV - 580k; Thurs - 638k, Weds - 613k, Tues - 863k, Mon - 427k; VIX Call/Put: 2.5/1
  • Earnings season dramatically underwhelming so far.
  • Google, MSFT, INTC, PayPal, SBUX
  • OIV/OVX - 29.50
  • GVZ - 14.74
  • TYVIX - 5.65

Volatility Voicemail: Question of the week, plus listeners have their say

Options #QuestionOfTheWeek - Lots of earnings on the horizon. Which company will outperform their earnings straddle by the largest margin?

  • Alphabet - $GOOGL
  • Microsoft - $MSFT
  • Intel - $INTC
  • Starbucks - $SBUX
  • Question from VolBug - Hi Mark, Can you and the crew give you assessment of SVXY and whether you think it tracks well and what are some of the vulnerabilities? Thank you sir.

Crystal Ball: Your prognostication headquarters

Last week:

  • Mark L. - 11.55
  • Mark S./Andrew - 12.01
  • Russell - 12.34

This week:

  • Mark L. - 11.50
  • Mark S. - 11.05
  • Russell - 12.99
  • Bill Luby - 11.78

Volatility Views 239: Trump vs VIX

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 13 VVIX - 86 VIX Futures: Front month premium to cash - 1.5; Two month premium to cash - 2.70 Russells Weekly Rundown: VIX Options: A heavy volume week. ADV 554k,...
Posted January 23rd, 2017

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash - 13
  • VVIX - 86
  • VIX Futures: Front month premium to cash - 1.5; Two month premium to cash - 2.70

Russells Weekly Rundown:

  • VIX Options: A heavy volume week. ADV 554k, Thurs - 405k, Weds - 850k, Tues - approx. 1M, Mon - Closed. VIX Call/Put: 2.9/1. Total 5.4M (4M Calls, 1.4M Puts)
  • OIV/OVX - 30.88
  • GVZ - 15.17 - Near the low end of a 52-week range.
  • TYVIX - 5.91

Volatility Voicemail: Listeners get their say

#Options #QuestionOfTheWeek - Earnings Season awakens! How do you play earnings using options? Are you an Earnings #Jedi or #Sith?

  • Dark Side (Short Premium)
  • Light Side (Long Premium)
  • No Side - Avoid earnings
  • Other (Reply/DM w/ideas)
  • Question from Maryanne - How long do you think this period of low volatility will last?

Crystal Ball: Your prognostication headquarters

Last week:

  • Mark L. - 12.25
  • Mark S. - 11.50
  • Guest - 14.51
  • This week:
  • Mark L. - 11.55
  • Andrew - 12.01
  • Russell - 12.34

Volatility Views 238: VIX Mullets vs. VIX Tellums

Volatility Review: A much quieter start to 2017 than 2016 so far. VIX Cash - 11.54 VVIX - 90.5 VIX Futures: Front month premium to cash: < 1; Two-month premium to cash: 2.70 Expect 2017 to be more volatile than last year. VIX Options: A heavy...
Posted January 17th, 2017

Volatility Review: A much quieter start to 2017 than 2016 so far.

  • VIX Cash - 11.54
  • VVIX - 90.5
  • VIX Futures: Front month premium to cash: < 1; Two-month premium to cash: 2.70
  • Expect 2017 to be more volatile than last year.
  • VIX Options: A heavy volume week - ADV: 554k; Total 7.5M (5.7m Calls, 1.8m Puts)
  • Oil Volatility: OIV/OVX - 29.87

Volatility Voicemail/QuestionOfTheWeek:

$VIX hit a high of 28 last year. How high will $VIX get in 2017?

  • About the same (27-29)
  • Slightly Lower (24-26)
  • Slightly Higher (30 - 33)
  • Much Higher (Above 33)
  • Listener Question from ChilliBill: The fed report from the last show was pretty damning. Any other secret studies on Volcker and Vol lurking out there?

Crystal Ball: Wherein the hosts prognosticate on where the VIX will close.

Last week:

  • Mark L. - 11.5
  • Russell - 10.99
  • Mark S. - 12.01

This week:

  • Mark L. - 12.25
  • Guest - 14.51
  • Mark S. - 11.5

Volatility Views 237: Surprise Fed Study on Systemic Volatility

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for...
Posted January 9th, 2017

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for the year.

Russells Weekly Rundown

  • VIX Options: ADV: 544k
  • A fairly light volume week to kick off the new year.
  • Total 5.9M (4.4m Calls, 1.5m Puts)
  • What is the impact of the Volcker Rule of volatility?
  • Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above 30.

Volatility Voicemail: Pop quizzes, questions, and comments

Happy New Year! First #QuestionOfTheWeek for 2017. Total #Options volume dropped 2% last year. How will 2017 #Options volume compare?

  • About the Same (+- .5%)
  • Modest Increase (up 1-2%)
  • Modest Drop (down 1-2%)
  • Big Change (+- over 2%)

#Volatility Pop Quiz - New Years edition: The trillion dollar question - Where will $VIX close at the end of 2017?

  • Below 12
  • Between 12-15
  • Between 15-18
  • Over 18

Listener questions and comments:

  • Comment from Alaran: I think the 30 strike is popular each month simply because big insurance firms need to hedge themselves against calamitous market events. VIX > 30 = calamitous event in the eyes of many.
  • Question from Julio: In the spirit of the new year, when are we going to get new VIX products? Especially Monday through Friday weekly VIX options?

Crystal Ball: Looking into the future

Two weeks ago:

  • Mark L. - 11.25
  • Russell - 12
  • Ghost of Mark S. - 5.2

This week:

  • Mark L. - 11.5
  • Russell - 10.99
  • Mark S. - 12.01


Volatility Views 236: What a Crazy Year for Volatility

Volatility Review: VIX Cash - 13.45, Where is the Vol coming from? VVIX: 89 VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week. Russells Weekly Rundown Interesting VIX weekly trades VIX Options ADV:...
Posted January 3rd, 2017

Volatility Review: VIX Cash - 13.45, Where is the Vol coming from?

  • VVIX: 89
  • VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week.

Russells Weekly Rundown

  • Interesting VIX weekly trades
  • VIX Options ADV: 550k
  • A very light volume week. 79k contracts on 12/27, lightest of the year. Total 5.25M (3.95m Calls, 1.3m Puts)
  • Oil Volatility: OIV/OVX: 29

Volatility Voicemail/End of Year Volatility Pop Quiz.

$VIX is currently 13.71. Where will $VIX close for 2016?

  • Between 13.75-14
  • Over 14
  • Between 13.5 - 13.75
  • Below 13.50

Listener questions:

  • Question from Tadoom: Biggest volatility surprise of 2016? Mine was Brexit.
  • Question from RealRX: Hey fellas! When Vol is this low and heavy volume in Jan SPY puts of late, what long Vol delta range do you prefer to use in these super cheap premium times?
  • Question from Andrew P.: Which president oversaw the period of greatest volatility?

Crystal Ball: Year-end prognosticating

Last week:

  • Mark S - 11.25
  • Russell - 12

Bonus Round - Next year:

  • Russell - low: 12.50, high: 37.37, avg. 17.50
  • Mark S. - low: 10.50, high: 25.00, avg. 15
  • Mark L. - low: 10.00, high: 34.50, avg. 15.5

Volatility Views 235: The Mysterious Seasonality of Volatility

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 11.75 VVIX at 89, rebounding slightly off late-November ow of 79. VIX Futures: Approx. 2.5 point premium cash vs. Jan future. Russells Weekly Rundown: Watching the...
Posted December 27th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash - 11.75
  • VVIX at 89, rebounding slightly off late-November ow of 79.
  • VIX Futures: Approx. 2.5 point premium cash vs. Jan future.

Russells Weekly Rundown:

  • Watching the Dec 28 strike
  • VIX Options: ADV - 550k. A decent volume week, several days over ADV, light volume on Friday. Total 4.80m (3.55m Calls, 1.26m Puts)
  • Crude Oil: Crude Vol continues to be crushed, now below 30. OIV/OVX - 29, what is the new floor for crude volatility?

Volatility Voicemail: Listener questions and comments

#QuestionOfTheWeek - Major market indices are pushing record highs. Everyone has protection on the brain. How do you protect your portfolio?

  • Just Move to Cash/Bonds
  • Protective ATM/OTM Put
  • Put Spread/Ratio Put Sprd
  • Collar or Collar w/Kicker
  • Question from Ian Wagner - I am confused. Are there tradable RVX options? CBOE has microsite, but not seeing them listed on brokers. Thanks!
  • Question from Eddy - December for volatility; Is this month always the seasonal low for volatility in the year, or is that still reserved for July/August?

Crytsal Ball: Wild prognostication ensues

Last week:

  • Mark L. - 12.25
  • Mark S. - 11.5
  • Russell - 13.5

This week:

  • Mark L. - 11.25
  • Russell - 12

Volatility Views 234: The Baskin Robbins of Volatility Skew

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 12.3 VVIX: 91 VIX Futures are about 2.5 handle premium between cash & Jan futures. VIX Options: 845K contracts on Tuesday lighter volume the rest of the week....
Posted December 19th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: 12.3
  • VVIX: 91
  • VIX Futures are about 2.5 handle premium between cash & Jan futures.
  • VIX Options: 845K contracts on Tuesday lighter volume the rest of the week. Total 7.79m (5.49m Calls, 2.30m Puts)
  • Oil: Crude Vol continues to be crushed with OIV/OVX at 30.

Volatility Voicemail: Question and answer time

#QuestionOfTheWeek: Financial advisors represent the last options frontier. What level of options knowledge do you expect from your advisor?

  • None - I'll do it myself
  • Level 1: Buy Puts/Calls
  • Level 2: Income & Vol
  • Level 3:Option Specialist
  • Question from Hitman - Is the crab priced in yet? What about black swan events? Any options indicators shooing one of those may be on the horizon?
  • Question from Vegan - You mention the Fed with regards to equities. Should the Fed really care about what the market is doing?

Crystal Ball: In which the hosts guess the close of next week's VIX

Last Week:

  • Mark L. - 12.25
  • Mark S. - 11.5
  • Russell - 13.5

This Week:

  • Mark L. - 11.75
  • Andrew - 12.55
  • Russell - 13

Volatility Views 233: A Deep Dive into Asian Volatility

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 12.3 VVIX - 91 Russells Weekly Rundown: A glimpse into Russells RMC Asia excursion. VIX Options: A heavier volume week this week. Total 6.79m (4.75m Calls, 2.04m...
Posted December 12th, 2016

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash - 12.3
  • VVIX - 91

Russells Weekly Rundown:

  • A glimpse into Russells RMC Asia excursion.
  • VIX Options: A heavier volume week this week. Total 6.79m (4.75m Calls, 2.04m Puts)
  • Earnings Volatility: Block Trade Analysis: A buyer of 250,000 XLF Jan 20th 25 calls
  • Oil Vol: Crude Vol gets a smack down. OIV - 32, WTI back over $50 is contributing to the Vol collapse.

Volatility Voicemail: Listener questions and comments

  • Comment from JoeSmith78 - Profit taking after FOMC meeting is my guess, why else would they move together?
  • Question from Jackobin - Is it possible to buy a basket of commodity volatility? Maybe an ETF?

Crystal Ball: Wild, perhaps reckless prognostication.

Last week:

  • Mark L. - 13.5
  • Mark S. - 14.25
  • Russell - 21.2

This week:

  • Mark L. - 12.25
  • Mark S. - 11.5
  • Russell - 13.5

Volatility Views 232: Crude Volatility, VIX Put Love

Volatility Review: The Trump vol selloff seems to have stabilized. VIX Cash: 14. VVIX : 97. VIX Options: Light volume week coming off the holiday, and even mild volume heading into non-farms. Total 5.97m (4.16m Calls, 1.81m Puts). Oil Volatility: OIV:...
Posted December 5th, 2016

Volatility Review: The Trump vol selloff seems to have stabilized. VIX Cash: 14. VVIX : 97. VIX Options: Light volume week coming off the holiday, and even mild volume heading into non-farms. Total 5.97m (4.16m Calls, 1.81m Puts). Oil Volatility: OIV: 40. XLE is up 8% since Tuesday, volume 1.5x ADV - calls slight over puts. USO up over 10% Since Tuesday, volume 2x ADV today - calls over put 2-to-1.

Volatility Voicemail: Listener questions and comments

  • Comment from Kay Kamra - In regards to Faith in OPEC Deal Turns Options Traders Into Oil Bulls - OVX almost touching July highs...I expect a pullback in OVX and subsequent pop in /CL
  • Comment from Mark Brant - Selling SPX IBs daily reveals Vol variance not apparent in VIX. We need an ATM VIX @CBOE!
  • Question from RealRK - Speaking of bond volatility, if you have time, what do you guys think of bearish put spreads on HYG/JNK/LQD? With yields increasing, why have the high yield bonds lagged? I assume because of the longer term move more in price because of the lower yields moving more in price with short term yield changes, but I see huge put activity every other day in these high yield bond funds.
  • Comment from TJones - VXXLE who knew? Where are those CBOE guys hiding these indexes? Any more up their sleeves?
  • Comment from Tulip Futures - Low for VIX is no signal, high of VIX is signal that forces in world will come and calm things down.

Crystal Ball: Prognostication headquarters

Last week:

  • Mark L. - 11.75
  • Mark S. - 12.25
  • Russell - 14

This week:

  • Mark L. - 13.5
  • Mark S. - 14.25

Best of Volatility Views: Remember Brexit?

It may seem like it was years ago, but Brexit dominated the headlines, and Volatility Views a mere five months ago. In this "Best of Volatility Views" we go back to the episode before the historic vote and look at the ensuing volatility explosion.
Posted November 28th, 2016

It may seem like it was years ago, but Brexit dominated the headlines, and Volatility Views a mere five months ago.

In this "Best of Volatility Views" we go back to the episode before the historic vote and look at the ensuing volatility explosion.


Volatility Views 231: VIX Put Frenzy and Social Media Volatility

Volatility Review: The Trumpocalypse is fading. VIX cash is back below 14. VVIX = 87, back below 100. Russells Weekly Rundown: If a Trump Presidency is scary, why is VIX so low? VIX Options: A lighter volume week than last week - started strong,...
Posted November 21st, 2016

Volatility Review: The Trumpocalypse is fading. VIX cash is back below 14. VVIX = 87, back below 100.

Russells Weekly Rundown:

  • If a Trump Presidency is scary, why is VIX so low?
  • VIX Options: A lighter volume week than last week - started strong, pushing 1M contracts on Tuesday, but then fell off. Total 3.88m (2.80m Calls, 1.08m Puts)
  • Crude Oil: OIV = 48, elevated compared to recent weeks - spiked to 53 on Wednesday.

Volatility Voicemail/Options #Question of the Week

$TSLA ($182.50, down 3%, IV30:41, HV30:31) Straddle says $8.20 move (4.5%) by Friday close. How much will $TSLA actually move?

  • 20% - In line: ($8-$8.50)
  • 37% - Beat Straddle: > $8
  • 23% - Less than Straddle: < $8
  • 20% - Sick of #Musk / $TSLA

Listener questions and comments:

  • Question from Alex Devers - What does the future hold in terms of social media sentiment and volatility. Is there a social volatility index out there already? If not is this something the folks at CBOE are cooking up?
  • Question from Avec - Has anyone studied the effect of selling weekly options vs monthly options INCLUDING commissions? Seems like that would be a big factor when writing so many contracts.

Crystal Ball: Reckless and wild prognostication.

Last Week:

  • Mark L. - 15
  • Mark S. - 12
  • Russell - 13.5

This Week:

  • Mark L. - 11.75
  • Mark S. - 12.25
  • Russell - 14

Volatility Views 230: Trump Volatility Bonanza

Volatility Review: The Trumpocalypse is here! What a week! VVIX: 102. So, about last night...Patient volatility seller ended up winning big. Volatility shorts cash in despite the shock U.S. election. Volume in non-U.S. trading hours set a new daily...
Posted November 14th, 2016

Volatility Review: The Trumpocalypse is here! What a week! VVIX: 102. So, about last night...Patient volatility seller ended up winning big. Volatility shorts cash in despite the shock U.S. election. Volume in non-U.S. trading hours set a new daily record.

Russells Weekly Rundown:

  • VIX Options - A crazy volume week!
  • Mon - 1.05M, Tues - 1.05M, Weds - 1.03M, Thurs - 1.08M
  • Total 7.08m (4.62m Calls, 2.46m Puts)

Earnings Volatility:

  • Walt Disney Company
  • Nvidia
  • Nordstrom

Volatility Voicemail/Options #QuestionOfTheWeek

$SPX Weds Weekly straddle says 2% move through election. How much will SPX / $SPY move through Weds 11/9?

  • Over 3% - crazy move
  • Between 2-3% - big move
  • Between 1-2% - mild move
  • Less thastockn 1% - meh

Listener questions and comments:

  • Question from Brian: Hi Mark, your shows are the best known to me. Congratulations on your success. I have a topic/question for Volatility Views. I am trying to get a sense of how viable XIV will be in the long term. Are there red flags for ETFs/ETNs that would indicate whether or not they will go broke at some point? Are the bigger ETFs/ETNs a safer bet or is it the ETFs/ETNs that deal with future contracts the ones that end up in trouble? I appreciate and value your advise.
  • Question from Mike The Bookie: Yeah, the ETF based volatility indexes. Is here a good place to bracket UVXY or VXX?

Crystal Ball: Wild prognosticating

Last week:

  • Mark L. - 18.50
  • Mark S. - 10.80
  • Russell - 23.50

This week:

  • Mark L. - 15.00
  • Mark S. - 12.00
  • Russell - 13.50

Volatility Views Election Special - Part Two

Volatility After Dark
Posted November 9th, 2016

Volatility Views Election Special Part Two: Volatility After Dark

The resurgence of Donald Trump in the U.S. election is weighing heavily on markets around the globe. We break down the historic action in VIX, Dow, SPX and more live on this special late-night episode of Volatility Views.


Volatility Views Election Special

You want a Volatility Views looking at election volatility in real time? Well, Mark, Russell and the greasy meatball got together and did just that.
Posted November 8th, 2016

You want a Volatility Views looking at election volatility in real time? Well, Mark, Russell and the greasy meatball got together and did just that.


Volatility Views 229: The Mystery of VIX Variation

Volatility Viewpoint: Today we have special guest David Hait, CEO of OptionMetrics. He discusses: What is OptionMetrics? An overview of the white paper on VIX Variation OptionMetrics recently released What are the key takeaways? The methodology for...
Posted November 7th, 2016

Volatility Viewpoint: Today we have special guest David Hait, CEO of OptionMetrics.

He discusses:

Volatiltiy Review: VIX surging well north of the 20-handle. VVIX is up to 120.

VIX Options heavy volume week:

  • Mon - 397k
  • Tues - 731k
  • Weds - 602k
  • Thurs - 882k
  • Total 6.02m (4.52m Calls, 1.50m Puts)

Russell's Weekly Rundown: November 9 VIX futures focus. You will NOT be able to capture (most) election returns with that expiration. SPX weeklies and event risk

Volatility Voicemail/Options #QuestionOfTheWeek:

Special #Earnings, #Election, #WorldSeries edition $FB ATM strd=$7.30 $VIX=17.20. Which outcome is most likely?

  • $VIX > 20 before election
  • $FB beats ATM Straddle
  • @realDonaldTrump wins
  • @Cubs win World Series

Crystal Ball: Wild prognosticating

Last week:

  • Mark L. - 16
  • Mark S. - 17.15
  • Andrew - 17.50
  • Bill L. - 15.43

This week:

  • Mark L - 18.50
  • Russell - 10.80

Volatility Views 228: Hillary, The Scorpion and VIX 200

Volatility Review: Today we have on Bill Luby of VIX and More fame. VIX Cash: 15.36 VIX Options: Total 5.11m (3.92m Calls, 1.19m Puts) Strategy index offers cues to derivatives investors seeking to enhance potential yields. Volatility...
Posted October 31st, 2016

Volatility Review: Today we have on Bill Luby of VIX and More fame.

  • VIX Cash: 15.36
  • VIX Options: Total 5.11m (3.92m Calls, 1.19m Puts)
  • Strategy index offers cues to derivatives investors seeking to enhance potential yields.

Volatility Voicemail/Options #QuestionOfTheWeek

Is #Trumpocalypse done? Is $VIX already pricing in @HillaryClinton win? Where will $VIX close on election day?

  • UNCHD (Between 12-14 )
  • Elevated (15-18)
  • Spike (Over 18)
  • Selloff (Below 12)

Listener questions:

  • Comment from Al Melvin - VIX is the best mathematical equation in history!
  • Question from Andrew Simon - What would it take to get a VIX of 200? Is that even possible or does that mean the Earth would explode?

Crystal Ball: Wild and reckless prognostication

Last Week:

  • Mark L. - 13.75
  • Mark S. - 12.5
  • Russell - 13.3333

This Week:

  • Mark L. - 16
  • Mark S. - 17.50
  • Bill - 15.43

Volatility Views 227: Rise of the VIX 1x2 Put Spread

VOLATILITY REVIEW VIX Cash - 13.34 Russells paper link: https://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/accounting--finance/Park-PriceDislocationandPriceDiscoveryintheSP500OptionsandV....pdf VIX Options Strong...
Posted October 24th, 2016

VOLATILITY REVIEW

VIX Cash - 13.34

Russells paper link: https://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/accounting--finance/Park-PriceDislocationandPriceDiscoveryintheSP500OptionsandV....pdf

VIX Options

Strong volume on Tues, 10/18: 780k, but light volume the rest of the week.

Total 4.30m (3.24m Calls, 1.05m Puts)

The VIX: Not so fearsome after all? - by David Hait

http://blogs.barrons.com/focusonfunds/2016/10/21/the-vix-not-so-fearsome-after-all/

VOLATILITY VOICEMAIL

Question from Avery - I found the discussion and the "point" made by ThinkTankTrading extremely confusing. Is this really something to worry about or, as Mark suggested, is it really a distinction without a difference? VXX erodes predictably. Does it really matter if its is caused by roll yield or stampeding elephants?

Question from Tom from NYC - Love the Vol Views. Been thinking about that 1x2 call vertical in VIX. Would flipping the script also work? So instead of selling 1 buying 2 calls you would BUY 1 ATM VIX PUT and then Sell 2 OTM VIX PUTS. You could capture a downside move in VIX without spending a lot. While you are short an extra VIX put you would not have the same worry of being short a VIX call because the downside risk of VIX is limited. Thanks and hope you read my question.

Question from JonasBro - What does CBOE acquisition of BATS mean for the future of SPYIX? Is it dead? Also an update please on VolDex and VIXUP / VIXDN?

CRYSTAL BALL

Last Week:

Ghost of Mark S - 9.99, Mark L. - 13.50, Russell - 17

This Week:

Mark S. - 12.5, Mark L. - 13.75, Russell - 13.3333


Volatility Views 226: Sunshine and Volatility

Volatility Review: VIX cash/futures finally connect: we've been wondering for the past few weeks whether VIX cash would rally to the future or the future would drop to the cash. We finally have our answer. Oh, and VXX is NOT VIX. Volatility Voicemail:...
Posted October 17th, 2016

Volatility Review: VIX cash/futures finally connect: we've been wondering for the past few weeks whether VIX cash would rally to the future or the future would drop to the cash. We finally have our answer. Oh, and VXX is NOT VIX.

Volatility Voicemail: Listener questions and comments

  • Question from Bill Chace: Hi Russ. What indicator do you use to help determine future movements of VIX? And how reliable are they?
  • Question from Bobby: I've noticed moves in the currencies lately. Is this increased volatility good for premium sellers in currency options?
  • Question from Vegan: Do you use VIX as a relative strength indicator vs. ES? What tends to lead the dance: S&P or VIX?
  • Comment from Itzprav: VIX will be back to 11 next week - referring to headline "How high will the VIX get?"
  • Comment from Highlander: Yes, it's only $46 Trillion backing mortgages & loans for hundreds of millions of people. It'll be fine.
  • Question from LV87: Single name VIXes. What's up there? Can I actually buy Amazon VIX?
  • Question/comment of the week winner!!!!: dmcxkxjzpo
  • Commen from Kid Sinclair: When does your new album drop? :) I love your latest single "F**k a maintenance call" was that inspired from Brexit?
  • Comment from Mark Brandt: VIX reverse investment skew is a gold mine if you can see the big picture
  • Question from Billivanilli: I'm a bit confused. Why do so many people trade that 1x2 call spread in VIX? Seems like you guys discuss it on every show. Is it really that effective? What am I missing?

Crystal Ball: Wild prognostication

This Week:

  • Mark S: 9.99
  • Mark L: 13.50
  • Russell: 17

Last week:

  • Mark L: 12.25
  • Mark S: 12.75
  • Guest: 12.98
  • Russell: 12.95

Volatility Views 225: VXX vs XIV - Which is More Dangerous

Volatility Review featuring Mike Thompson, Portfolio Manager, Typhon Capital What is up with VIX term structure? How is Typhon Capital working with this contango? Hint: reverse mullet, AKA Tellum. Russell's Weekly Rundown CBOE Holdings reports...
Posted October 10th, 2016

Volatility Review featuring Mike Thompson, Portfolio Manager, Typhon Capital

What is up with VIX term structure? How is Typhon Capital working with this contango? Hint: reverse mullet, AKA Tellum.

Russell's Weekly Rundown

CBOE Holdings reports September 2016 trading volume: Total ADV Up 25% from August 2016, 3% from a year ago. Highlights: September Index options traded at CBOE and C2 had an ADV of 1.8 million contracts, up 24 percent from August 2016. SPX options ADV of 1.1 million contracts up 26 percent from August 2016.

New Study: CBOE and Fund Evaluation Group, LLC announced findings from a study of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options.

VIX Cash: Back below 13 handle. When might we see #Trumpocalypse? How would a Cubs World Series victory impact the VIX?

Volatility Voicemail: Listener questions and comments

  • Comment from AlphaJack: Cool piece in Barrons about XIV. Reminded me of what you guys always talk about with these inverse products and the roll risk. Short Term only! Buyer beware! Worth discussing on a show?
  • Comment from ThinkTankTrading: The VXX roll yield is a net neutral roll and the drag is from the rest of the holdings decaying down the curve. VXX roll is like trading a dollar for four quarters they are rolling notional values not equal contract amounts. If the roll yield caused the drag Barclays would be broke. 1/30th roll isn't the issue it's the 29/30 that's now decayed. https://sixfigureinvesting.com/2016/09/the-cost-of-contango-its-not-the-daily-roll/
  • Question from Jim Collins: Are transcripts available for Russell's interviews? (after last episode when talking about CBOE/RMC)

Crystal Ball: Prognosticating and speculating

Last week:

  • Mark L. - 12.6
  • Mark S. - 14.5
  • Russell - 13.70

This week:

  • Mark L. - 12.25
  • Mark S. - 12.75
  • Mike - 12.98
  • Russell - 12.95

Volatility Views 224: New VIX Strategies and Research from CBOE RMC

Volatility Review: CBOE just concluded the Risk Management Conference in Europe. They will soon introduce the CBOE S&P 500 Smile Index. At the event, they released a new study of of four CBOE strategy performance benchmark indexes designed to...
Posted October 3rd, 2016

Volatility Review: CBOE just concluded the Risk Management Conference in Europe. They will soon introduce the CBOE S&P 500 Smile Index. At the event, they released a new study of of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options, looking at various aspects of their performance over a 15-year period spanning 2001 through 2016. Russell gives a rundown of the new products coming your way, themes overheard and the event, and more.

What else happened in the market this week? Deutsche Bank debacle.

Russell's Weekly Rundown:

  • VIX Weeklys and harvesting volatility
  • Is the Deutsche Bank issue just a reissue of Bear Stearns from 2008?
  • Crude oil vol spiked to 45 earlier this week. Calls are finally springing back to life leading into the OPEC announcement
  • No one wants gold premium

Volatility Voicemail: Listener questions and comments

  • Question from Mort: My question is: In terms of SKEW, how do you think about the difference in CBOE SKEW and CSFB. At it's simplest, it appears CBOE is 30 day and CSFB is 3 month measure of demand for downside protection vs upside calls. Other than the difference in time-frame, how should one think about the two as indicators of market sentiment?
  • Comment from last week's show: What flavor would a $VIX slurpee be? @Emanuel_Wynne: Is worthless a flavor?
  • Options #QuestionOfTheWeek: How will the election impact $VIX? Are we heading for #Trump-ocalypse or #Clint-astrophe? Share your feelings.
    • Spike > 20 - Blame Trump
    • Spike > 20 - Blame Clinton
    • No impact (12-14 range)
    • Modest Increase (15-20)

Crystal Ball: Wild prognosticating

Last Week:

  • Mark L. - 11.60
  • Mark S./Andrew - 12.25
  • Russell - 13.40

This Week:

  • Mark L. - 12.60
  • Mark S. - 14.50
  • Russell - 13.70

Volatility Views 223: Putting the Smack Daddy on Vol

Volatility Review: A look back at the week from a volatility perspective VIX cash: Janet & Co. crushed vol. VIX cash back in the toilet, but futures are still rich 30-day HV: 11 30-day IV: 10 VXX: Futures setting up for a VXX implosion VVIX: at...
Posted September 26th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX cash:
    • Janet & Co. crushed vol. VIX cash back in the toilet, but futures are still rich
    • 30-day HV: 11
    • 30-day IV: 10
    • VXX: Futures setting up for a VXX implosion
    • VVIX: at 89, or 20 handles lower than last week
  • Russell's Weekly Rundown:
    • 1000-lot VIX weekly trades creates a synthetic VIX collar
    • Two-way action in the VIX Sep28 13 calls
  • The week in VIX volume:
    • Monday: 546,000
    • Tuesday: 661,000
    • Wednesday: 727,000
    • Thursday: 751,000
  • Crude
    • OIV/OVX: 40. Same as last week
  • Gold
    • GVZ: 13.73. Close to a 52-week low

Volatility Voicemail: Listener questions and comments

  • Comment from Jim Investor: Shortsighted market over focused on Yellen. Soon they eye Trump widening lead in battleground states
  • Comment from John King: Since #SPX has 15+ "non-standard" expirations/month VS 1 "standard" -isn't it time @CBOE truly standardizes the monthly?
  • Comment from Mark Brant: Sell VIX 2M CV (X+5) (X+9) daily thru settlement (regression). X=ATM. Risk 1% $4 daily. Sold today's SPX IB wide 4X every 10 points today! Dailies rock!
  • Comment from ThinkTankTrading: all right,- first my question gets on volatility voice mail, Next the world muhahahaha evil laugh.

Crystal Ball: In which the VIX giveth and taketh away

Last week:

  • Mark L. - 11.75
  • Mark S. - 12.50
  • Russell - 12.99

This week:

  • Andrew - 12.25
  • Russell - 13.40
  • Mark L. - 11.60

Volatility Views 222: Revenge of the VIX 1x2

Volatility Review: A look back at the week from a volatility perspective VIX Cash: High of 19.12 earlier this week. 30-Day HVOL: 11; 30-Day IVOL: 14 VVIX: Currently at 109 with a high of 116 this week Russells Weekly Rundown: VIX Options: A very...
Posted September 19th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: High of 19.12 earlier this week. 30-Day HVOL: 11; 30-Day IVOL: 14
  • VVIX: Currently at 109 with a high of 116 this week

Russells Weekly Rundown:

  • VIX Options: A very active week. Mon - 951k, Tues - 1.3M!, Weds - 656k; Total 8.06m (5.62m Calls, 2.44m Puts)
  • Crude: OIV/OVX: 40 - Retreating from a recent spike up to nearly 46.
  • Gold: 30-Day HVOL: 10.7% - Near the bottom end of the 52 week range. 30-Day IV: 15% - Only in the 23rd percentile

Volatility Voicemail: Listener questions and comments

  • Question from Erik Leland - Saw VIX 1x2s going up this week. Is it that season again?
  • Question from JVac - What about a mini VIX option?
  • Question from TC - U.S. has VIX. Europe has VSTOXX. What is the Asian equivalent? Nifty VIX? It hardly seems comparable. Is there a Chinese or Japanese Vol product?
  • Question from CVortt3 - This guy says you should ignore VIX. Agree? Please discuss on Vol Views - http://etfdailynews.com/2016/09/16/heres-why-investors-should-ignore-the-vix/
  • Question from ThinkTankTrading: Can you ask Russell Rhoads why he blocked me? That is my question for your show. Thanks in advance

Crystal Ball: Reckless prognostication

Where will the VIX close this week:

  • Mark L. - 15
  • Mark S. - 15.75
  • Russell - 16.5

Volatility Views 221: The Answer to All Volatility Questions

Volatility Review: A look back at the week from a volatility perspective VIX Cash: Back above 12; 30-day HV - 5; 30-day IV - 11 VVIX: 85 Russell's Weekly Rundown: Interesting trade in the weekly VIX options. VIX Options: Truncated trading week...
Posted September 12th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Back above 12; 30-day HV - 5; 30-day IV - 11
  • VVIX: 85

Russell's Weekly Rundown:

  • Interesting trade in the weekly VIX options.
  • VIX Options: Truncated trading week
  • Crude Oil: Mixed signals this week. WSJ: Crude stock drop sparks rally.

Volatility Voicemail: Listener questions and comments

  • Question from Joshua Shealy: Thanks so much for all that you guys do! Sorry if this is a novice question. I know that Delta is not literally the % chance of expiring in the money, but more so the rate of change for a $1 movement in the underlying. I noticed today (8/26/16) looking at VIX Dec Calls that the strike closest to .5 Delta is the 20 strike, a long way from ATM. I usually associate near .50 Delta with being near ATM. Is this just a nuance of VIX, or am I missing something bigger? Thanks!
  • Question from Dr. Larry: Hi Mark. Andrew mentioned buying stocks and buying covered long term puts when IV is so low. I wonder your opinion on my favorite low Vol strategy: Buy ETFs, preferably non-correlated underlyings and some with dividends. Example: DIA, SPY, TLT, GLD, multiple sectors, foreign markets? I then buy the longest dating LEAPS available with strikes 5% under current price of underlying. I then sell covered calls every 30-60 days that are one to two strikes or 3-5% or more, out of the money. Management:

    ETF stays same, roll short calls out.

    ETF goes up a little, roll short calls up and out.

    ETF goes up a lot, called away, re-establish covered call, roll leap up.

    ETF goes down a little, roll short calls same or down strike assuming still above leap strike.

    ETF goes down a lot, take profit on leap, re-establish lower strike leap, roll short call down but above leap strike

    1-year later, roll Long leaps out one year if IV still low. Close positions if IV is high and wait for lower iv again.

    I add to positions monthly by buying diagonals, long LEAP, short at the money call and either get assigned on short call, or roll short calls. If and when IV goes up my long puts make more or lose less, and I can sell more call premium which covers the entire price of my long puts after a few rolls. Sorry for long email. I hope you can discuss on the air. While I listen to almost all shows I occasionally miss due to work obligations. Can you alert me of when it airs if you discuss this? Thanks. Dr. Larry in NYC - PS: tell Sebastian he never returned my call.

  • Question from Joneil: Heard someone talking about the VVIX/VIX ratio. Did not make much sense to me. Is that something you guys track?

Crystal Ball: Wild and reckless prognostication

Last week:

  • Mark L. - 11.75
  • Mark S. - 12.50
  • Russell - 12.99

This week:

  • Mark L. - 14.5
  • Mark S. - 13
  • Russell - 17

Volatility Views 220: Talking International Indexes with MSCI

Volatility Viewpoint: Today we have a very special guest, Ricardo Manrique, Executive Director of Index Business Management and Derivatives at MSCI. He discusses: An overview of MSCI Inroads into options and volatility, especially through CBOE...
Posted September 6th, 2016

Volatility Viewpoint: Today we have a very special guest, Ricardo Manrique, Executive Director of Index Business Management and Derivatives at MSCI.

He discusses:

  • An overview of MSCI
  • Inroads into options and volatility, especially through CBOE partnership
  • Meeting investor demand for products related to international equities
  • How does Russell incorporate these indexes into his analysis?
  • Will there be futures listed on the idexes?
  • Domestic versus international companies
  • Listener questions

Volatility Review: A look back at the week from a volatility perspective

  • VIX cash: Remained above 13 most of the week primarily due to impending non-farms.
  • 30-Day HVOL: 5; 30-Day IVOL: 12
  • VIX Futures: Oct premium 3.3. points to cash, down from 5 points a few weeks ago.

Russells Weekly Rundown

  • How are the Monday SPX weeklies fairing?
  • VIX Options: Mon: 192k, Tues: 205k, Weds: 276k, Thurs: 309K; Total 6.86m (4.80m Calls, 2.06m Puts)
  • Crude Oil: Crude taking in on the chin again this week.
  • OIV/OVX: 41

Crystal Ball: Predicting and prognosticating.

This Week:

  • Mark L.: 11.75
  • Mark S.: 12.50
  • Russell: 12.99

Volatility Views 219: WTF Is Up With VIX?

Volatility Review: A look back at the week from a volatility perspective VIX Cash: Spiked over 14 this week thanks to Yellen & Co. What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92. Buy volatility ahead of a...
Posted August 29th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Spiked over 14 this week thanks to Yellen & Co.
  • What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92.
  • Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch.
  • VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week.
  • VVIX: 85.43

Russells Weekly Rundown

  • Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts)
  • Earnings Volatility: HPQ
  • Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike.
  • Crude Oil: USO = 10.95
  • OIV/OVX: 37: Less than half of peak levels back in Feb.
  • USO Skew: Still bid toward the puts, with the exception of Jan 17.
  • Gold

Crystal Ball: Where will the VIX close?

This week:

  • Russell - 11.90
  • Andrew - 12.10
  • Mark L. - 11.50

Volatility Views 218: Live from CBOE

Volatility Reivew: A look back at the week from a volatility perspective VIX Cash: Spiked to nearly 14 this week before dropping back below 12. VIX Futues: Crazy term structure a hot topic last week. Follow up question from JJK: Thanks for discussing...
Posted August 22nd, 2016

Volatility Reivew: A look back at the week from a volatility perspective

  • VIX Cash: Spiked to nearly 14 this week before dropping back below 12.
  • VIX Futues: Crazy term structure a hot topic last week.
  • Follow up question from JJK: Thanks for discussing my question on the show last week. If anything it seems like the futures premium to cash has increased with futures premium to cash has increased with Oct future 5 handles above cash. What am I missing? Earnings season is done and FOMC in rear view mirror for now. Is this just pricing in unease over current market valuations?
  • VVIX: 82.83. Well off levels from last week.

Russell Weekly Rundown

  • How was the first week for Monday SPX Weeklies?
  • VIX Options: Mon 501k, Tues 526k, Weds 570k, Thurs 481k, Total 5.40m (3.72m Calls, 1.68m Puts)

Options #QuestionoftheWeek: $VRX $26.66 up 7% Monday. IV30 is 63. HV30 is 99.

Looking out one month would you rather

  • Buy Calls?
  • Buy Puts?
  • Sell Premium
  • Sill not touch $VRX

Crude Oil: OIV/OVX 35: Less than half of peak levels back in February.

  • Volatility Voicemail: Listener questions and comments
  • Comment from Mark Brand: Really excited about SPX Mondays! Like TGM said on VV, great weekend risk trade or fade!
  • Question from James Aldo: Re: Circuit breakers talk last week. Is i correct to assume that circuit breakers that are too tight can actually increase volatility? Or is that a myth?

Crystal Ball: Where do the hosts think VIX will close this week?

  • Mark L.: Was 11.25 last week, sticking with it.
  • Russell: 11.75
  • Ghost of Mark S.: 7.7

Volatility Views 217: The Mysterious VIX Futures

Volatility Review: A look at the week from an options perspective. VIX cash: Hit 52 week low this week: 11.02 VIX futures: Question from JJK: The Sep VIX futures are trading over $3 premium to cash. Seems pretty steep. Is the market pricing in a big...
Posted August 15th, 2016

Volatility Review: A look at the week from an options perspective.

  • VIX cash: Hit 52 week low this week: 11.02
  • VIX futures: Question from JJK: The Sep VIX futures are trading over $3 premium to cash. Seems pretty steep. Is the market pricing in a big sell-off in the near future?
  • VVIX: Currently at 96.78
  • VIX Options: Mon: 660k, Tues: 765k, Weds: 635k, Thurs: 603k; Total 7.36m (5.10m Calls, 2.26m Puts)
  • Crude Oil
  • Gold

Volatility Voicemail: Listener questions and comments

  • Question from Service Dog: Do stock market circuit breakers have a significant impact on market volatility?
  • Question from MoneyPenney: How does VXX work?

Crystal Ball: Where will the VIX close?

Last week:

  • Mark L.: 11.15
  • Mark S.: 10.25

This week:

  • Mark L.: 11.25
  • Mark S.: 11
  • Russell: 13

Volatility Views 216: VIX Put Palooza

Volatility Review: Breaking down the week from a volatility perspective VIX cash: 11.39; hits a 52-week low. VVIX: 88.14. Back below 100, but still elevated. Russells Weekly Rundown VIX Options: Moderate volume this week. Mon: 547k, Tues: 522k,...
Posted August 8th, 2016

Volatility Review: Breaking down the week from a volatility perspective

  • VIX cash: 11.39; hits a 52-week low.
  • VVIX: 88.14. Back below 100, but still elevated.

Russells Weekly Rundown

  • VIX Options: Moderate volume this week.
  • Mon: 547k, Tues: 522k, Weds: 367k, Thurs: 512k; Total 6.69m (4.44m Calls, 2.25m Puts)
  • Earnings Volatility: TSLA stock at $225 on earnings. ATM straddle approx. $14.70 - 6.5%. Open unchanged. Closed up approx $5. Missed by nearly $10.
  • Crude Oil: OIV: 42, OVX: 42

Volatility Voicemail :Listener questions and comments

  • Question from NTC34: Heard you guys on #OptionBlock discussing using options with stock to speculate on volatility. Can you explain that? How does buying a call and selling stock give you a pure volatility position?
  • Question from AuntH: What is up with RVX?

Crystal Ball: Spinning the wheel of where the VIX will close.

Last week:

  • Russell: 13.05
  • Andrew: 12.40
  • Mark L.: 11.75

This week:

  • Mark L.: 11.15
  • Mark S.: 10.25
  • Russell: 12

Volatility Views 215: The Vanishing VIX

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 12.39 VVIX: 89.33. Back below 100, but still elevated Russell's Weekly Rundown VIX Options: A light options week Mon: 625k, Tues: 415k, Weds: 534k, Thurs: 475k;...
Posted August 1st, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: 12.39
  • VVIX: 89.33. Back below 100, but still elevated

Russell's Weekly Rundown

  • VIX Options: A light options week
  • Mon: 625k, Tues: 415k, Weds: 534k, Thurs: 475k; Total 6.07m (4.17m Calls, 1.91m Puts)
  • CBOE quarterly profits jumped 13.6 pct on increased volatility
  • Options traders are feeling good about Alphabet shares.
  • Crude Oil: OIV: 42.91; OVX: 42.33

Volatility Voicemail: Listener questions and comments

  • Question from DK from DC: What is the difference between the front month VIX future and the VIX cash?
  • Question from Big Jim Wheeloff: Why are options so damn expensive? At this rate I will go broke hedging my 401k.

Crystal Ball: VIX predictions

Last week:

  • Mark L.: 11.5
  • Andrew: 9.5
  • Russell: 17.35
  • Bill Luby (Guest from last week): 12.71

This week:

  • Russell: 13.05
  • Andrew: 12.40 (with an 11-handle dip)
  • Mark L.: 11.75

Volatility Views 214: All Things VIX and More

Volatility Review, featuring special guest: Bill Luby from VIX and More. VIX Cash: 12.18; Earnings season and the Fed not injecting substantial volatility into the marketplace VIX Futures: Still surprising premium to cash VVIX: 88.42. Back below 100,...
Posted July 25th, 2016

Volatility Review, featuring special guest: Bill Luby from VIX and More.

  • VIX Cash: 12.18; Earnings season and the Fed not injecting substantial volatility into the marketplace
  • VIX Futures: Still surprising premium to cash
  • VVIX: 88.42. Back below 100, but still elevated

VIX Options: A light volume week across the board in all products, including VIX

  • Mon: 557k, Tues: 774k, Weds: 338k, Thurs: 566k, Fri: 163k
  • Total 4.95m (3.41m Calls, 1.54m Puts)

Earnings Volatility: Big names on the earning docket this week:

  • AT&T (T)
  • Chipotle Mexican Grill (CME)
  • E*Trade Financial (ETFC)

Crude Oil:

  • OIV: 39
  • OVX:39

Volatility Voicemail: Listener questions and comments

  • Question from AL08: IV or HV. Which is most important? Which should I pay attention to?
  • Question from Jack King: What is the primary driver of volatility, skew puts or calls?

Crystal Ball: Guess the closing price of the VIX

Last Week:

  • Mark L.: 13.25
  • Andrew: 12.25
  • Russell: 13.51

This Week:

  • Mark L.: 11.5
  • Mark S.: 9.5
  • Russell: 17.35
  • Bill: 12.71

Volatility Views 213: The Product You Hate to Love

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 12.82, lower than expected. VVIX: 86, back below 100 but still elevated. Russells Weekly Rundown VIX Weeklies updates VIX Options: Mon: 461K, Tues: 233K, Weds:...
Posted July 18th, 2016

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash: 12.82, lower than expected.
  • VVIX: 86, back below 100 but still elevated.

Russells Weekly Rundown

  • VIX Weeklies updates
  • VIX Options: Mon: 461K, Tues: 233K, Weds: 475K, Thurs: 905K
  • Total 8.12m (5.46m Calls, 2.67m Puts)
  • Barclays breaks down best Vol trades in June.
  • Crude Oil
  • Gold

Volatility Voicemail: Listener questions and comments

Question from Vegas: Regarding VIX, we were at all-time highs in ES when we made the top of the yearly range and VIX was at a low level around 10. Now we're higher and VIX can't break 13.50 to the downside. What?s the deal?

Crystal Ball: It's time for everyone's favorite game, where will the VIX close?

Last Week:

  • Mark L.: 15
  • Mark S.: 13.5
  • Russell: 16.27

This Week:

  • Mark L.: 13.25
  • Andrew: 12.25
  • Russell: 13.51

Volatility Views 212: VIX Puts and GLD Call Skew

Volatility Review: A look back at the week from a volatility perspective VIX Cash: About 15, lower than predicted. VVIX: 90, back below 100, but still elevated. Russells Weekly Rundown: Weekly Futures VIX Options: A light post-holiday week. Tues:...
Posted July 11th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: About 15, lower than predicted.
  • VVIX: 90, back below 100, but still elevated.

Russells Weekly Rundown:

  • Weekly Futures
  • VIX Options: A light post-holiday week. Tues: 585k, Weds: 437k, Thurs: 386k, Total 7.15m (4.54m Calls, 2.62m Puts)
  • Earnings Volatility
  • VRX: Bullish options bets surge on Valeant
  • Crude Oil: Back in the toilet. OIV: 43, OVX: 43

Volatility Voicemail: Listener questions and comments

  • Question from Engstromm: Can I trade OVX?
  • Question from StGermain: When is it preferable to use VIX Options and when is it better to use VIX Futures?

Crystal Ball: Wild prognostication ensues

Last Week:

  • Mark L.:19
  • Mark S.:15
  • Russell: 18

This Week

  • Mark L.: 15
  • Mark S.: 13.5
  • Russell: 16.25

Volatility Views 210: Brexit Volatility Explosion

Volatility Review: Brexit, Brexit, Brexit!!! Weekly Options Insider Poll - Do you think the UK will make a Brexit from the EU? Yah - 24% Nah - 43% I am sick of Brexit - 33% Volatility Voicemail: Listener questions and comments Question from Tronghi:...
Posted June 27th, 2016

Volatility Review: Brexit, Brexit, Brexit!!!

Weekly Options Insider Poll - Do you think the UK will make a Brexit from the EU?

  • Yah - 24%
  • Nah - 43%
  • I am sick of Brexit - 33%
  • Volatility Voicemail: Listener questions and comments
    Question from Tronghi: Detailed thoughts on VIX futures curve as of June 15.
  • Question from JVon: What strategies don't work for the short VIX ratio call spread.
  • Question from BB Wins: Can you give me an example of good strikes for a VIX 1-by-2 ratio spread if I use open interest as an indicator?

Crystal Ball: Where will the VIX close before the long holiday weekend?

  • Russell: 12
  • Mark S.: 26
  • Mark L.: 21

Volatility Views 209: Trading the Elusive Spot VIX

Volatility Viewpoint: Today we are joined by Jack Fonss, CEO of Accushares. He discusses: An overview of VXUP / VXDN What is the current affiliation Prof. Whaley has with Accushares? Recent changes and the thought process behind them. Volatility...
Posted June 20th, 2016

Volatility Viewpoint: Today we are joined by Jack Fonss, CEO of Accushares. He discusses:

  • An overview of VXUP / VXDN
  • What is the current affiliation Prof. Whaley has with Accushares?
  • Recent changes and the thought process behind them.

Volatility Review: A look back at the week from a volatility perspective

VIX Cash:

  • A crazy week for VIX.
  • Vol soared on Monday.
  • Volatility still very elevated post-FOMC

Russells Weekly Rundown:

  • VIX Options: Total 5.62m (3.73m Calls, 1.89m Puts)

Crystal Ball: It's time for everyone's favorite game: Where will the VIX close on Friday?

Last week:

  • Russell: 16.5
  • Mark S.: 18.01
  • Mark L.: 15.5

Next week:

  • Russell: 18.5
  • Mark S.: 15
  • Mark L.: 17

Volatility Views 208: Fed and Brexit Jump Start the VIX

Volatility Review: A look back at the week from a volatility perspective VIX Cash: High: 16.27 today. VIX remains somewhat muted heading into FOMC next week and Brexit the following week. VIX Futures: All-time record high OI for VIX Futures: 501,835...
Posted June 13th, 2016

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: High: 16.27 today. VIX remains somewhat muted heading into FOMC next week and Brexit the following week.
  • VIX Futures: All-time record high OI for VIX Futures: 501,835 on June 7
  • VVIX: Creeping back up toward the high of recent range. VVIX: 90.
  • VXX: 13.20
  • XIV: 32.56

Russells Weekly Rundown

  • VIX Options: Mon: 732k, Tues: 552k, Weds: 472k, Thurs: 585k.
  • Total 7.85m (5.75m Calls, 2.10m Puts)
  • Soybean Vol: Still crazy town in soybean volatility.

Volatility Voicemail: Listener questions and comments

  • Question from 777: Does the many VIX tradable products influence the underlying index to any great extent? Is the tail waging the dog?
  • Question from Skiball: Where do you see the VIX going and how will it impact stock picking in this market?

Crystal Ball: Russell finally gets the win by being the least-wrong with the 15.25 guess.

Where will the VIX close on Friday? Don't discount FOMC, Brexit.

  • Russell: 16.5
  • Mark S.: 18.01
  • Mark L.: 15.5

Volatility Views 207: What the Heck is Smart Volatility?

Volatility Viewpoint: Today we are featuring Taylor Lukof, CEO of ABR Dynamic Funds. ABR recently introduced their new "smart volatility" mutual fund: The ABR Dynamic Blend Equity and Volatility Fund (ABRVX). What is it? How does it work? What next...
Posted June 6th, 2016

Volatility Viewpoint: Today we are featuring Taylor Lukof, CEO of ABR Dynamic Funds.

ABR recently introduced their new "smart volatility" mutual fund: The ABR Dynamic Blend Equity and Volatility Fund (ABRVX).

  • What is it?
  • How does it work?
  • What next for ABR?

Volatility Review: A look back at the week from a volatility perspective

  • The impact of Non-farms on volatility.
  • VIX Cash: High of 15.25 on Weds - 13.63 today.
  • VVIX: 79.54 - near the low end of the recent range.
  • VXX: 13.09
  • XIV: 32.82

Russells Weekly Rundown

  • Russell Twitter picture is here
  • VIX Options: Tues - 655k, Weds - 300k, Thurs - 549k, Total 6.79m (4.85m Calls, 1.94m Puts)
  • Crude Oil: OVX/OIV: 36.64 - dramatically lower than earlier in the year.

Volatility Voicemail: Listener questions and comments

  • Question from Gabe - How can something like the VIX be technically oversold?

Crystal Ball: It's time for everyone's favorite game "Where will the VIX close?"

Last week:

  • Mark L. - 13.50
  • Andrew - 12.95

This week:

  • Taylor - 14.25
  • Mark L. - 13
  • Russell - 15.25
  • Mark S. - 14.25

Volatility Views 206: The Many Zones of VIX

Volatility Review: A look at the week from a volatility perspective. VVIX: 77.50 on the low end of the recent range. Russells Weekly Rundown: VIX Options: Mon - 206k, Tues - 560k, Weds - 592k, Thurs - 266k. Total 6.34m (4.55m Calls, 1.78m Puts) XIV:...
Posted May 31st, 2016
  • Volatility Review: A look at the week from a volatility perspective.
  • VVIX: 77.50 on the low end of the recent range.

Russells Weekly Rundown:

  • VIX Options: Mon - 206k, Tues - 560k, Weds - 592k, Thurs - 266k. Total 6.34m (4.55m Calls, 1.78m Puts)
  • XIV: Hit 29.98 this year - the highest level of the year. Relative strength above 60 and rising which points to continued complacency in the marketplace.

Crystal Ball: In which we predict the closing price of VIX.

  • Andrew - 12.95
  • Mark L. - 13.5

Volatility Views 205: What Will the Fed Do, and When?

Volatility Review: What happened this week in volatility? Much ado about nothing? Vol higher, but range is another story Why does VIX sometimes understate volatility? Why aren't people using weeklies strategically? Russell channels Columbo Volume and...
Posted May 23rd, 2016

Volatility Review: What happened this week in volatility?

  • Much ado about nothing?
  • Vol higher, but range is another story
  • Why does VIX sometimes understate volatility?
  • Why aren't people using weeklies strategically?
  • Russell channels Columbo
  • Volume and OI low as nothing looming on the economic calendar
  • What will the Fed to, and when?
  • Headlines versus revisions
  • RUT = growth; SPX = value?
  • Why hasn't OVX dropped given the underlying?

Crystal Ball: Where will the VIX close on Friday? Russell: 14.75. Memorial day is coming, that means an extra headwind is coming our way. Mark S.:Below 14 at 12:30 central time, but 15 at 3:00 pm central time. People taking things easy, with a big vol dump on the 25th and 26th.


Volatility Views 204: Live - to Tape - from OIC 2016

Volatility Views 204: Live - to Tape - from OIC 2016 This time, we are coming to you live (to tape) from OIC 2016, but fear not...Russell Rhoads was there, too. Volatility Review: Red on the screen means green for the VIX. 16 will be over/under for...
Posted May 13th, 2016

Volatility Views 204: Live - to Tape - from OIC 2016

This time, we are coming to you live (to tape) from OIC 2016, but fear not...Russell Rhoads was there, too.

Volatility Review: Red on the screen means green for the VIX. 16 will be over/under for high/low on VIX going forward. VVIX is back above 90, though, and that's pretty high. Earnings season starting to wane. Slow decline of ESPN weighing on DIS earnings. Shake Shack.

Russell's Weekly Rundown:

  • May 11 auctions, May 18 expiration
  • Why is VXX more successful than other, similar products?

Crystal Ball: Wild prognosticating. Russell offers the WILD idea of predicting May VIX settlement.

  • Russell: 15.27
  • Mark: 14.70

Volatility Views 203: Hot New Volatility Products

Volatility Review: CBOE Livevol launches new data shop website: datashop.cboe.com. Non-farms and volatility: VIX can be deceiving as steep curve shows uncertainty. New VIX ETFs: VMAX/VMIN. Russells Weekly Rundown: VIX Options: A light volume week...
Posted May 9th, 2016

Volatility Review: CBOE Livevol launches new data shop website: datashop.cboe.com. Non-farms and volatility: VIX can be deceiving as steep curve shows uncertainty. New VIX ETFs: VMAX/VMIN.

Russells Weekly Rundown:

  • VIX Options: A light volume week overall: only one day even remotely exceeding ADV. Total 7.63m (5.58m Calls, 2.05m Puts)
  • Earnings: Last week premium buyers won the day, this week premium sellers are in charge.
  • ATVI - $34.60, ATM straddle $2.45, approx. 7%

Question of the Week Earnings Straddle Battle edition: Which will be more accurate TSLA $20 (8%) or BABA $4.70 (6%) ?

  • 26% Tesla
  • 31% Baba.
  • 17% Sell both!
  • 26% Buy both!

Volatility Voicemail: Listener questions and comments

  • Question from Topcat - Are options less risky and volatile than contracts for difference?
  • Comment from Mark Brant - Since VIX inception, VIX trends up from July to Oct. every year! Just like seasonality in grains!Sweet! @Options ATO: Selling 1k July 18 Puts to buy 2k July 29 Calls for even money! Really liking this play!

Crystal Ball: It's time for everyone's favorite game: Guess where VIX will close. Here are the predictions from when we last met:

  • Russell - 18
  • Andrew -15
  • Mark L. - 15.5

And for this week:

  • Russell - 15.5
  • Mark S. - 13
  • Mark L. - 14

Volatility Views 202: The Flim Flammery of Volatility

Volatility Review: A look back at the week from a volatilityperspective. VIX cash: Creeping back up - a crazy day, almost all of ourpredictions were valid today. Russells Weekly Rundown: VIX Options: A light volume week overall - only on day...
Posted May 2nd, 2016

Volatility Review: A look back at the week from a volatilityperspective.

  • VIX cash: Creeping back up - a crazy day, almost all of ourpredictions were valid today.

Russells Weekly Rundown:

  • VIX Options: A light volume week overall - only on day evenremotely exceeding ADV. Lots of put love on Friday: Total 7.26m(5.41m Calls, 1.85m Puts)
  • Earnings Volatility: A bad time for premium sellers. Most ofthe major names reporting the past few weeks have blown throughtheir straddles - AAPL, MSFT, GOOG, FB, AMZN

Volatility Voicemail: Listener questions and comments

  • Comment from Mark Melin - @RussellRhoads Talk about"anticipatory" nature of VIX futures. I have known several fundmanagers to play this as mean reversion
  • Comment from John K. - One of the Tyler Durdens @zerohedge is a?Credit Derivatives Strategist? @Options: Discuss.
  • Question from R_Chang - The VIX is hovering at 2016 lows. Isthis a good time to buy VIX calls to profit from a potential roarback into the 20s or beyond?

Crystal Ball: It's time for everyone's favorite game "Where willthe VIX close?!"

Last Week:

  • Russell - 16
  • Mark S. - 13.5
  • Mark L. - 14.5

This Week:

  • Russell - 18
  • Andrew - 15
  • Mark L. - 15.5

Volatility Views 201: Revenge of the VIX 1x2

Volatility Review: The VIX has traded below 20 for 37 straight days, the longest such streak in 13 months. The gauge slid 2.2 percent to 13.64 at 9:48 a.m. in New York. Russells Weekly Rundown: VIX Options: A strong volume week - particularly...
Posted April 25th, 2016

Volatility Review: The VIX has traded below 20 for 37 straight days, the longest such streak in 13 months. The gauge slid 2.2 percent to 13.64 at 9:48 a.m. in New York.

Russells Weekly Rundown:

  • VIX Options: A strong volume week - particularly Wednesday. Total 6.83m (5.32m Calls, 1.51m Puts)
  • SEC extends test period to curb U.S. market volatility
  • Big Earnings Week: GOOG, Goldman, INTC, IBM, MSFT, NFLX, SBUX, Southwest, United Airlines, YHOO.
  • Crude Oil: OIV/OVX - 43.50, almost touched 80 back in mid-February.
  • Gold: GVZ 17.90 - well off recent highs.

Crystal Ball: What are the VIX predictions? To review, last week:

  • Mark L. - 15.5
  • Mark S. - 14
  • Russell - 17

This week:

  • Mark S. - 13.50
  • Russell - 16
  • Mark L. - 14.5

Volatility Views 200: VIX Down, but Premium Up

Volatility Review: VIX got crushed, VIX IV did not. CBOE announced it has created a series of 13 "Buffer Protect Indexes." Russells Weekly Rundown: VIX Options: A strong volume week - particularly Wednesday (1.08M). Total 8.52M (6.46M Calls, 2.07M...
Posted April 18th, 2016

Volatility Review: VIX got crushed, VIX IV did not. CBOE announced it has created a series of 13 "Buffer Protect Indexes."

Russells Weekly Rundown:

  • VIX Options: A strong volume week - particularly Wednesday (1.08M). Total 8.52M (6.46M Calls, 2.07M Puts)
  • Trading hours for RVX Futures expanded - new start time 7:30am CST.
  • Earning volatility this week: Alcoa, Citigroup, JP Morgan Chase, Bank of America, Delta Airlines
  • Crude Oil: OIV/OVX - up 9% to $50.50. WTI Crude - 3% into oil meeting.
  • Gold: GVZ 17.83 - well off recent highs.

Volatility Voice mail: Listener questions and comments

  • Question from LosAngelino: What happened to the single name VIXes? You guys talked about them on the show years ago for names like Apple and Amazon. But I do not see them trading anywhere. Were they ever listed?
  • Question from Nick C. - Do OTM VIX calls suffer from the same inflated volatility premium as S&P 500 OTM puts? If so does it not make them both prohibitively expensive to use as a hedging vehicle?

Crystal Ball: Last episode the VIX guesses were:

  • Mark L. - 14.5
  • Russell - 17
  • Mark S. - 15.5

Big earnings week next week: GOOG, Goldman, INTC, IBM, MSFT, NFLX, Southwest, United Airlines, YHOO


Volatility Views 199: An Epic Treatise on Dynamic Hedging

Volatility Review: Russells Weekly Rundown VIX Options: A moderate volume week. M: 266K T: 400K W: 572K Th: 614K Total 7.45m (5.73m Calls, 1.72m Puts) Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February. Gold: GVZ 19.32 - Well off...
Posted April 11th, 2016

Volatility Review: Russells Weekly Rundown

  • VIX Options: A moderate volume week.
    • M: 266K
    • T: 400K
    • W: 572K
    • Th: 614K
    • Total 7.45m (5.73m Calls, 1.72m Puts)
  • Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February.
  • Gold: GVZ 19.32 - Well off recent highs.

Volatility Voicemail: One giant listener question.

Question from Jeremy - Hi Guys, This show is a great resource and has taught me a lot throughout the years. I was listening to the most recent show on March 11th "Uncovered Covered Calls and IRA Options Debate" and I wanted to write in regarding the discussion on dynamic hedging of a short option position. First, let me quickly introduce myself to provide some context.

My name is Jeremy and I am in the final year of my PhD in computer engineering with a MS in applied mathematics and statistics and a BS in math. I have spent the past 4+ years researching for the NASA Ames Research Center. My PhD research focuses on the modeling, simulation and analysis of stochastic processes and the application of optimization algorithms to the air traffic control system. Here is a link to my LinkedIn to verify my academic record and list of publications.

In addition to my PhD research, I am working on starting a fund with two other academics. The fund specializes in delta neutral trading and has developed two tools to execute volatility premium harvesting strategies. I provide a short description of the tools below. In particular, the second tool is directly related to the dynamic hedging of a short option position and the discussion on the previous show.

1) Our stochastic volatility tool estimates volatility using high-frequency data, such that the microstructure noise is directly accounted for. The tool uses a Bayesian MCMC algorithm to provide estimates of the volatility where estimates are consistent across all sampling time scales. Moreover, the tool provides samples of arbitrarily large number of volatility paths though time.

2) Our stochastic optimal control tool to hedge a short option position (or a combination of short option positions). After the option is sold, the risk can be controlled by effecient delta hedging. This can be done by calculating the optimal price boundaries to trigger a hedge in the underlying asset. Moreover, these boundaries are informed by the dynamics of the volatility as calculated from our stochastic volatility tool.

The strategy that the Greasy Meatball provided on the show to hedge the short option at the close of every trading day is a good start. The problem with the strategy is that this approach is a sub-optimal timing mechanism. Many days you will hedge at the close when you don't need to, leading to increased trasaction costs. Instead, this problem should be formulated as an optimization problem that we can solve to provide the best strategy.

A little background on the academic literature. In an ideal world under the Black Scholes model with no transaction costs the options can be hedged perfectly. In the presence of transaction costs, a continuous hedging strategy is prohibitively expensive. Hence, it is impossible to perfectly replicate the option in this setting when there are transaction costs and, as a result, trading in an option involves an essential element of risk.

How to optimize with respect to this risk and uncertainty has been a topic of research throughout the economic and control literature. There have been many different strategies throughout the years. Briefly I will present one strategy which minimizes the standard deviation of hedging error when compared to many, if not all, of the other strategies.

The attached paper was published in 2009 in the Journal of Economics Dynamics and Control by a Professor of Statistics at Stanford. As can be found in the paper, the problem of option hedging in the presence of proportional transaction costs can be formulated as a singular stochastic control problem. The authors approach is based on minimization of a Black?Scholes-type measure of pathwise risk, defined in terms of a market delta, subject to an upper bound on the hedging cost. The approach can also be applied to solve the problem of maximizing the investors utility at the terminal time of the option contract.

The main idea of the attached paper is to calculate price boundaries that trigger a hedge in the stock. Moreover, the number of shares that should be held when we reach the boundary is also calculated. Attached to this email is a screen shot from the paper that illustrates these price boundaries. Without getting into too many details, the top figure illustrates the price boundaries for an option with "1 unit of time" left (think 1 month). And the bottom figure illustrates the price boundaries for an option with "0.25 units of time" left (think 0.25 months). As can be seen in the figure, the shape of these boundaries changes with respect to how much time is left to expiration.

This email is most likely too long so I will stop my explanation here, but I would love to continue this discussion with you guys. If you are interested in learning more about the stochastic optimal control or the stochastic volatility tools me and my fund have developed please ask. In particular, I can provide more detail on our stochastic control and how it is an enhancement of the control that is developed in the attached paper. The key difference being that their tool assumes a constant volatility over the time horizon, whereas our tool allows for the volatility to change as a function of time.

I hope to hear your thoughts and get any feedback you may have! Best, Jeremy

Crytstal Ball: Where did we think VIX would be?

  • Two episodes ago: Russell - 15.5/8, Mark S. - 14.25, Mark L. - 15
  • Last episode: Andrew - 13.01, Mark L. - 12
  • This week: Russell - 17, Mark S. - 15.5, Mark L. - 14.5

Volatility Views 198: Fools for Volatility

Volatility Review: Nonfarms and volatility. Looking back on Q1: VIX High - on Jan. 20, Low - 13.06 on March 30, VVIX High - 121.15. VVIX Low 77.29. The great crushing - VIX Cash falls 50% in about a month. Did the VIX fall too far, too fast? VIX...
Posted April 4th, 2016

Volatility Review: Nonfarms and volatility.

Looking back on Q1:

  • VIX High - on Jan. 20, Low - 13.06 on March 30, VVIX High - 121.15. VVIX Low 77.29. The great crushing - VIX Cash falls 50% in about a month.
    Did the VIX fall too far, too fast?
  • VIX Options: A fairly light volume week. Total 6.85m (5.26m Calls, 1.59m Puts)
  • Crude Oil: OIV/OVX - 46
  • Gold: GVZ - 18.50, well off recent highs.

Volatility Voicemail: Question from ChaChing - How does last month's VIX backwardation streak stack up to the run above 20 last year?

Crystal Ball: Where do the hosts think that VIX will close on Friday? Andrew: 13.01, Mark throws caution to the wind and says 12.00.


Best of Volatility Views: A Disturbance in the VIX Force

Friday may have been a trading holiday, but you still need Volatility Views, right? We dug through the archives to bring you some of the best of Vol Views. This episode was posted in November, 2015.
Posted March 28th, 2016

Friday may have been a trading holiday, but you still need Volatility Views, right? We dug through the archives to bring you some of the best of Vol Views. This episode was posted in November, 2015.


Volatility Views 197: Holy Vol Crush

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84. Russells Weekly Rundown: VIX Options: A fairly strong volume week. Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m...
Posted March 21st, 2016

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84.

Russells Weekly Rundown:

  • VIX Options: A fairly strong volume week.
  • Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m calls, 1.28m puts)
  • Crude Oil: OIV/OVX - 46, about 49 today, almost touched 80 back in mid-February, multi-year high.
  • Gold: GVZ 18 - well off recent highs. GVZ - peaked around 28 back in mid-February - last hit these levels in June 2013 - so nearly 3-year high.

Volatility Voicemail: Listener questions and comments

  • Question from George K. - What is the thought process regarding the new SPYIX and hedging? Can you hedge it with VIX Futures?
  • Question from BJLane - VIX vs. RVX - Which performs better for call verticals? Which pops better when it hits the fan?
  • Question from Jacro - Why no volume in RVX?

Crystal Ball: VIX Predictions:

  • Russell - 15.5/8
  • Mark S. - 14.25
  • Mark L. - 15

Volatility Views 196: More from the CBOE Risk Management Conference

Volatility Review: A look back at the week from a volatility perspective. VVIX - 95 Earnings volatility: The season is winding down - except for Dollar General Russells Weekly Rundown: VIX Options: A fairly strong volume week. Total 7.49m (5.54m...
Posted March 15th, 2016

Volatility Review: A look back at the week from a volatility perspective.

  • VVIX - 95
  • Earnings volatility: The season is winding down - except for Dollar General

Russells Weekly Rundown:

  • VIX Options: A fairly strong volume week. Total 7.49m (5.54m calls, 1.95m puts). VIX faces challenge from trading robots unleashed by bats
  • Crude Oil: OIV/OVX - 52. WTI skew chart
  • Gold: GVZ 23.36 - Elevated

Volatility Voicemail: Listener questions and comments

  • Comment from Chic9 - Selling puts = blowout!
  • Question from Nic s. - Why was there such an emphasis on selling puts at RMC? Is that not an old strategy?
  • Question from JV - Can you explain the free cash flow yield theory and why it would help improve strike selection for selling puts?
  • Question from Labeach2 - Ratio verticals work in VIX what about SPX and SPY - sell 1 ATM buy 2 OTM to hedge and spec. No studies on that? Seems better than just blasting away ATM puts?
  • Question from JPeach - I really enjoyed the wrap up episode from the CBOE conference. I thought the discussion about the pension fund manager panel was particularly interesting. Two questions: 1. What percentage of pension funds out there use options in some capacity? 2. Is CBOE going to make that panel available to the public?

Crystal Ball: Where will the VIX close on Friday?

  • Russell - Above 25
  • Mark S. - Low 20s
  • Marl L. - 23

Volatility Views 195: Highlights from the 2016 CBOE Risk Management Conference

Today, Mark is joined by Mark Sebastian and Russell Rhoads from Florida, where they discuss their thoughts, ideas, and take-aways from the CBOE Risk Management Conference. To get the details on what was discussed at RMC, please visit the...
Posted March 7th, 2016

Today, Mark is joined by Mark Sebastian and Russell Rhoads from Florida, where they discuss their thoughts, ideas, and take-aways from the CBOE Risk Management Conference. To get the details on what was discussed at RMC, please visit the website.

Some key take-aways:

  • Put selling. Put selling. Put selling
  • Put selling versus bond ownership
  • The intersection of macroeconomics and volatility levels
  • Getting past the gatekeepers
  • Tax treatments
  • and more

Volatility Views 194: CDS / VIX Correlation

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost. Russells Weekly Rundown: Wednesday weeklys! VIX Options: Fairly light volume week. Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k. Total 5.55M (3.89M calls,...
Posted February 29th, 2016

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost.

Russells Weekly Rundown:

  • Wednesday weeklys!

VIX Options:

  • Fairly light volume week.
  • Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k.
  • Total 5.55M (3.89M calls, 1.66M puts)

Even more CBOE studies!
Crude Oil
Recent rumors of supply action driving crude.
Volatility remains on low end of recent elevated range. OIV/OVX - 67.
Gold: GVZ 23.36 (elevated)

Volatility Voicemail: Listener questions and comments:

  • Options Question of the Week: No love for more options exchanges - Twitter poll has 60% of respondents saying "Heck no to more exchanges!!!"
  • Question from George T. -What is the longest stretch of backwardation in VIX history?

Crystal Ball: Vol Predictions: Russell - higher than everybody - above 25. Mark S. - low 20s. Mark L. - 23


Volatility Views 193: Talking Electoral Volatility

Volatility Review: VIX. Contago has returned - VIX out of the red zone. CBOE Russel Study - Analyzing Russell 2000 Index options-based benchmark indexes designed to provide enhanced yields and risk-adjusted returns. VIX Options: A strong start to...
Posted February 22nd, 2016

Volatility Review: VIX. Contago has returned - VIX out of the red zone. CBOE Russel Study - Analyzing Russell 2000 Index options-based benchmark indexes designed to provide enhanced yields and risk-adjusted returns.

  • VIX Options: A strong start to the week after the holiday. Total 4.95m (3.39m Calls, 1.57m Puts)
  • Crude Oil: Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67
  • Gold: GVZ 25.67 - Extremely elevated. Gold rallying hard in recent sessions.

Volatility Voicemail: Listener questions and comments

  • Option Insider Question of the Week: How Many U.S. Options Exchanges Do We Need?

    5% - 14 is perfect!

    30% - The more the merrier.

    60% - Make it stop!

    5% - Other

  • Question from George K. - What typically happens to volatility around a presidential election?

Crystal Ball: The celebrations for Chinese New Year are over. Back to work!

Where will VIX be next week?

  • Sebastian: 26 on Thursday, 24.5 on Friday.
  • Russell: Low 19s
  • Mark: 21.50-22

Who will win? Tune in next week to see


Volatility Views 192: Crude Oil Crazytown

Volatility Review: Earnings Volatility: TWTR and TSLA. Presidents Day holiday weekend coming out aggressively. VIX Options: A strong volume week. 1.2M contracts Thursday. Total 6.87m (4.65m Calls, 2.22m Puts) What is going to goose the...
Posted February 16th, 2016

Volatility Review: Earnings Volatility: TWTR and TSLA. Presidents Day holiday weekend coming out aggressively.

VIX Options:

  • A strong volume week. 1.2M contracts Thursday.
  • Total 6.87m (4.65m Calls, 2.22m Puts)
  • What is going to goose the VIX?

Crude Oil:

  • Volatility remains elevated - Crazy OIV spike on Weds, over 100.

Gold:

  • GVZ 28.37 - extremely elevated!

Volatility Voicemail: Listener questions and comments

  • No love for daily options - Twitter poll has 40% of respondents saying "heck no" to dallies!
  • Question from Hot Emini - There is a big disconnect in retail that Theta is all. But is vega not the king greek for pros? What about gamma? where does that fall in the mix?

Crystal Ball: Highs in VIX?

  • Russell - 25?
  • Mark S. - 29/30?
  • Mark L. - 23/24

Volatility Views 191: Earnings Apocalypse

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX). VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts) Earnings Volatility: LNKD after the bell: ATM straddle...
Posted February 8th, 2016

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX).

  • VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts)
  • Earnings Volatility: LNKD after the bell: ATM straddle = $22, approx. 11.5%, after-hours move approx. $50.
  • Crude Oil: Wall St. fluctuates as equities track oil prices. Is oil driving the stock market? And should traders care?

Volatility Voicemail: Listener questions and comments

  • Question from GBL - Stock splits are seen to be greatly beneficial to options volume. But do they also decrease volatility, which should hurt options trading?

Around the Block: Prognosticating. Wild and reckless prognosticating.


Volatility Views 190: The VIX Red Zone

Volatility Viewpoint: VIX outside of "Red Zone" indicates no recession, Goldman says. The Goldman Sachs analysis shows the VIX is currently in a ?low and rising? phase, which tends to last about two months on average. VIX Options:...
Posted February 1st, 2016

Volatility Viewpoint: VIX outside of "Red Zone" indicates no recession, Goldman says. The Goldman Sachs analysis shows the VIX is currently in a ?low and rising? phase, which tends to last about two months on average.

  • VIX Options: Massive spread on Thursday - Paper buys Mar 27/35 vertical. Total 4.82m (3.15m Calls, 1.67m Puts)
  • Earnings Volatility: AMZN: Bulls dominate Amazon options as earnings loom.
  • Crude Oil: Talk of Saudi/Russian oil deal on production lifted markets earlier this week. OIV: 64. OVX: 63

Volatility Voicemail: Listener questions and comments

  • Question from Andrew T. - Vega is pretty straightforward but is Gamma really a second-order Greek since it measures the rate of change of another Greek?
  • Question from TBig - You guys always talk about VIX futures term structure and contango impacting products like VXX. But does the same not apply to USO and the contango in the crude futures? What about backwardation in both products - how does that impact ETFs?

The Crystal Ball: Reckless prognosticating


Volatility Views 189: VIX vs. Alien vs. Predator

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace. VVIX: 109 VIX futures Russell?s weekly rundown: What weekly VIX options activity caught your eye this week? VIX options: 20,000 VIX Feb 20...
Posted January 25th, 2016

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace.

  • VVIX: 109
  • VIX futures
  • Russell?s weekly rundown: What weekly VIX options activity caught your eye this week?
  • VIX options: 20,000 VIX Feb 20 puts (expiring 2/17); VIX feb30/40 call spread trades (expiring 2/17) 18,500 mid-market; total 3.84m (2.55m calls, 1.28m puts)
  • Crude oil: Oil rose from its lowest close in more than 12 years as investors tried to pick a bottom after government inventory data. OIV: 66; OVX: 66

Volatility Voicemail: Listener questions and comments

  • Question from Pick6 - The VIX is mean reverting with a long-term mean around 20. Does that mean reversion quality make it a good candidate for selling iron condors and iron butterflies?
  • Comment from Envigon - Steak or no steak? What?s the deal?

Crystal Ball: Waiting on rate hikes until Europe/China/Japan lifts off the gas pedal. How many times will the Fed raise rates this year? Sebastain sets the over/under at 1. Russell says it will be zero. Mark says don't count out Q4, but is leaning towards zero. Jared says it will be two. Is there more steak at stake?


Volatility Views 188: Is There a Daily VIX on the Horizon

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not...
Posted January 19th, 2016

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX Weeklies- Many institutional clients had to treat VXST like a new product, receive compliance approval, adopt new systems, etc., that complicated adoption by end users.

Volatility Voicemail: Listener questions and comments

  • Question from Nick B. -Hello mark and greetings to the team on Volatility Views. I very much enjoy your program and have learned much from you and your guests. I have two questions for you guys to mull and (hopefully) answer on a future episode. 1) Do you guys use trading days or calendar days when calculating volatility? 2) Does it seem logical to add some sort of daily volatility product to the VIX universe? The weeklies do well and most spot VIX products have failed but a daily VIX option would track the future/cash fairly tightly. Off topic p.s. - Are you guys as caught up in the making a murderer show as I am?

Crystal Ball: Wild, reckless prognostication.


Volatility Views 187: The Lindsay Lohan of Volatility

Volatility Review: Looking back at 2015. Good to be in the Volatility & Index business - overall index volume only down 1% in 2015. VIX Futures: Trading volume in VIX futures also set new total volume and ADV records for a sixth straight year...
Posted January 11th, 2016

Volatility Review: Looking back at 2015.

  • Good to be in the Volatility & Index business - overall index volume only down 1% in 2015.
  • VIX Futures: Trading volume in VIX futures also set new total volume and ADV records for a sixth straight year in 2015.
  • Five Volatility Market Takeaways from 2015:
    1. VIX Average Closer to Historical Norms
    2. Russell 2000 Volatility Was Relatively Low
    3. SKEW High for the Second Year
    4. VIX Backwardation Lives!
    5. Long and Short Volatility ETP Performance
  • VIX Cash: Up 4.40 yesterday - 21% - got as high as 25.86 on Thursday. VIX Options
  • Total 4.93m (3.54m Calls, 1.39m Puts)

Volatility Voicemail: Listener questions and comments

  • Question from TCruz - Will we ever see a daily VIX option?
  • Question from Vin -Love Options Insider Radio - been mainlining Volatility Views. You always talk about the lack of VIX put volume on that show. Is there a particular month that is most attractive for VIX put buyers?

Crystal Ball: Reckless prognosticating


Best of Volatility Views: Kicking the VIX Can

Originally posted July 20th, 2015 Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX...
Posted January 4th, 2016

Originally posted July 20th, 2015

Volatility Review: Today's guest is Mike Thompson, Typhon Capital

  • VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history.
  • VVIX: 85.55 - Back at the low end of recent range.
  • VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally!
  • VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts)
  • Oil: After some brief signs of life, oil volatility continues to erode.

Volatility Voicemail: Listener questions and comments

  • Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product?
  • Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Best of Volatility Views

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.
Posted December 28th, 2015

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.


Volatility Views 186: The Great Vol Skew Debate

Volatility Review: Welcome to the Post-Fed era. VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show. VIX Options: Heavy volume early this week. 1.2M Monday, 860K...
Posted December 21st, 2015

Volatility Review: Welcome to the Post-Fed era.

  • VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show.
  • VIX Options: Heavy volume early this week. 1.2M Monday, 860K Tuesday.
  • Oil: Who is the bear driving up the price of U.S. stock options?

Volatility Voicemail: Listener questions and comments

  • Question from NJ42 - Where do you think the next big development will come from in volatility research or trading?
  • Question from Alistair - Why are the volatility offerings effectively limited to the S&P 500? Why are there not any real offerings for commodity volatility? People active in those markets also want to hedge their volatility risk?

Crystal Ball: What is left after the Fed?


Volatility Views 185: Volatility Question Extravaganza

Volatility Voicemail: It's time for listener questions Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility? Question...
Posted December 14th, 2015

Volatility Voicemail: It's time for listener questions

  • Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility?
  • Question from Charles M. - How has the dwindling number of options specialists impacted volatility? I believe volatility has increased as a result with days like 8/24 being glaring examples. Please discuss.
  • Question from A. Melendez - Any updates on VSTOXX? Is it coming to the U.S. anytime soon?
  • Question from Zack06 - Can you recommend the definitive study on VIX calls vs. S&P puts? Is there an ultimate winner?
  • Question from AL33T - looking over the Voldex info recently and I cannot figure it out. Why would I want to remove skew from VIX? Is that not valuable trading info?
  • Question from Avery - Why do you guys take such a dim view of TVIX? Am I missing something?
  • Question from Vin C. - What is the correct duration to purchase VXX puts in my retirement account? I would like the best chance at capturing the most erosion over time.

Crystal Ball: Fed still on the horizon in December.


Volatility Views 184: Shadow Gamma and VIX Moral Hazards

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...
Posted December 7th, 2015

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.


Volatility Views 183: A Disturbance in the VIX Force

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend VVIX: 96.18 CBOE Skew Index back to boring - This week: 139.16 VIX Options:...
Posted November 23rd, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend
  • VVIX: 96.18
  • CBOE Skew Index back to boring - This week: 139.16
  • VIX Options: Heavy volume early in the week. 1M contracts on Monday, 800k contracts on Tuesday. Light volume the rest of the week. Total 5.19m (3.77m calls, 1.42m puts)
  • Gold: GVZ this week: 17.57
  • Crude oil: OIV: 42.30, OVX: 43.75

Volatility Voicemail: Listener qquestions and comments

  • Question from Hawkeye - Love seeing Russell as the new addition to the Vol Views cast of characters. You mentioned you wanted a nickname for him. Since he is going for his Phd (but has not quite gotten it yet), he teaches classes for the OIC, and he literally wrote the book on VIX, how about calling him "Professor VIX" (and maybe moving to "Dr. VIX" once he gets his diploma). I also wanted to say that it was great hearing Don "Palms out" Schlessinger a couple shows back. You need to get him on as a guest host more often, and see if the Viceroy can guest host once in a while, too. Lastly, I love hearing from those Typhon guys. Any time you can get them on, please do so. Anybody with the comedic sense to name their trades "mullet" and "tellum" is good in my book. Wit with Wisdom is the best mix. Thanks and keep the great shows coming.
  • Question from TiffanyL1 - Is it possible to simply buy VIX cash without messing with the futures?
  • Question from George T. - Can I buy still buy VIX on the old calculation without the skew?

Crystal Ball: Meandering VIX. Earnings season winding down. Fed on horizon in December.


Volatility Views 182: The Yellen Finger Premium

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19 VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\ VIX...
Posted November 16th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19
  • VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\
  • VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts)
  • Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5%
  • Gold - GVZ this week: 18.47, GVZ last week: 17.69
  • Crude Oil - OIV: 43.14, OVX: 43.93

Volatility Voicemail: Listeners have their day

  • Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so why are the spreads so wide? Do you think it is worth the approximately 33% increase in cost to trade a weekly vs. a standard monthly? Thanks for the show. Keep up the good work sirs and welcome aboard to russell.
  • Question from Pick6 - When a takeover is announced does the volatility (time value) of farther out options erode or go away?

Crystal Ball: Earnings season is in full swing. Fed on the horizon in December.


Volatility Views 181: Earnings Strangles & Volatility Failures

Today, Mark is joined by: Mark Sebastian, from Option Pit Russell Rhoads, Senior Instructor, the Options Institute Kevin Nichols, Director, CBOE LiveVol Volatility Review: A look back at the week from a volatility perspective,...
Posted November 9th, 2015

Today, Mark is joined by:

Volatility Review: A look back at the week from a volatility perspective, including:

  • Non-farm numbers and the resulting market reaction
  • Bifurcated earnings season
  • A less volatile VIX?
  • SKEW index
  • Earnings crush
  • VIX weekly options
  • Is there a new 12 for VIX?
  • Put love in VIX-land
  • Mark S. extrapolates VIX weekly trading for the past seven years
  • Earnings! The force is strong with DIS.
  • Crude: WTI Skew

Volatility Voicemail: Listener questions and comments

Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse?

Question from Pick6: Are there too many VIX-related products? Have any of them ever failed?

Crystal Ball: Earnings season! What will the Fed do in December?


Volatility Views 180: Busting VIX Meltdown Myths

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses: CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days:...
Posted November 2nd, 2015

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses:

  • CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days: 64. ADV: 5.25M, Total Trading Volume: 335.7M.
  • Update on TYVIX & RVX.
  • VIX Cash: VIX cash remains south of 15 handle.
  • VIX Futures: Dramatic movements in CBOE Skew Index. Two weeks ago: 151.22, last week: 121.02, this week: 134.63. Previous high around 140 last year.
  • VIX Weeklies - Week 4: Another robust volume week for weeklies
  • VIX Options: Total 6.76m (4.80m calls, 1.95m puts)
  • Gold: Fed squeezing gold yet again. GVZ: 15.77
  • Crude Oil: OIV: 43.16, OVX: 43.63

Crystal Ball: Earnings season in full swing. Nonfarms next Friday.


Volatility Views 179: The Great Skew Implosion

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days. Skew Index: A...
Posted October 26th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days.
  • Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02
  • VIX Weeklies: Another robust volume week for weeklies.
  • VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts)
  • Now that Google is Alphabet, options suggest another big stock move.
  • Gold: GVZ: 15.59
  • Crude Oil: OIV: 40.18, OVX: 40.22

Volatility Voicemail: What do our listeners have to say?

  • Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics.
  • Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfoil hat territory. Surprised to hear that coming out of Artemis.
  • Comment from mark brant ?- What a relief! Btw fantastic story of the Vol skew big bang by Herr Doktor Schlesinger! A perfect collar is a work of art! Thanks!? Cool thing about selling VIX options spreads is no theta, a pure Vol play at all tenors!
  • Question from Ironc - So Taleb and the 1x2 guy both love backspreads. Are backspreads pretty much the ideal volatility trading position? They have little or no net outlay and let you stay in the game long enough to profit from the big moves. I have to say I am becoming a fan. Are there any secret downsides that I am missing?
  • Question from Varz - Any good recommendations for variance swap volume data?
  • Question from Dan D. - Can you please explain the CBOE skew index? What is it and what does it measure? Thank you

Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?


Volatility Views 178: The Primordial History of Volatility Skew

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days Zero Hedge back on the soapbox - Moral...
Posted October 19th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days
  • Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer
  • VIX Weeklies: Another robust volume week.
  • VIX Options: VIX Nov 25-30 Call spread papa buys about 7k. Paper "buys" 15K Nov 15 puts. Total 9.58m (6.23m Calls, 3.35m Puts)
  • Crude Oil: OIV - 42.28, OVX - 41.99

Volatility Voicemail: Listeners have their say.

  • Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

Volatility Views 177: VIX Weeklies Launch with a Bang

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: The streak is done - VIX firmly below 20! VIX Weeklies finally join the party - decent volume for the first day. A theory of why the VIX sputtered on Aug 24. VIX...
Posted October 12th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • VIX Cash: The streak is done - VIX firmly below 20!
  • VIX Weeklies finally join the party - decent volume for the first day.
  • A theory of why the VIX sputtered on Aug 24.
  • VIX Options: Some early call selling during the rallies - but primarily more VIX upside call buying.
  • Gold: GLD continues to dive.
  • Crude Oil: OIV - 43.98, OVX - 42.97

Vol Voicemail: Listeners weigh in

  • Question from Nigel B - How are crude options and volatility looking with this rally toward 50? Lots of call love?
  • Question from Alamut01 -SPX sells off over 2% last week and VIX barely budges. What up?
  • Question from IVUP - Can you please give us a status update on the Voldex products particularly a release date?
  • Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?


Volatility Views 176: Backward No More

Volatility Review: A look back at the week from a volatility perspective. Moving up the list - 28 days over 20 in the VIX Cash. VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back! VIX:...
Posted October 6th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • Moving up the list - 28 days over 20 in the VIX Cash.
  • VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back!
  • VIX: Total 7.77m (4.80m Calls, 2.97m Puts)
  • SPX: Spot Price = 1920.70. Puts/Calls = 2.53.
  • GLD: Spot Price = 108.90. Puts/Calls = 0.40.
  • Crude Oil: OIV - 44.81, OVX - 44.75

Volatility Voicemail: Listeners have their say.

  • Comment from Mark Brant - Being afraid of selling W1 IV is just wrong! We are traders, not market makers! Gamma cannot hurt us selling tight Vertical Spreads!
  • Question from Noodles - VIX the tail or the dog? Hello Vol squad. I was just talking with a few of my trading buddies (all VIX options traders) and they were complaining that VIX does not represent SPX volatility anymore. They said that it is its own beast now because so many people are just trading VIX and VIX products and not SPX. I thought I would put it to the Vol pros to settle the debate. Incidentally, I also turned them on to your program in the process. Bonus points for me. Your insight would be appreciated.
  • Comment from Joe S. - With regard to the listener who wrote in looking for a good quick Vol calculator - I find the Greeks breakdown on TOS to be particularly informative for my trading. Maybe he should try a paper account there to see what he thinks. Hope that helps him out.

The Crystal Ball: Wild prognostication


Volatility Views 175: Blast from the VIX Past

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil. Volatility Voicemail: Listener questions and comments Iron flies Getting tchotchkes Tick-by-tick calculator What drives...
Posted September 28th, 2015

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil.

Volatility Voicemail: Listener questions and comments

  • Iron flies
  • Getting tchotchkes
  • Tick-by-tick calculator
  • What drives the VIX?

Crystal Ball: The challenges of prognosticating.


Volatility Views 174: Volatility Questions Remain

Volatility Review: A look back on the week from a volatility perspective. What happened post-Fed? VIX remained elevated going into Fed announcement VIX, VVIX Advice offered to the Fed Irrational exuberance abides VIX Cash making waves, VIX...
Posted September 18th, 2015

Volatility Review: A look back on the week from a volatility perspective.

  • What happened post-Fed?
  • VIX remained elevated going into Fed announcement
  • VIX, VVIX
  • Advice offered to the Fed
  • Irrational exuberance abides
  • VIX Cash making waves, VIX options, not so much
  • Weekly VIX options can?t come soon enough
  • The madness that is VXUP and VXDN
  • RVX and VIX still within spitting distance of each other
  • Mark has opinions on the Goldman Sachs research team

Volatility Voicemail: Listener questions and comments

  • Quadruple witching: does it impact option volatility?
  • Product question on: VXST, VolDex

Crystal Ball: Wild and reckless prognosticating


Volatility Views 173: VIX Vampires

Volatility Review: A look back on the week from a volatility perspective, which includes: VIX Cash RVX VIX Options VXUP VXDN And the Fed Volatility Voicemail: In which listeners have their say Question from Mr. Rose - On 8/21/15, S&P...
Posted September 15th, 2015

Volatility Review: A look back on the week from a volatility perspective, which includes:

  • VIX Cash
  • RVX
  • VIX Options
  • VXUP
  • VXDN
  • And the Fed

Volatility Voicemail: In which listeners have their say

  • Question from Mr. Rose - On 8/21/15, S&P lost 3.19% and VIX is up 8.89 points. Following Tuesday S&P down 2.96%, VIX up only up 2.38 points. Next Wednesday S&P up1.83%, VIX drops 5.31 points. Please explain.
  • Question from Confused - Hey, is there an overwhelming biased to trading calls in the VIX? Why? What about VIX puts, does anyone trade them?
  • Question from Jacob - What are some examples of basic volatility arb strategies? Thanks for the program.

Crystal Ball: Wild and reckless prognostication


Volatility Views 172: The VIX Futures Conflagration

Volatility Review: A look back at the week in volatility VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a...
Posted September 8th, 2015

Volatility Review: A look back at the week in volatility

  • VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession.
  • VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places.
  • VIX Options: Sept. 1 - 1.5M Contracts, Sept. 2 - 791K Contracts, Sept. 3 - 1.1M Contracts
  • VelocityShares Daily Inverse VIX Short-Term ETN (XIV) has accumulated $1.1 billion in net inflows, according to ETF.com.
  • VXY: Additionally, over the past two weeks, the ProShares Short VIX Short-Term Futures ETF brought in $540.3 million in net inflows and now has $599.9 million in assets under management.
  • Crude Oil: Crude market full of volatility and uncertainty.

Volatility Voicemail: Listener questions and comments

  • Comment from Mark Brant - Thanks for sharing the VIX 1x2 call swap roller trader and repeating it until we get it! A super great VIX strategy!
  • Question from Jay G. - Is the interest in VIX options mostly institutional, or is retail there too?
  • Question from Peter R. - Mark, thanks for doing the free webinar. Trying to educate myself regarding VIX. Please answer why if there is backwardation in the VIX term structure is the VXX not trading close to 3 times higher than the VIX? Thank you.

Volatility Views 171: Breaking Down an Absolutely Crazy Week

Volatility Review: Black Monday Redux The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever. VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic. AAPL hit...
Posted August 31st, 2015

Volatility Review: Black Monday Redux

  • The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever.
  • VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic.
  • AAPL hit low of $92 before rebounding.
  • VVIX: Hit a high of 212 on Monday 8/24.
  • VXUP/VXDN: VXUP did 813k shares on Monday - VXDN 650k.
  • Crude Oil: OVX - 51.80, OIV - 51.12

Volatility Voicemail: Listener questions and comments

  • Question from Inchon55 - Was this the week that VIX traders have been waiting for? It seems like they have been buying calls in the 20-strike range all summer with no payoff. Now we finally got the pop they needed. Will this lead to a flurry of more call buying in the months to come?
  • Question from Jim J - Question for Volatility Views - This was a crazy week for Vol traders. What was the craziest thing that jumped out at you?
  • Comment from JoeJoe: Why is everyone making such a big deal about the selloff on Monday? Flash crash? Market manipulation? That is BS! It is August. Everyone knows the market is thin in August. Does this really come as a surprise to anyone?

Volatility Views 170: Double Bag of Ugly

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options. Volatility Viewpoint: How to structure a trading strategy around this kind of...
Posted August 25th, 2015

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options.

Volatility Viewpoint: How to structure a trading strategy around this kind of market? Should you look at volatility products in a vacuum? When will the Fed actually pull the trigger on rates?

Crystal Ball: What is the driver that will push us into a full-on selloff or rally? What is the normal duration of a major VIX pop? Will Jared own Mark a steak?


Volatility Views 169: AAPL and VIX Skewpalooza

Volatility Review: A look back at the week from a volatility perspective China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day....
Posted August 17th, 2015

Volatility Review: A look back at the week from a volatility perspective

China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day. AAPL a utility? What's the Fed going to do? The week in VIX options. Strong volume for the week:

  • 1.6m contracts Monday 8/10
  • 1.4m contracts on Wednesday 8/12
  • 835k contracts Thursday 8/13
  • VSTOXX: Channeling Don S.
  • Crude Oil: Eyeing the continued dive in oil prices.
  • OVX: 43.23
  • OIV: 44.49
  • Gold: Gold Storm on the Horizon

Crystal Ball: Diving boldly unto the breach and making reckless volatility predictions.


Volatility Views 168: Gold Storms and Earnings Straddles

Volatility Review: A review of the week from a volatility perspective. Volatility continues through earnings season - Disney and Tesla hit hard. VIX Cash: 14.13 - Some juice coming back into the balloon. VIX Futures: 12.16 - not as controversial...
Posted August 10th, 2015

Volatility Review: A review of the week from a volatility perspective.

  • Volatility continues through earnings season - Disney and Tesla hit hard.
  • VIX Cash: 14.13 - Some juice coming back into the balloon.
  • VIX Futures: 12.16 - not as controversial as main VIX settlement.
  • VIX Options: Decent volume week - 770k contracts Monday. Total 7.95m (5.89m Calls, 2.05m Puts).
  • Crude Oil: WTI term structure - West Texas Intermediate is heading for its biggest monthly fall this year.
  • Gold: A prominent gold forecaster predicts the metal will drop to a mere $350 an ounce, a level unseen since 2003.
  • Gold Implied Vol: 12.1% as of July 14, 2015 and up to 18.8% on July 21, 2015

Volatility Voicemail: listener questions and comments

  • Question from Antimony - Question for the Vol Squad. Have you had a chance to look over the list of latest index products launched by the CBOE? Any contenders? Personally I think the weekly revamps of put and BXM have promise, along with the 30-delta BXM.
  • Question from Tommy Hendricks - What is your take on weekly VIX Futures so far? Hit or miss?

Crystal Ball: Our future vol predictions.


Volatility Views 167: Consulting on Volatility Strategy

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants. VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week. VIX Futures: New weeklies listed this...
Posted July 27th, 2015

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants.

  • VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week.
  • VIX Futures: New weeklies listed this week.
  • VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts)
  • Gold: GVZ: 19.39 - Spiked nearly 5 handles this week. Gold volatility skew - clear concern in the near term, longer-dated options showing some bullish positioning as well.

Volatility Voicemail: Listener questions and comments.

  • Question from LAX66 - Do you guys know where I can find a list of the pensions and endowments that utilize options and futures for hedging purposes? I would like to see if my money is safe and being put to good use. Is that info publicly available?
  • Question from Bailiwyck - I would like to submit a question from the volatility views radio program. What is the problem with GVZ? Why are there no products to trade with it? I looked it up earlier this week only to find zero contracts traded. Did they delist them? You would think this product would be very popular in a week like this.
  • Question from TalbotL - Let me see if I have this straight. The front end of the VIX curve is where all the crazy stuff happens. So I want to avoid that in my hedges and "kick the can" past it. The longer portion of the VIX curve is where things typically get pricey. So am I correct in assuming that somewhere in the midpoint - around 3 months - is the goldilocks spot where I should buy my porridge? Is that the most effective place to purchase VIX futures for hedging from a cost to vega perspective?

Crystal Ball: Wild prognostications about the future of volatility.


Volatility Views 166: Kicking the VIX Can with Typhon

Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX Futures: Keeping an eye on the term...
Posted July 20th, 2015

Volatility Review: Today's guest is Mike Thompson, Typhon Capital

  • VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history.
  • VVIX: 85.55 - Back at the low end of recent range.
  • VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally!
  • VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts)
  • Oil: After some brief signs of life, oil volatility continues to erode.

Volatility Voicemail: Listener questions and comments

  • Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product?
  • Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Volatility Views 165: Talking Volatility Research with Russell

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments. He discusses: His viewpoint on current volatility landscape VIX spot level - Did VIX cash perform as expected? What are volatility...
Posted July 13th, 2015

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments.

He discusses:

  • His viewpoint on current volatility landscape
  • VIX spot level - Did VIX cash perform as expected?
  • What are volatility strategies?
  • How to talk about volatility mechanics and characteristics with clients?
  • Updates on current and pending Russell volatility products

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Performance vs Market expectations.
  • VVIX: Hovering around 115.
  • VIX Options: Decent but not a strong volume week. Total 7.71m (5.89m Calls, 1.82m Puts)
  • Crude Oil: Volatility creeping back into crude.

Crystal Ball: Peering over the market precipice. Earnings season ahoy. Volatility prognostication.


Volatility Views 164: Can VIX Go to 5?

Volatility Review: A look back at the week from a volatility perspective VIX Cash: VIX poised to start moving aggressively again? VVIX: Hovering around 85 - near the low end of its 1-year range. VIX Options: Back to light volume - all sessions...
Posted June 29th, 2015

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: VIX poised to start moving aggressively again?
  • VVIX: Hovering around 85 - near the low end of its 1-year range.
  • VIX Options: Back to light volume - all sessions below 500k. 3.8/1 Calls over puts.
  • RVX: OI 62 contracts.
  • VXUP / VXDN: Light week here as well - VXUP most days well under 30k shares, VXDN under 5k shares.
  • VSTOXX: Flirted with a 5-month high of 27.5 earlier this week.
  • Crude Oil: Crude Vol creeping lower. OVX - 29.18, OIV - 29.36
  • Rates: TLT Aug IV = 16 - Has not changes much over the past month.

Volatility Voicemail: Listener questions and comments

  • Question from Nick James - Tuned in last week for the first time and heard the discussion on volatility products, and particularly the AccuShares VIX products. I have been intrigued by this product and found your conversation interesting. It sounds like you take a dim view of it and would recommend against me buying shares of the VXUP version. How would you fix it if you could?
  • Question from St. James - How low can VIX go? You guys said on a recent show that a VIX of 1 was not realistic. So what is a realistic low for VIX?
  • Question from Encore - I am a fan of bullish risk reversals or collars in the equity and index world, due to the volatility premium inherent to the puts. It looks like that similar strategy is not as effective in VIX Options and most volatility products. The volatility premium is in the call, so most bullish risk reversals end up costing a net debit rather than generating a credit. So, should I take this to mean that I should flip my strategy to employ bearish risk reversals instead in volatility products? Do they tend to be more effective, or are the call premiums merited in volatility products?

Volatility Views 163: VSTOXX, TYVIX, VVIX and More

Volatility Review: A look back at the week from a volatility perspective June VIX settles at 14.67 VIX Futures: Front month down to 15.15 VIX Options: VIX call/put = 3.9 - getting more attention again. RVX: OI 61 Contracts VXUP / VXDN VSTOXX:...
Posted June 24th, 2015

Volatility Review: A look back at the week from a volatility perspective

  • June VIX settles at 14.67
  • VIX Futures: Front month down to 15.15
  • VIX Options: VIX call/put = 3.9 - getting more attention again.
  • RVX: OI 61 Contracts
  • VXUP / VXDN
  • VSTOXX: Hit 5-month high of 27.75 on Monday ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread widened this week with VIX crisis.
  • Crude Oil: OVX: 30.60; OIV: 30.46
  • Rates: TLT Aug IV = 15 - Has not changed much over the past month.

Volatility Voicemail: Listener questions and comments

  • Question from Tasty Meatballs - What is your take on the new TYVIX index disseminated by the CBOE?
  • Question from Jarvis - This is for the volatility views radio program. There are a lot of players entering the volatility ETF world. Some offer ratio products, inverse products or the new wave of spot products. I would like to know if there is a certain type of ETF or a certain area of the market that you think is ripe for a new volatility product.
  • Question from Azon - How does VSTOXX perform relative to VIX? Just as call heavy? Similar pops to the upside?

Crystal Ball: VIX pop? Buyers to come when the deadline looms.


Volatility Views 162: Return of the VIX Whale

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend. VIX Cash: High of 15.74 on June 9. VIX...
Posted June 15th, 2015

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend.

  • VIX Cash: High of 15.74 on June 9. VIX trending lower throughout the week finally breaking the 13 handle on Thursday.
  • VIX Options: Call love - a heavy volume week, averaging 500k contracts. A massive day on Wednesday - nearly 1.6M.
  • Our 1X2 friend is back!
  • Total 8.13m (6.48m Calls, 1.65m Puts)
  • VIX Up/Down: Nascent VIX Up/Down ETF Could Face Hedging Pressures

Volatility Voicemail: Listener questions and comments

  • Question from Nixy - Just found this hose on iTunes and liked the discussion about the new VIX ETPs. I am curious what you think of the CVol ETF product? Worth my time or more volatility detritus?
  • Comment from Abstergo_US - Great discussion on VXX leap puts. After listening to your program, I pulled up the VXX options chain and pulled the trigger on the Jan 2017 12 puts for around $2 in my IRA. Fast forward a few weeks and these puts are already up well over 10%. Thanks again for the great tip. Seems like everyone should be loading up on these things.

Crystal Ball: Reckless prognostication.


Volatility Views 161: The Great Volatility Skewpalooza

Volatility Review: An action packed week on the market - shrugging off the non-farms. VIX Cash: Major indexes selling off over 1% Thursday. VIX Options: A big call stupid going up in June/July 20s. VXUP/VXDN: VXDN not catching fire like the...
Posted June 8th, 2015

Volatility Review: An action packed week on the market - shrugging off the non-farms.

  • VIX Cash: Major indexes selling off over 1% Thursday.
  • VIX Options: A big call stupid going up in June/July 20s.
  • VXUP/VXDN: VXDN not catching fire like the VXUP
  • Crude Oil: OIV & OVX
  • IMF: The Mark-Jared bets continues.

Volatility Voicemail: Listener questions and comments

  • Skew: What is it? Should it exist? Why does it exist?

Around the Block: Summer VIX is back in season.


Volatility Views 160: Cheat the Right Way

Volatility Review: The week in review, from a volatility perspective Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle. VIX Futures: Front month future flirted with 15 during the selloff. VIX Options: Anemic...
Posted June 1st, 2015

Volatility Review: The week in review, from a volatility perspective

  • Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle.
  • VIX Futures: Front month future flirted with 15 during the selloff.
  • VIX Options: Anemic volume week post-holiday - only 63k contracts through 11am. Still mostly call buyer in June - primarily VIX. Total 6.06m (4.73m Calls, 1.33m Puts)
  • VXX: Puts trade in iPath S&P 500 VIX Short Term ETN (VXX) are up 0.34 to 19.02 today. VXX is near the lower end of the 52 week range.
  • VXST: Volume: 0, OI: 4. VXST will be replaced by VIX weeklies probably by the end of the summer depending on VIX weekly approval and launch.
  • Crude Oil: OIV: 33.04; OVX: 32.5

Volatility Voicemail: Listener questions and comments

  • Question from Aeschylus - One thing I cannot understand clearly is why there is so much focus on the volatility smile. Given my knowledge of the Black and Scholes model, this is what I get: People use the volatility smile as a forecast of future volatility. They assume that the market is 100% efficient and everyone would engage in dynamic hedging if they could or that everyone agree that the Black and Scholes model gives the "fair" price for the option, whatever it means to them. Therefore any difference between the market price and the BS price shouldn't be interpreted as an opportunity for arbitrage or a presence of model risk, but what 'the market' is saying the BS parameters should be, in special the volatility the market is predicting for the future time until the maturity of the European option.
  • Question from James Bass - Why is IV different between put and call of same strike? In his book Dynamic Hedging Nassim Taleb says that the volatility of an OTM put should be exactly equal to that of a corresponding in the money call of same strike. But in option chains, the calls always have a slightly higher IV than the corresponding put. Is this because I am looking at American option chains and not European?

Volatility Views 159: The VXUP and VXDN Surprise

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back. VIX Cash: Low: 12.09, High: 13.27 S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent...
Posted May 26th, 2015

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back.

  • VIX Cash: Low: 12.09, High: 13.27
  • S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent range.
  • Skew Index: 121.11 - also on the low end of recent range.
  • Put vs SPX White Paper: A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index.
  • VIX Options: A strong volume week. 945K Contracts on Monday, 750k Tuesday, 700k Wednesday and only 350k Thursday.
  • VIX Up / VIX Down: Despite our doubts last week, the product is doing heavy volume.
  • Question from IVDaily - Please explain the VXUP and VXDN products to me. I am very confused. What am I getting if I buy this thing? Its not really spot VIX that I am getting, but the actual percentage move in the spot VIX, correct? What does this paired contract thing mean? Do I have to wait for someone to sell VXUP before I can buy the VXDN and vice versa? Shed some more light into the darkness please guys.

Volatility Voicemail: Listener questions and comments

  • Question from Gerry Engle - Hola fellows. Like the programs especially Option Block and Volatility Views. I noticed you guys do not talk much about technicals. The few times you have mentioned them you seem to take a dim view of them. Why is that? Are there no technicals that you feel are useful for options traders to pay attention to? What about volatility technicals?
  • Question from Ibrahim Hawash: Hi Mark. This is Contrails again, after several months away from options I forayed into Forex my original trading stumping ground smile emoticon I learned a lot about price action support and resistance, trend lines, pivots etc... I am looking now into options for position trading. I am so comfortable doing directional trades, bullish and bearish speculation and not yet into vol trading. My question is if I find a stock sitting on strong support and at a very low IV% (MU and PG is what I am looking at) along with confirming buying volume would you buy a OTM or ITM calls? I have a feeling you will say why not sell puts smile emoticon but let?s stick with calls for now given my account restriction. Is there a golden rule on choosing ITM vs OTM in this situation? I read that only buy ITM calls because OTM expire worthless as in hear.
  • Also my understanding that when IV% is very low you would not buy call vertical spread and choose to buy calls, is this correct? I also have a question, do leap options IV increase at earning times along with shorter expiration options? One more thing, forgot to ask that I am looking to buy calls expiring in 2-3 months and I am looking at daily candle stick charts.

Crystal Ball: Reckless prognostication. Will there be a Tuesday morning pop?


Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Views 158: Is VIX Without Contango Even Possible? Volatility Review: A look back at the week in vol VIX Cash: High: 15.13 - Low: 12.41 VVIX: 82.12 S&P 30-day realized Vol: 10 VIX Options: Total: 7.84m (5.84m Calls, 2.01m...
Posted May 18th, 2015

Volatility Views 158: Is VIX Without Contango Even Possible?

Volatility Review: A look back at the week in vol

  • VIX Cash: High: 15.13 - Low: 12.41
  • VVIX: 82.12
  • S&P 30-day realized Vol: 10
  • VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts)
  • Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total.
  • Crude Oil: Crude bears are starting to show their claws again.
  • OVX 31.67 - OIV 32.18
  • This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years.

Volatility Voicemail: Listener questions and comments

  • Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long time and come to the conclusion that delta-neutral is the best way to capture volatility in the marketplace right now. But I do not want to tie up all of my capital and all of my time managing and adjusting one trade. I would prefer to buy or sell something that handled the lion?s share of the work for me. If there was some slippage on the execution I could live with it as the ultimate cost of using a packaged product vs. doing it myself. Thoughts? Am I crazy? I would love to get the old VolX guys opinion on this as well if possible since I assume they have insight into this issue.

Volatility Views 157: It Looks Good Until It Blows Up

Volatility Viewpoint: Today's guest is Euan Sinclair, Author of Volatility Trading Editions 1 & 2, as well as Options Trading. He discusses: What is driving the pronounced decrease in VIX? What were the primary drivers of the dramatic increase...
Posted May 11th, 2015

Volatility Viewpoint: Today's guest is Euan Sinclair, Author of Volatility Trading Editions 1 & 2, as well as Options Trading. He discusses:

  • What is driving the pronounced decrease in VIX?
  • What were the primary drivers of the dramatic increase in "Vol-of-Vol" we saw at the end of 2014?
  • CBOE is launching VIX weeklies soon. Does he feel they have the potential to succeed where VXST has failed miserably?
  • A sneak peek of any book he currently has in the works.

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Low - 12.10, High - 16.36
  • VIX Options: Total 6.62m (4.76m Calls, 1.86m Puts)
  • Crude oil: OVX & OIV

Volatility Voicemail: Listener questions and comments

  • Question from Mark Brant: Please address how IV chain structure can make a spread more viable or less viable and how liquidity affects such IV structures.
  • Question from AdamVega:Hello I am a big fan, thank you for your great shows. I have been looking for a platform that I use for Backtesting. I currently use thinkorswim but Backtesting is slow and not reliable. Any suggestions? Thanks AdamVega

Volatility Views 156: VSTOXX vs. VIX

Volatility Review: A look back at the week from a volatility point-of-view VIX Cash: Low: 12.33 - High: 15.29 VIX Options: Another modest volume week. 75k May 20 calls purchased Wednesday for $.40. Paper buying June 23 puts for $.15. June...
Posted May 4th, 2015

Volatility Review: A look back at the week from a volatility point-of-view

  • VIX Cash: Low: 12.33 - High: 15.29
  • VIX Options: Another modest volume week.
  • 75k May 20 calls purchased Wednesday for $.40.
  • Paper buying June 23 puts for $.15.
  • June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
  • Total 6.14m (4.39m Calls, 1.75m Puts)
  • Options volume slid in first quarter.
  • Volatility cycles and stock trends.
  • International Volatility: India VIX caps monthly advance as futures rollover below average.
  • Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

  • Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
  • Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?
  • Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather ?meh? lately, with people selling vol into non-farms. What?s the outlook for this week?


Volatility Views 155: Trade the VIX Mullet

Volatility Viewpoint: Today?s guest is Mike Thompson of Typhon Capital. He discusses: VIX Futures VXST The mainstream acceptance of volatility VXX and VSTOXX Volatility Review: A look back at the week from a vol perspective A...
Posted April 27th, 2015

Volatility Viewpoint: Today?s guest is Mike Thompson of Typhon Capital. He discusses:

  • VIX Futures
  • VXST
  • The mainstream acceptance of volatility
  • VXX and VSTOXX

Volatility Review: A look back at the week from a vol perspective

  • A groundhog day in volatility.
  • VIX: volume down significantly.
  • VIX Options: Put love later in the week. June 14-18-21 fly spread going up.
  • Gold: GVZ hitting a seven month long, near the 15 handle.
  • Crude Oil: The bulls are back in crude.

Volatility Voicemail: Listener comments and questions

  • Question from Tim Engels - Been a lot of ink lately about VIX volume being in the toilet. You guys have touched on it once or twice on the program as well. Why do you think the volume has fallen off a cliff?
  • Question from Theist - Reading about delta neutral strategies. But the profit seems small for each adjustment, commissions seem large for the adjustments, and the values for many of the variables (delta, vega) seem questionable at best. Is this really a viable strategy over the long term or are there better way to capture volatility in the marketplace?
  • Question from Frank Underwood - Any good mobile apps out there for volatility analysis? Seems like I am always on the go and never at my desk when a good trading idea strikes me.

Crystal Ball: Reckless prognostication. Looking for VIX to rise over next week or two.


Volatility Views 154: No Love for VSTOXX

Volatility Review: A look back at the week from a volatility perspective. Greece bringing some volatility back to the table. VIX Cash: Low: 12.50 - High: 14.75 Earnings do not seem to be injecting much Vol into the market. S&P: Skew...
Posted April 20th, 2015

Volatility Review: A look back at the week from a volatility perspective.

  • Greece bringing some volatility back to the table.
  • VIX Cash: Low: 12.50 - High: 14.75
  • Earnings do not seem to be injecting much Vol into the market.
  • S&P: Skew Index: 120.37
  • VIX Options: Our friend with the April 13 puts decided that discretion was the better part of valor - sold 90,636 of them on Tuesday for $.05. 800K contracts on Tuesday. Total 4.22m (3.12m Calls, 1.11m Puts)
  • Elizabeth Warren: Tax the banks. Warren called for a transaction tax on firms that use computer-based trading systems to make rapid-fire transactions. She said taxing so-called high-frequency trading would make the market less volatile and give smaller investors a fighting chance.
  • Crude Oil: The bulls are back in crude - OVX: 43.48, OIV: 42.67

Volatility Voicemail: Listener questions and comments

  • Question from K9 - Why does no one in the US talk about VSTOXX as a volatility gauge? I think it does a better job of measuring overall Vol by taking the square root of the implied variance rather than the convoluted VIX formula. It also does not have all the outside influences polluting the calculation the way VIX does. Maybe this should be something you guys include in your program going forward?
  • Question from Fred - My study of options is enjoyable, but it takes so long. I am going to be 200 before I know anything? Do you think expiration Friday has changes in significance in recent years? Is it not really that much of a big deal anymore?
  • Comment from Mark Brant - Inspired by C-bass video: AAPL, Sell W234 6-Strike Iron Butterflies; Buy W7 Straddle. Credit is 20% of margin requirement...AAPL Week2 1X5 modified Iron Butterflies with long 5X gamma wings are working!

Crystal Ball: Maybe check the expiration date of the contracts you trade. Just saying. Will there be an all-time high in S&P 500?


Volatility Views 153: VIX Options Are Back, Baby

Volatility Review: A look back at the week in volatility VIX Options: April 50 calls still open - someone made a massive play in May calls. A ton of new volume in June 17-23 calls, nearing the 1M mark total for just today. Crude oil: Call...
Posted April 14th, 2015

Volatility Review: A look back at the week in volatility

  • VIX Options: April 50 calls still open - someone made a massive play in May calls. A ton of new volume in June 17-23 calls, nearing the 1M mark total for just today.
  • Crude oil: Call option trades target return of $100 US crude oil.
  • Other Volatility Topics: Apple Watch - can it bring back the glory days of AAPL?

Volatility Voicemail: Listener questions and comments

  • Question from Rahul Tandalkar - Sir. Can you please tell me a website where I can find implied and historical volatility for Indian stocks?
  • Question from J Dog - So VXX is crap! We all know this. Are there any VIX ETFs that you guys like?
  • Question from Tom Snydon - What can I not trade options on OVX?

Crystal Ball: Sold to you, and more wild speculation.


Volatility Views 152: Tales from the Front

Volatility Review: A look back at the week in vol VIX Cash: Low: 12.89 - High: 17.19 S&P: Skew Index: 122.86 VIX Futures: Stories from the front Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he...
Posted March 30th, 2015

Volatility Review: A look back at the week in vol

  • VIX Cash: Low: 12.89 - High: 17.19
  • S&P: Skew Index: 122.86
  • VIX Futures: Stories from the front
  • Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date ? it was one day early. Apparently this professional trader had a position of over $100M. Apparently the wrong expiration date had been posted for several months. He won an award for over $2m at a FINRA panel behind closed doors.
  • My questions: What is your reaction? If you are a VIX Futures trader do you typically hold your position over days/months or do you close out at end of day? It seems also possible that if the wrong expiration date was published, a VIX Futures traders could also come out ahead on the positive side of the balance sheet? What is your take on VIX Futures?
  • VIX Options: April 50 calls still open - someone is quite optimistic about April Vol. Total 4.49m (3.03m Calls, 1.46m Puts)
  • International Vol Review: More from the Russians?
  • Crude Oil: Call option trades target return of $100 US crude oil.

Volatility Voicemail: Listener questions and comments

  • Question from Charlie C - Hey Vol Viewers. OIV and OVX both hovering around 50 - which has the best chance to pop?
  • Question from Mark - Liked the discussion about the structural volatility of the market from the last episode. Allow me to pose a related thought question to you. Mark Longo stated on the show that it would take ?world peace and perfect harmony in the markets? to get the VIX below 5 for any substantial period of time. But what if the S&P were to double or even triple in value? According to the skew curve wouldn?t that bring us down into a VIX in the single digits? Perhaps even below five? Probably more feasible than world peace. Good show. I have to side against Jared in the Fed wager. The odds of a raise this year don?t look very good. If I throw my hat into the ring can I get in on the inevitable steak party that Jared will be throwing in Chicago? I like my T-bone medium rare please.

Volatility Views 151: The Fix on VIX

Volatility Views 151: The Fix on VIX Volatility Review: A look back at the week from a volatility perspective VIX Cash: Low: 12.54 - High: 16.37 VIX Settlement seemed somewhat controversial again this month. VIX ETFs: TVIX and VIXY...
Posted March 23rd, 2015

Volatility Views 151: The Fix on VIX

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: Low: 12.54 - High: 16.37
  • VIX Settlement seemed somewhat controversial again this month.
  • VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week.
  • S&P: Options contracts that pay off should the S&P 500 lose 10 percent in the next three months, near the time of a potential Federal Reserve rate increase, are by some measures almost seven times more expensive than at the start of the year, the data show.
  • Quadruple witching something of a non-event - with expiration every week now, it seems as though triple and quad witching have lost some of their luster.
  • VIX Options: Big VIX trades this week - customers buying upside calls in April, particularly 22 & 26 strikes. April 50 call still open.
  • Total 3.65m (2.50m Calls, 1.16m Puts)
  • Volatility Index Bracketology: Someone beat Jared to the earnings volatility study - Informed traders prefer options says academic research.
  • International Vol Review: Russian "mystery" event a bit of a letdown - Could the Israeli election have an impact?
  • Crude Oil: The bears had their claws out again for crude oil. Brent down 3% Thursday - WTI down 2%.

Volatility Voicemail: Listener questions and comments

  • Question from The Great Donaldo - Hello to the volatility wizards. I enjoyed your coverage of the RMC conference and Marks interviews with some of the speakers. I have never been able to attend the event due to scheduling conflicts. I am also not partial to attending an event that is primarily intended to promote one firms products. So I would appreciate your informed opinions on other volatility-oriented events that you feel are worthwhile for the listening audience to attend. I do not mind some forays into the mathematical realm but I am not interested in modeling so much as strategy and theory. Thank you for all of the work that you do to shine light into the darkness.
  • Question from Lee Daniels - What is the absolute baseline level of volatility that we could reasonably expect to see in the marketplace. I have heard you guys talk about a VIX in the low teens on earlier episodes. Is a single digit VIX feasible and if so for how long? Could we ever see a VIX below 5? What sort of situation would it take to achieve such historically low volatility levels in the marketplace?

Volatility Views 150: Doing Our VIX Term Structure Homework

Volatility Views 150: Doing Our VIX Term Structure Homework Volatility Review: A look back at the week in volatility: VIX Cash: Low: 14.71 - High: 17.19 Skew Index: 121.53 VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly...
Posted March 16th, 2015

Volatility Views 150: Doing Our VIX Term Structure Homework

Volatility Review: A look back at the week in volatility:

  • VIX Cash: Low: 14.71 - High: 17.19
  • Skew Index: 121.53
  • VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon.
  • RVX: 65 Contracts open interest. FTSE volatility products coming soon.
  • VXST: OI just 25 contracts.
  • VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange.
  • International Volatility Review: What can we expect from the Kremlin?
  • Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration.

Volatility Voicemail: Listener questions and comments

  • Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long term futures typically exhibit over front month (i.e six month future 8% over front month future)? When the term structure is flat or even backward does this typically benefit ETPs like VXX that are forced to rebalance on a regular basis.
  • Question from Beta Ray Bill - Is there some way to use implied volatility to choose your strike when trading options?

Crystal Ball: The wager continues: Fed raising rates in 2015?


Volatility Views 149: History of Economic Data

Volatility Views 149: History of Economic Data Volatility Viewpoint: Mark & Bill breakdown the RMC Conference. The most interesting panels and presentations, surprising revelations, and other like or dislikes. Volatility Review:...
Posted March 9th, 2015

Volatility Views 149: History of Economic Data

Volatility Viewpoint: Mark & Bill breakdown the RMC Conference. The most interesting panels and presentations, surprising revelations, and other like or dislikes.

Volatility Review: A look at the week from a volatility perspective

  • VIX Cash: Low: 13.25 - High: 15.33
  • Skew Index: 127.26
  • VIX Options: Total 4.97m (3.38m Calls, 1.59m Puts)
  • The extended hours for VIX options began trading on Monday, while the extended hours for
  • SPX options are expected to start on Monday, March 9.
  • International Volatility Review: ECB plans to buy foreign debt.
  • Crude Oil: Expect more volatility in oil says Exxon CEO

Crystal Ball: Is vol creeping back in


Volatility Views 148: What Color Is the Dress?

Volatility Views 148: What Color Is the Dress? Volatility Review: A look back in the week from a volatility perspective VIX Cash: Low: 12.86, High: 15.48 Skew Index: 126.20 The extended hours for VIX options are set to begin Monday,...
Posted March 2nd, 2015

Volatility Views 148: What Color Is the Dress?

Volatility Review: A look back in the week from a volatility perspective

  • VIX Cash: Low: 12.86, High: 15.48
  • Skew Index: 126.20
  • The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9.
  • VIX Options: Total 4.38m (2.98m Calls, 1.40m Puts)
  • VIX term structure hits CBOE earnings
  • International Volatility Review
  • Crude Oil: Volatility returning to oil.

Volatility Voicemail: Listener questions and comments

  • Question from Jordan M. - Do you have any updates on the volatility ETF from Robert Whaley that proposes to eliminate the roll yield issues with VXX? Is it coming to market any time soon?
  • Question from Smile Creators - Hello, big fan. Thanks for the great shows. Is there a study that tracks Implied vol vs Historical vol? I am interested to see when they are following the same pattern or they deviate. Pakapiko.
  • Question from Mr. Bochco - Where do you guys fall on the great 252 vs 365 debate when analyzing volatility? I have heard arguments for both. At the end of the day does volatility not occur even on the weekends and holidays?

The Wager:

  • Comment from AvonDude - Recent comments from the Fed this week seem to reinforce Marks stance on rates. Whomever wins the wager should buy the other guy a bottle of the fine liquor of their choice.
  • Comment from Mike S. - Not looking good on the Fed front. I probably have to fall on the no change side of the fence after this week. I do not remember which host wagered on what but I would like to see the losing host make a donation to the other host?s favorite charity. That way everyone wins.
  • Comment from Tom Statton - I think both co-hosts should buy Mark a steak regardless of the outcome for featuring them on this fantastic program. Well done Mark. I would buy you one as well if you ever make it to Alberta.
  • Comment from Mark A. - No way Fed raises this year. When he loses I think Jared should fly to Chicago and host a cocktail party for all Volatility Views listeners. I would happily allow him to buy me some tasty beverages.
  • Comment from SylvanElph - Regarding the Fed Bet - It o\is a radio program so the co-hosts cannot wear embarrassing outfits. Maybe buy the other a pizza of their choice? So Jared would have to buy Mark (and Mark) a nice Chicago deep dish and Mark would have to buy Jared a tasty NYC thin crust. Or New Haven style. Whatever his preference.
  • Comment from Jeremy Stevens - I think the Fed will have to adjust their rates before the close of 2015. They are too terrified of inflation and stagflation to sit on their hands. Not sure why a blip in CHF in early 2015 would set the tone for Fed policy at the end of 2015? Maybe Mark can elaborate? As for the wager - How about the loser gives away 5 free subscriptions to his services to VV listeners? So Jared can give away some BGC Research and Mark can offer his Option Pit subscriptions.

Crystal Ball: Andrew and Jared prognosticate wildly. VIX cash to below 13?


Volatility Views 147: Men Cause Volatility

Volatility Views 147: Men Cause Volatility Volatility Review: A look back at the week from a volatility perspective VIX Cash: High - 16.74, Low - 15.10 S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30 VIX Options: A...
Posted February 23rd, 2015

Volatility Views 147: Men Cause Volatility

Volatility Review: A look back at the week from a volatility perspective

  • VIX Cash: High - 16.74, Low - 15.10
  • S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30
  • VIX Options: A decent volume week except for 2/19 with only 250k contracts. Total 3.39m (2.33m Calls, 1.06m Puts). Extended VIX Options trading hours start March 2.
  • International Volatility Review: Greece is the word.
  • Oil: The battle for $50 continues - WTI March futures back below $50, OVX at $55.75.
  • Men create volatility? Could more women traders cut volatility? Experimental market sessions show more women traders = smaller and fewer bubbles

Volatility Voicemail: Listener questions and comments

  • Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the ?lone market participant? is appreciated. Sorry I set off Jared?s racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice).
  • Question from Brian T. - You say earnings is a crap shoot, so you simply should not play the game. I say that if you take a systematic, risk-limited short volatility approach, such as with iron condors, you maximize the potential to harvest premium, while eliminating the risk of what Mark referred to as "big blowouts". You clearly have to be judicious with your strike selection, but I have found this to be a profitable long term approach to earnings season.
  • Question from Tim Biggs - Any data on that theta free approach to earnings? What percentage of decay occurs prior to the event vs. post-event and how does that compare to underlying movement during the period?

Crystal Ball: Will the Eurozone move towards gradual progress? What does economic growth really mean? Other wild prognostications.


Volatility Views 146: Betting on Fed Volatility Volatility Review: A look back in the week from a volatility perspective ? VIX Cash: High - 19.28, low - 15.26 ? S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94 ? VVIX: Thursday

Volatility Views 146: Betting on Fed Volatility Volatility Review: A look back in the week from a volatility perspective VIX Cash: High - 19.28, low - 15.26 S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94 VVIX:...
Posted February 17th, 2015

Volatility Views 146: Betting on Fed Volatility

Volatility Review: A look back in the week from a volatility perspective

  • VIX Cash: High - 19.28, low - 15.26
  • S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94
  • VVIX: Thursday Close - 93.24
  • VIX Options: 700K contracts on Feb 12, for a strong up day for the market. Total 5.36m (3.28M calls, 2.08M puts).
  • Extended VIX Options trading hours start March 2.
  • Upcoming launch of RealVol SPY Options on BOX - good news for our former co-hosts.
  • VXST: Current open interest: 3 contracts.
  • RVX: Current open interest: 58 contracts.
  • International Volatility Review: RVI - Russian Volatility Index
  • OIL: WTI March futures are back above $50, after dipping below it again. OVX still hovering near $60, 6-month chart of OVX is pretty impressive.

Volatility Voicemail: Listener questions and comments

  • Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the ?lone market participant? is appreciated. Sorry I set off the racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice).
  • Question from Tim Biggs - Any data on that theta free approach to earnings? What percentage of decay occurs prior to the event vs. post-event and how does that compare to underlying movement during the period?
  • Question from George - This may seem like a silly question but does anyone go out and look at old VIX cash data from 30 days ago and compare that to current realized? Is that not what VIX cash is attempting to predict? Is that disseminated anywhere as a number or index? Something along the lines of a VIX Accuracy Index?
  • The Wager:
  • Comment from Tom Statton - I think both co-hosts should buy Mark a steak regardless of the outcome for featuring them on this fantastic program. Well done Mark. I would buy you one as well if you ever make it to Alberta.
  • Comment from Mark A - No way Fed raises this year. When he loses, I think Jared should fly to Chicago and host a cocktail party for all Volatility Views listeners. I would happily allow him to buy me some tasty beverages.
  • Comment from SylvanElph - Regarding the Fed Bet - It is a radio program so the co-hosts cannot wear embarrassing outfits. Maybe buy the other a pizza of their choice? So Jared would have to buy Mark (and Mark) a nice Chicago deep dish and Mark would have to buy Jared a tasty NYC thin crust. Or New Haven style. Whatever his preference.
  • Comment from Jeremy Stevens - I think the Fed will have to adjust their rates before the close of 2015. They are too terrified of inflation and stagflation to sit on their hands. Not sure why a blip in CHF in early 2015 would set the tone for Fed policy at the end of 2015? Maybe Mark can elaborate? As for the wager - How about the loser gives away 5 free subscriptions to his services to VV listeners? So Jared can give away some BGC Research and Mark can offer his Option Pit subscriptions.

Crystal Ball: Mark and Mark prognosticate wildly.


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:...
Posted February 9th, 2015

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.


Volatility Views 144: Talking Earnings Volatility

Volatility Views 144: Talking Earnings Volatility Volatility Review: A look in the week from a volatility perspective VIX Cash: High: 21.55, Low: 15.52 S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for...
Posted February 2nd, 2015

Volatility Views 144: Talking Earnings Volatility

Volatility Review: A look in the week from a volatility perspective

  • VIX Cash: High: 21.55, Low: 15.52
  • S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers.
  • VVIX: Thurs close: 100.70, Week range: 91.85-109.99
  • VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts)
  • VXST: Another week of anemic volume despite significant underlying movement.
  • RVX: Still no appreciable volume.
  • OIL: Another crazy week for oil. Saudi prince reiterates that "we will never see $100 oil again." OPEC Chief says this may be the bottom for oil.

Volatility Voicemail: Listener questions and comments

  • Question from NINC - Hey Volatility Views guys. I know you have discussed the topic of earnings studies in the past, particularly as it relates to earnings straddles. You said there was not much research on the topic. Has the situation changed since that conversation? Has there been any new research on the topic? I know you discussed the possibility of doing such a study for this program? What is the status of that study? Please let me know when you release it as I would be very interested in the results. Thank you for this network. I am a regular listener of volatility views, options boot camp and the news rundown programs.
  • Question from Andrew S - If you had to lean long or short going into every earnings cycle which way would you go? Me - I am tempted short but I am terrified about the blowout events.
  • Question from Nitin Gulati - @OptionsInsider Funny how $GOOG moved today, apparently skew was bid up all day yesterday, so not a surprise.

Crystal Ball: Mark and Jared prognosticate wildly.


Volatility Views 143: The Great Fed Debate

Volatility Views 143: The Great Fed Debate Volatility Review: The week in volatility ECB takes all of the vol out of the market in one fell swoop. S&P 500 volatility streak longest since '12 as 1% moves multiply. The S&P 500 Index rose 0.5...
Posted January 26th, 2015

Volatility Views 143: The Great Fed Debate

Volatility Review: The week in volatility

  • ECB takes all of the vol out of the market in one fell swoop. S&P 500 volatility streak longest since '12 as 1% moves multiply. The S&P 500 Index rose 0.5 per cent yesterday and moved 1.3 per cent from its lowest to highest levels.
  • VXST: Another week of crappy volume. (The Mystery of Short-Term Volatility)
  • FX Volatility: Another crazy week following the Swiss Franc crisis.
  • Crude Oil: Crude continues to take it on the chin. Domestic crude supplies at near record levels. Iraq increasing production to offset declining revenues. Death of the Saudi King adding to the confusion.

Here?s the chart that Mark was referring to from Daily FX:

Largest single-day currency swings since the inception of the Euro

Volatility Voicemail: Listener questions and comments

  • Question from Marcus N - You discussed the retracement from backwardation to contango in VIX Futures on the last episode. If I thought the retracement would be rapid and I wanted to play that retracement, would the near-term futures or options be my best bet?
  • Question from Avrile - Risk premium - What is it? I have seen it defined many ways. Is it a products 30-day implied vs. 30-day realized? 10-day vs. 10-day? If using 30-day realized that?s a lagging indicator. Do you then have to extrapolate that forward using an algorithm, then compare that to 30-day implied to get a more accurate number? What about comparing something like front month or 30-day implied SPX volatility vs VIX Cash or VIX Future? Is that the best surrogate for the markets risk premium? Or has VIX Cash become such a polluted number that it is better to stick with straight SPX implied volatility?

Crystal Ball: Mark and Jared prognosticate wildly!


Volatility Views 142: The Swiss Franc Black Swan

Volatility Views 142: The Swiss Franc Black Swan Volatility Review: A look at the week that was: Swiss Franc: Deutsche Bank AG suffered about $150 million in losses Thursday after the Swiss National Bank abruptly removed the cap on the Swiss...
Posted January 20th, 2015

Volatility Views 142: The Swiss Franc Black Swan

Volatility Review: A look at the week that was:

  • Swiss Franc: Deutsche Bank AG suffered about $150 million in losses Thursday after the Swiss National Bank abruptly removed the cap on the Swiss franc?s value, sparking a massive rally. Meanwhile, a major U.S. currency broker warned its equity was wiped out, a U.K. retail broker entered insolvency and a New Zealand foreign-exchange trading house collapsed.
  • Crude Oil: Oil prices fell on Thursday after weak U.S. economic data spurred worries over crude oil demand. U.S. crude declined $2.23, or 4.6 percent, to settle at $46.25 a barrel. Brent crude was last down $1 to trade around $48 a barrel.

Volatility Voicemail: Listener questions and comments

  • Question from Mark Brant - @Options How long does VIX backwardation normally last and are the reversions to contango sharp or mild?
  • Question from Analygos - I have heard you discuss previously buying options prior to earnings to capitalize on free gamma with no decay. My question is about after earnings when the premium collapses. Is that technically options decay all coming out of the option at once? Or is it a collapse of implied volatility that is erasing the premium in the options? If the latter then is the decay technically occurring every day prior to earnings and just being overcome by increasing implied volatility leading up to the earnings event?

Crystal Ball: What is coming up for this week in vol? Expiration making things extra crazy.


Volatility Views 141: The Return of Euan Sinclair

Volatility Views 141: The Return of Euan Sinclair Volatility Viewpoint: Euan Sinclair, author of Volatility Trading Editions 1 and 2 and Options Trading,is back. Euan is an option trader with over eighteen years of professional trading...
Posted January 12th, 2015

Volatility Views 141: The Return of Euan Sinclair

Volatility Viewpoint: Euan Sinclair, author of Volatility Trading Editions 1 and 2 and Options Trading,is back. Euan is an option trader with over eighteen years of professional trading experience. He currently works on strategy design and is the risk manager at Bluefin Trading. He holds a PhD in theoretical physics from the University of Bristol.

He discusses:

  • The major volatility takeaways/lessons from 2014?
  • The dramatic increase in "vol-of-vol" at the end of the year, and the primary drivers of that?
  • Did the flight of institutional liquidity from the markets contribute to the increase in "vol-of-vol", or is the lack of liquidity overplayed?
  • His take on what we are seeing from a commodity vol perspective right now, particularly crude oil?
  • His opinion of VXST, and why it has not gained more traction
  • His opinion on the two VIX competitors in the works - Voldex and the Whaley Project
  • A sneak peek at his new book and what he is looking out for in 2015

Crystal Ball: Non-farm payroll numbers were the only vol driver this week. Maybe the start of earnings season will inject some volatility back into this marketplace?


Volatility Views 139: Getting Angry About Volatility

Volatility Views 139: Getting Angry About Volatility Volatility Review: The week in volatility: VIX Cash: Low - 12.55, High - 21.09 VIX Options: Total 6.66M (4.35M calls, 2.31M puts) VXST: Total 7,746 (5,185 calls, 2,561 puts) Oil Volatility:...
Posted December 15th, 2014

Volatility Views 139: Getting Angry About Volatility

Volatility Review: The week in volatility:

  • VIX Cash: Low - 12.55, High - 21.09
  • VIX Options: Total 6.66M (4.35M calls, 2.31M puts)
  • VXST: Total 7,746 (5,185 calls, 2,561 puts)
  • Oil Volatility: USO vs. XLE - Traders hedge oil ETF while energy stocks lure buyers.

Volatility Voicemail: Questions and comments from our loyal listeners

Question from CPunk - Hello Volatility Gurus! Long time, first time. Love your discussions of all things volatility, particularly your breakdowns of the different products. I listened to your episode with Scott Nations recently and it got me thinking about how most volatility products appear to be very flawed. VIX has obvious issues and the Voldex product does not appear to solve many of them beyond eliminating skew. The various ETPs all have very well-known issues as well. If I had to think of an ideal volatility product, it would probably be something along the lines of what your former sponsors VolX promoted - a product that essentially captures the actual volatility in the marketplace. I am not familiar with the underlying mechanics of their product to analyze it, but I think we need more products in that vein, that attempt to deliver the actual volatility in the marketplace versus some vague guesstimate that is probably wildly inaccurate. Do you agree? If you could construct your ideal volatility product, what would it be?

Crystal Ball: What do we expect to see in the last few weeks of 2014?


Volatility Views 138: The Action Is In Oil

Volatility Views 138: The Action Is In Oil Volatility Review: The week in vol VIX Cash: High: 14.75 - Low: 12.09 VIX Options: Total 5.71M (3.84M Calls, 1.86M Puts). VIX shunned as few bumps seen for S&P 500 at years...
Posted December 8th, 2014

Volatility Views 138: The Action Is In Oil

Volatility Review: The week in vol

  • VIX Cash: High: 14.75 - Low: 12.09
  • VIX Options: Total 5.71M (3.84M Calls, 1.86M Puts). VIX shunned as few bumps seen for S&P 500 at years end.
  • International Vol review: Its official - America is now No. 2
  • Oil Volatility: Oil futures slide on Saudi price cut to U.S.
  • Gold Volatility: Hard to be a bull in this gold market.

Listener Mail: Listener questions and comments

  • Question from Michael Roberts - I came across your program while looking for new diversification options for my clients. I find your suggestions about collars and protective puts very interesting. I have also been reading new research about volatility itself being positioned as an alternative asset class. This leads me to two questions:

1. Do you agree that volatility is an asset class?

2. What is the best process to gain exposure to that asset class for my clients? Is simply buying an options with a substantial vega component sufficient, or must I purchase a dedicated volatility asset such as VIX options or an ETF life VXX?

  • Question from Joe Hill - SPY vs SPX vs e-Mini Options Question. Hello from Georgia. I know that these products are supposed to be similar from an implied volatility perspective, but how similar are they really? After all, they are distinct products, each with its own volume and customer flow. Do they all trade in a similar fashion, or are there times when these products will exhibit discrepancies. Last - Can we get a show on just commodity vol on of these days? Thanks for your time.

Volatility Views 137: Crying Wolf in Volatility ETPs

Volatility Views 137: Crying Wolf in Volatility ETPs Volatility Review: The week in vol: Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high. VIX...
Posted November 24th, 2014

Volatility Views 137: Crying Wolf in Volatility ETPs

Volatility Review: The week in vol:

  • Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high.
  • VIX Cash: High - 15.74, Low - 13.13
  • VIX Options: Total 4.34M (2.89M Calls, 1.46M Puts)
  • VXST: Another weird volume week - 300 to 3,000 contracts on various days. Total 11k (8305 Calls, 2801 Puts)
  • A Review of Jared's Vol ETP Report - Crying Wolf: What the VIX alarmists are missing.
  • Crude Vol: Nat Gas and Oil

Volatility Voicemail: Listener questions and comments

  • Question from IndyJoe - I saw Marks tweet about buying high VIX/selling low VIX this week. Can he clarify what he meant by that? Seems counterintuitive.
  • Question from Pat Cummins - I think the pounding the VIX has taken lately is overdone. I am bullish volatility in the long term. Question: What is the best way for me to express that view? You have already dissuaded me from buying VXX as that is clearly the road to ruin. Would I be better off buying and holding a 1-year future? Or is there a third option I am overlooking
  • Question from Alagory - Which is more overpriced - VIX calls or SPX puts?

Volatility Views 136: Oil Volatility and VXST Volume

Volatility Views 136: Oil Volatility and VXST Volume Volatility Review: The week in vol VIX Cash: VIX rallies - the market rallies has been a big story of this week. A lot of outlets have been jumping on the train. VIX Options: 2.3/1...
Posted November 17th, 2014

Volatility Views 136: Oil Volatility and VXST Volume

Volatility Review: The week in vol

  • VIX Cash: VIX rallies - the market rallies has been a big story of this week. A lot of outlets have been jumping on the train.
  • VIX Options: 2.3/1 call/put
  • VXST: A decent week from a volume perspective. OI now at 10,244 (8,015 Calls/2,229 Puts)
  • Introducing the launch of Treasury VIX futures.
  • Crude Vol: XLE, Brent and WTI

Listener Mail: Listener questions and comments

  • Question from Timinc - Hello volatility views hosts. I appreciate your fine program although much of it exceeds my expertise. My question involves the Black-Scholes formula. I?m a student studying quantitative finance and we?re learning about this formula now. My professor stresses the value of this formula but is it still widely used in industry? Do I need to study Black-Scholes in order to get a derivatives quant or modeling job after I graduate?
  • Question from Alan Baxter - What is the best source for data on trading activity in the volatility swaps market?

Crystal Ball: Reckless, wild prognostication ensues. Jared flies solo in looking at the year ahead.


Volatility Views 135: Under-the-Radar Swiss Gold

Volatility Views 135: Under-the-Radar Swiss Gold Volatility Review: Vol premium over the past week. Implied volatility vs. realized volatility. Vol Commodities: Oil, currencies, etc. Russell 2000 - RVX VXTYN - introducing the new 10-year...
Posted November 10th, 2014

Volatility Views 135: Under-the-Radar Swiss Gold

Volatility Review: Vol premium over the past week. Implied volatility vs. realized volatility. Vol Commodities: Oil, currencies, etc. Russell 2000 - RVX

VXTYN - introducing the new 10-year volatility product.

Crystal Ball: What are we looking forward to in the coming weeks?


Volatility Views 134: Earnings Surprises and Greenspan Gold Fades

Volatility Views 134: Earnings Surprises and Greenspan Gold Fades Volatility Review: Big surprises from an earnings vol/straddle perspective this quarter. AMZN - Sold off about $30. LNKD - Closed at $202.50. TSLA next week. CBOE this morning. VIX...
Posted November 3rd, 2014

Volatility Views 134: Earnings Surprises and Greenspan Gold Fades

Volatility Review: Big surprises from an earnings vol/straddle perspective this quarter. AMZN - Sold off about $30. LNKD - Closed at $202.50. TSLA next week. CBOE this morning.
VIX Cash: 17.87 - 14.04

VIX Options: Total 6.53m (4.46m Calls, 2.08m Puts)

VXST: Total 4927 (4918 Calls, 9 Puts)

Volatility Voicemail: Listener questions and comments

Question from Phillipono - Are there any good tools out there for comparing realized to implied volatility and determining the best times to sell premium?


Volatility Views 133: Skew Inversions and Dynamic Hedges

Volatility Views 133: Skew Inversions and Dynamic Hedges Volatility Review: The week in vol VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56. VIX Options: A whopping 6.14M contracts...
Posted October 27th, 2014

Volatility Views 133: Skew Inversions and Dynamic Hedges

Volatility Review: The week in vol

  • VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56.
  • VIX Options: A whopping 6.14M contracts total.
  • OTC Volatility: Volker rule and its impact on liquidity.
  • VXST: When is it going to catch fire?
  • Oil/Energy: Strong investment skew, heavy puts activity.
  • Metals: An outlook on gold/silver volatility.

Volatility Voicemail: Return of the Don

Comment from Don S regarding this listener question - "Let me leave you with this question: Long term which do you think will outperform - dynamically hedged SPY ATM straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not."

Not sure anyone addressed this in a satisfactory manner. When you dynamically hedge an ATM straddle (meaning keeping it reasonably delta-neutral throughout), you are making a bet that the implied vol at which you buy or sell the options will turn out to be lower/higher than the actual volatility that the underlying goes on to display during the life of the trade. So, the first decision to make, which the writer did not address, when he asked about outperformance, is whether he was of a mind to be long or short the straddle. Naturally, being of sound mind, the only acceptable thing to do is to sell the straddle (!), as, historically, the implieds of the options are virtually always higher than what the realized vol of the underlying turns out to be.

So, now that we have decided to sell these straddles and dynamically hedge them, trying to earn the spread between implied and realized vol, the question is, which underlying might provide, on average, the better profit potential. Typically, SPY implieds average 2-4 percentage points over realized, but, of course, there is great variability in that spread, which even goes negative, ever so briefly, from time to time.

Unfortunately, I no longer have access to the comparable numbers for VIX, but, of course, we are now talking about making a bet not on the volatility differential between implieds and realized for an equity index, but rather for implied volatility itself (VIX), which means that the values we are dealing with are much higher (in the 90s, as opposed to in the teens). Again, I do not have the numbers, but I am guessing that the average spread between what amounts to implied vol of vol and actual vol of vol is somewhat greater than that of those same concepts applied to SPY.

Soooo, I am guessing that, for the strategy under discussion, the vehicle of choice would be VIX, and, of course, it goes without saying that the only sane thing to be doing with the straddle would be to sell it. :-)

Perhaps, next show, you would like to throw these ideas out there to see what everyone thinks. Regards,Don

Crystal Ball: More reckless guesses about volatility going forward.


Volatility Views 132: Wearing Tin Foil Hats in Crude Oil

Volatility Views 132: Wearing Tin Foil Hats in Crude Oil Volatility Review: A week in volatility VIX Cash: Quite a week for VIX cash. VIX Options: Again, serious volume in VIX options this week. Top OI Positions: 367,046 VIX Nov-14 20 calls,...
Posted October 20th, 2014

Volatility Views 132: Wearing Tin Foil Hats in Crude Oil

Volatility Review: A week in volatility

  • VIX Cash: Quite a week for VIX cash.
  • VIX Options: Again, serious volume in VIX options this week. Top OI Positions: 367,046 VIX Nov-14 20 calls, 354,540 VIX Oct-14 17 calls, 244,354 VIX Jan-15 20 calls.
  • VXST: Another wild market day - another mild volume day for VXST, only 858 contracts traded on Thursday.
  • Energy: Saudi Arabia keeps the oil market guessing.

Volatility Voicemail: Listener Questions and Comments

Question from Neal Max - Sounded like you guys were a little skeptical regarding the VolDex product. What do you think of this products chances of actually making it to market? Do you think it has a shot against VIX?

Crystal Ball: Insane, compliance-offending predictions regarding volatility.


Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex

Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex Volatility Viewpoint: Today?s guest is Scott Nations,president and chief investment officer NationsShares. NationsShares and ISE have partnered on a new volatility product...
Posted October 13th, 2014

Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex

Volatility Viewpoint: Today?s guest is Scott Nations,president and chief investment officer NationsShares. NationsShares and ISE have partnered on a new volatility product ? Voldex. He discusses:

  • Why is this methodology superior to the current VIX methodology?
  • How would Voldex have performed over this crazy week period compared to VIX?
  • Why do we need this product?
  • Does he expect traders to abandon VIX for this or instead using it as a spreading tool?
  • An overview of two new planned additional products, Skewdex and Taildex.

Volatility Review

  • VIX Cash: Insane realized and implied volatility this week. Range: 14.05-19.38.
  • VIX Futures: VIX cash trading at a premium to all futures except April 2015.
  • VIX Options: Nearly 1 million contracts on Thursday.

Crystal Ball: Jared and Andrew guess vol recklessly.


Volatility Views 130: Talking Volatility Skew

Volatility Views 130: Talking Volatility Skew Volatility Review: What happened last week in vol? VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market. VIX options: Top OI Positions: 351,982 VIX Nov-14 20...
Posted October 6th, 2014

Volatility Views 130: Talking Volatility Skew

Volatility Review: What happened last week in vol?

  • VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market.
  • VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls.
  • Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 54,997 VIX Nov 23 calls at $.94.
  • Gold vol: GVZ ticking up over the past few weeks - futures options still put heavy.
  • Oil vol: Continued put love in crude as well.

Volatility Voicemail: Listener questions

  • Question from Crazyhorse - Can some of the roll yield problems suffered by VXX and others be solved by either 1) rebalancing on a less frequent basis or 2) trading a basked of futures as opposed to simply buying the same long term contracts every time?
  • Question from Chris Hanks, Toledo, OH - Hola volatility gang and perhaps special guest. I am a frequent listener and wanted to write in to say thanks for putting out this show every week. My Mondays suck but I get a nice little pickup on my commute when I download the latest episode of Volatility Views. I do miss Don's "sold to you" attitude, but I am sure you will get him back on one of these days. No one gets as fired up about selling vol as Don S. Let me leave you with this question: Long term, which do you think will outperform - dynamically hedged spy atm straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not.

Crystal Ball: Jared and Mark make mad prognostications.


Volatility Views 129: Juicing Up BuyWrites

Volatility Views 129: Juicing Up BuyWrites Volatility Viewpoint: Today?s guest is Russell Rhoads, who is a senior instructor at CBOE?s Options Institute. He?s on to discuss a new white paper, A Leveraged Portfolio Management...
Posted September 29th, 2014

Volatility Views 129: Juicing Up BuyWrites

Volatility Viewpoint: Today?s guest is Russell Rhoads, who is a senior instructor at CBOE?s Options Institute. He?s on to discuss a new white paper, A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index.

Summary: Historically, the CBOE S&P 500 2% OTM BuyWrite Index has outperformed the total return that would be expected from passively holding a market portfolio. This outperformance occurred on both an absolute and risk-adjusted basis. Additionally, a leveraged strategy that matches 120% of the expected performance of BXY may enhance this performance with a similar risk profile to the market portfolio.

Volatility Review: The week that was

  • VIX Cash - A relatively quiet week until an enormous pop on Thursday.
  • VIX Futures - further developments in VIX Futures term structure.
  • VIX Options - Hot Strikes: 326,209 VIX Oct-14 20 Calls, 296,305 VIX Oct-14 17 Calls & 290,453 VIX Nov-14 20.0 Calls.
  • VXST Options - On a day when VIX spikes 18%, there is still no interest in VXST.
  • RVX actually trading a bit on Thursday. Gold still skewing towards puts - Silver puts starting to catch a bid as well.

Crystal Ball: Brazilian elections. Could we see another India-like surge in VIX? Non-farms ahead.


Volatility Views 128: Gold Skew Palooza

Volatility Views 128: Gold Skew Palooza Vol Review: An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range. VIX options- hot strikes: 281480 VIX...
Posted September 22nd, 2014

Volatility Views 128: Gold Skew Palooza

Vol Review: An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range.

VIX options- hot strikes:

  • 281480 VIX Oct-14 16.0 Calls
  • 253852 VIX Oct-14 17.0 Calls
  • 248014 VIX Oct-14 20.0 Calls

Top trades:

  • 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times for $0.18. Paper buys 5k DEC 25 calls for $0.67.

VXST Top OI Positions:

  • 1000 VXST 10/1 12.0 Puts
  • 800 VXST 10/1 25.0 Calls
  • 500 VXST 9/24 14.0 Calls

Gold/metals vol: Gold skew looking somewhat steep to the downside.

Volatility Voicemail: Listener questions and comments

  • Question from John King [email protected] - Could you do a show with an in-depth discussion on LiveVol vs IVolatility vs? Costs/benefits over std broker data etc. Thanks!
  • Question from Indy04 - This might be a strange question but does implied volatility always exist? Are there options out there that essentially trade at their realized volatility level or some other type of riskless rate? Keep on rolling with the show. I love it. Big fan of the network.

Volatility Views 127: Diving Into Treasury Volatility

Volatility Views 127: Diving Into Treasury Volatility Volatility Review: VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike. VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade...
Posted September 15th, 2014

Volatility Views 127: Diving Into Treasury Volatility

Volatility Review:

  • VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike.
  • VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio- 3.8/1
  • VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol VXTYN) beginning on Thursday, November 13, pending regulatory review. Metals, Energy and International vol.

Volatility Voicemail: Listener questions and comments

  • Question from Victor C - Do you think the failure of VXST has to do with the product being too much vol of vol for most people? Is it just too wild of a product for the mostly institutional VIX crowd?
  • Question from Seor Pablo - Thanks for the show Mark, and please say Hi to Jared and Andrew for me. You guys have mentioned some of the VIX competitors in the past. It looks like we will probably get at least one of them, if not both this year. Which one, if any, do you think has the best chance in the marketplace?
  • Question from AltasSmirked - What is a reasonable skew level for the SPX? At what level should I be looking to buy puts? Where should I be thinking of selling them?

Crystal Ball: Wild volatility prognosticating is in the house.


Volatility Views 126: A Big VIX Shakeup

Volatility Views 126: A Big VIX Shakeup Vol Review: VIX Cash -A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire. Non-farms a non-event. Volatility story of the week - CBOE Incorporates SPX...
Posted September 8th, 2014

Volatility Views 126: A Big VIX Shakeup

Vol Review:

VIX Cash -A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire. Non-farms a non-event.

Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6.

Question from Spreadjunkie -CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer?

VIX Options - 4.1 Call/put. VXST. RVX - Not much going on, only 504 OI.Gold/metals volatility.Scottish independence?

Volatility Voicemail:

Question from Nick Valenti - I am glad to see you are adding more volatility products to the show including the new Russell VIX. I trade RUT and IWM options very actively and I have been watching this product with great interest. I have yet to pull the trigger on a contract, but I have been close a few times. Like a lot of people, I am still waiting for other traders to join me before I dive into the deep end of the pool. What do you think it will take to kickstart this product? What will the eventual catalyst be for this?

Comment from Johnny Mac - My Vol pet peeve is people quoting skew with a "25 delta risk reversal" - wake up people! It is a 50 delta risk reversal. Thanks for letting me get that off my chest.

Question from Nickel5 - I know Jared is a reformed iron condor trader. Do these relatively low levels of implied volatility in SPY make him want to get long some condors out there? Maybe in the Oct cycle? Also what is his view on the diagonal condor - buying longer-term guts and selling front month/weekly wings?

Crystal Ball:

Reckless prognostication of VIX, VXST, RVX and other volatility products.


Volatility Views 125: The Holiday Fear Premium

Volatility Views 125: The Holiday Fear Premium Volatility Review: A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend.Trader taking time delay/Vol out of the market ahead of the weekend?VIX...
Posted September 2nd, 2014

Volatility Views 125: The Holiday Fear Premium

Volatility Review:

A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend.Trader taking time delay/Vol out of the market ahead of the weekend?VIX Cash.Trading in the 11.24-12.73 range.VIX Options.4.2/1 - Call/Put.Top OI Positions:VIX Sep-14 19 C,VIX Sep-14 20 C,VIX Sep-14 16 C.VXST Options.RVX Options.Metals Vol -GVZ down about a point this week.Energy Vol -Oct WTI realized vs. ICE heating oil implied intersecting.

Volatility Voicemail:

Question from Silas - Congrats to the Vol Crew on such an excellent program. I enjoy all of your analysis, particularly the addition of volatility breakdowns in other asset classes, including crude oil. Ia, starting to dabble more into these asset classes, but I am somewhat dismayed at the overall lack of tools for analyzing these products. What software do you typically use when breaking down volatility in products like curve oil? Thank you again for the fine program.

Question from George Dietrich, Baltimore, MD - Are commodities better candidates for hedging strategies such as long puts, or spec strategies such as strangles, because they typically lack the high implied volatility levels in the lowing strikes?

Crystal Ball:

An outlook for VIX, VXST, RVX and other volatility products.


Volatility Views 124: Volatility Pairs Trading

Volatility Views 124: Volatility Pairs Trading Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month.VIX...
Posted August 25th, 2014

Volatility Views 124: Volatility Pairs Trading

Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month.VIX options: Top Strikes: Sept 19 calls, Sept 20 calls, Sept 16 calls. VXST options: A lot of activity in VXST: Aug 17 calls 1,500 contracts. RVX options.

Volatility Voicemail: Listener questions and comments.

  • Question from Vizible [email protected] -What happened to Don S.? Sorry if we missed something, but loved him on the show. Great #podcast btw!
  • Question from NOVIX - I have read some material related to pairs trading for equities and I understand the process of finding non-stationary pairs price series that can be co-integrated to form a stationary series. The basic idea being to trade on the oscillations about the equilibrium value of the spread. While I understand how this is accomplished with equities, I am not sure how suitable implied volatility pairs on equity options are identified since both implied volatility series would already be stationary and so co-integration would not be required. Can someone please explain to how suitable implied volatility pairs are identified?
  • Question from T. Stark -Great podcast. I cannot start my week without my dose of Volatility Views. You guys really do a great job breaking complicated stuff down so that even non-pros like myself get it. The one area where I?m still somewhat confused comes in the relationship of implied vol across an expiration month. I realize that when you say October vol is X you are referring to the at-the-money volatility. But how does that at-the-money volatility relate to the rest of the strikes? If the ATM volatility gets crushed do all the rest of the strikes get crushed along with it? Or are there scenarios where only a few strikes are impacted but the rest are not? How does this relationship work? Are there models or greek variables that explain the volatility relationship between one strike and another? Thanks again for walking this noob through this stuff. Fan for life.

Volatility Views 123: VIX Roars but VXST Whimpers

Volatility Views 123: VIX Roars but VXST Whimpers Volatility Review: The week in vol VIX: Russia sends tanks into Ukraine and volatility skyrockets Volatility plummeted after US involvement in the Middle East. CBOE stock as a...
Posted August 18th, 2014

Volatility Views 123: VIX Roars but VXST Whimpers

Volatility Review: The week in vol

VIX:

  • Russia sends tanks into Ukraine and volatility skyrockets
  • Volatility plummeted after US involvement in the Middle East.
  • CBOE stock as a hedge.

VXST:

  • Big moves in only 24 contracts.
  • Why is this product not catching fire?

VIX options:

  • Settlements coming up soon.

Metals:

  • GVZ dropping earlier this week, but taking a spike recently.

Volatility Voicemail: Listener questions and comments

Question from Lawrence - You were discussing if straddle prices exceeded earnings moves on your last show. I use software called "LiveVol? that has data for the trailing eight quarters, that shows this data for every company for the first and second expiration. It also shows implied vol crush for the first and second expiration. Their software is amazing. I like to sell iron condors before earnings to get short Vol. I usually use unbalanced condors with a short delta. I feel the underlying moves down for often and more violent. If the underlying moves up, the short Vega reduces loss a bit, in addition to the post earnings crush, as longs sell their protective puts. Love the show!

Crystal Ball: Where will VIX settle?


Volatility Views 122: Goldman Straddles and Buffett Puts

Volatility Views 122: Goldman Straddles and Buffett Puts Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions: 273,733 .VIX Aug-14...
Posted August 11th, 2014

Volatility Views 122: Goldman Straddles and Buffett Puts

Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions:

  • 273,733 .VIX Aug-14 16.0 C, chg +7148
  • 262,146 .VIX Sep-14 19.0 C, chg +1029
  • 221,559 .VIX Sep-14 21.0 C, chg +24

VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio

RVX OI: 591

Goldman analyst events study http://www.docstoc.com/docs/158693818/Goldman-Sachs from Trading-Events-Analyst-days. Studied 3,700 analyst days from 2002 to 2012. Twice as positive for stocks vs average day. Analyst days are more significant if held far after earnings. Checking in on Warren Buffett?s equity index put trade by Russell Rhoads, CFA.

Volatility Voicemail: Listener questions and comments

Question from Rueben Brooks -Listened a while back to a show you and Jared did talking about N. N. Taleb and how you were surprised that, given his long-gamma leanings, he would short the ATM straddle. I found this interview he did a while back, curious on your thoughts: http://www.fxtsp.com/education/fx-trader-interviews/834-interview-with-top-trader-nassim-nicholas-taleb.html One other thing: I was very intrigued by a show you did a while back with Chris Cole over at Artemis capital. I was fascinated by his papers and his exploration of volatility arbitrage. Do you have any resources or books you could recommend where I could learn more about this? I really appreciate all the work you do. You have been by far the best resource, and aggregator of resources, regarding options education that I have found. If you end up addressing any of this on a show, could you let me know which show so I make sure I don't miss it? I try to listen to Volatility Views, Option Block, and Options Bootcamp. Thanks for your time, -Reuben


Volatility Views 121: Something Is Odd with Volatility Skew

Volatility Views 121: Something Is Odd with Volatility Skew Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this...
Posted August 4th, 2014

Volatility Views 121: Something Is Odd with Volatility Skew

Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this week.

Volatility Voicemail: Listener questions and comments.

  • Question from TiklenIvory: What is the best way to short VIX? Straight up VIX puts, or go long XIV?
  • Question from James Forrest:I liked the conversation regarding straddle volatility going into earnings. I agree that there should be more research into this area. Jared, I would happily add my $5 to the mix, if that will spur you into action. If you had to guess right now, what percentage of Fortune 500 names do you think outperform their straddle in any given quarter?
  • Question from Eligo:RE: Straddle debate from episode 120. Should any straddle research into earnings incorporate dynamic hedging into the results? For example: If the underlying does not net outperform the straddle, but there are multiple opportunities to dynamically hedge during the trading session, it would net be profitable. Should this be incorporated into any future straddle research, or does this add too much complexity to the equation?

Crystal Ball: How long can volatility stay in the low teens? What could possibly cause a move higher?


Volatility Views 120: Breaking down Earnings Straddles

Volatility Views 120: Breaking down Earnings Straddles Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions 245,725 .VIX Aug-14 15.0...
Posted July 28th, 2014

Volatility Views 120: Breaking down Earnings Straddles

Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions

  • 245,725 .VIX Aug-14 15.0 calls
  • 241,232 .VIX Aug-14 16.0 calls
  • 238,364 .VIX Sep-14 19.0 calls

Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable following recent volatility hovering around 14%.

Volatility Voicemail: Listener questions and comments

  • Question from Nick Snow -Figured this would be a good place or at least the right place for this question. What is implied vol? I mean to ask for a stock we just get one number but every strike has a different IV so when we get one is that the average of the smile or is it the ATM straddle vol? Seems like I should know this if I am trading it.
  • Question from Mr. Higgins -Dear volatility viewers - the Proshares Ultrashort VIX (UVXY) hit a low in June. I though the spread between VIX cash and UVXY would continue to expand, but UVXY seems to have leveled out. What is your analysis of the trading relationship between these two products? Are they reliable spreading candidates? I am not much for futures so I would probably stick with straddle in each to capture the divergence. Thanks for the program - please give my regards to Don.

Volatility Views 119: Craziest Week Ever

Volatility Views 119: Craziest Week Ever Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX...
Posted July 21st, 2014

Volatility Views 119: Craziest Week Ever

Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX takes big jump on Ukraine, Middle East worries. Set against another Malaysian Airlines crash and rising Middle East tensions, the VIX had its greatest jump in more than a year on Thursday, closing at 14.54, up 32.18%, this represented the VIX's greatest rise since April 2013,reported Bloomberg. Gold jumps 1.5% after plane crash. GLD options breakdown:2.1 calls to puts, Aug IV - 14%. Has been mostly hovering around 12% recently. Malaysian crash wreaks havoc on wheat futures market.

Volatility Voicemail: Listener questions and comments

  • Question from George: I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF can be better indicator to make sure where the SPY, so the most assets, head. How do you use these indicators together for your work? I would use other indicators too such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George
  • Question from Anthony: I just downloaded the CBOE skew index data and worked a little excel fu. The average of the skew index since inception is 117.43. It went out on Wednesday at 134.86 - if my reading of this is correct then that shows a substantial premium to SPX puts going into Thursday?s correction - which says a lot of people were hedged? Of course this is substantially lower than the recent high of 143.26 set on 6/20. So apparently fewer people were concerned about a selloff prior to the actual drop. After Thursday?s selloff the index dropped again to 131.65. That surprised me since I?d think the panic would spark more put buying. Does this indicate the market isn?t as concerned as the selloff might initially indicate?

Volatility Views 118: The VIXFather Turns on His Creation

Volatility Views 118: The VIXFather Turns on His Creation Volatility Review: VIX Cash: the week?s range was 11.01-13.23. Thanks to concerns about Portugal's banks repaying debt, Europe's VStoxx Index and the VIX jumped on Thursday.Will...
Posted July 14th, 2014

Volatility Views 118: The VIXFather Turns on His Creation

Volatility Review: VIX Cash: the week?s range was 11.01-13.23. Thanks to concerns about Portugal's banks repaying debt, Europe's VStoxx Index and the VIX jumped on Thursday.Will earnings season usher in volatility? VIX Options. VXST Options. SPX Skew. Robert Whaley, the inventor of the CBOE Volatility Index, or VIX, warned that investors are not getting what they pay for when they buy volatility-linked products. Mr. Whaley, now a professor at the Vanderbilt University Owen Graduate School of Management, addressed the issue of their effectiveness on Thursday at ETF.com?s Global Macro ETF Strategist Conference in New York.

Volatility Voicemail: Listener questions and comments

Question from Morgan Shebanek - Owwwwww!!! Just downloaded the mobile app. Pretty nifty even if it is redundant as all pertinent episodes are automatically put into my Podcast Que. Enjoyed the latest episode and yes I can attest as to the accuracy and timeliness of your "Vol Call" As a retail investor who has a couple regular accounts but no futures trading capability I have a question. So I want to utilize a trade on Vol? Ok, what the heck am I supposed to use?? TVIX & VXX? They look like terrible products. VXST? Can't trade it. The options are listed but when I tried to trade? No go. OoooK. So I feel like I am left using puts on SPY or QQQ. Maybe some RVX if the Small caps look like they are going to roll but I digress. Please help me find the proper product. I am not looking to hedge but rather playing a "trade" in Vol when I feel the timing is correct. Thanks for all the Mad Knowledge. Keep it up!

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other volatility products for the upcoming week.


Volatility Views 117: Getting Your Face Ripped Off By Vol

Volatility Views 117: Getting Your Face Ripped Off By Vol Volatility review: VIX cash had a range of 10.92 - 12.51 last week and has been on an uptrend for most of the week. A look at VIX futures. A riddle from Don. VXST, RVX options....
Posted July 1st, 2014

Volatility Views 117: Getting Your Face Ripped Off By Vol

Volatility review: VIX cash had a range of 10.92 - 12.51 last week and has been on an uptrend for most of the week. A look at VIX futures. A riddle from Don. VXST, RVX options. Gold/metals vol: GVZ range of 12.64-13 last week. General downtrend in gold vol after sharp spike the prior week

Volatility Voicemail: Listener questions and comments

  • Question from One of the Men [email protected]: @Options VXX going to collapse into the 4th of July holiday. Buy the 7/11 28p. Winner. U can thank me later. Freebie.
  • Question from Atlantan -I find the topic of volatility ETPs and their net impact on volume in the primary products very interesting. When products like VIX futures were conceived the notion of retail trading those products was inconceivable. To say nothing of retail oriented VIX products like VXX and others. But it seems like these products are the big drivers of volume these days. I might even go so far as to say they are essential. Do you agree? Is it even possible in the current environment to have a successful volatility future or option without a related ETP providing a steady source of volume? Fun show. I look forward to my weekly dose of all things volatility. Any chance of some ag vol rundowns in future episodes?
  • Question from Giuseppe Varino -To what do you attribute the recent vol divergence between the VIX and the Russell 2000? It seems as though Russell vol was unjustifiably inflated. Or do you feel this premium was justified? Do you expect this scenario to reemerge anytime soon or was this a relatively one-off situation?

Volatility Views 116: The Mystery of Gold Volatility Futures

Volatility Views 116: The Mystery of Gold Volatility Futures Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew...
Posted June 23rd, 2014

Volatility Views 116: The Mystery of Gold Volatility Futures

Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew predicted this not too long ago. Top OI Strikes: July 13 Put - 416K, July 16 Call - 385K, July 20 Call - 371K & Sep 19 Call - 261K. RVX: OI still hovering around 5K contracts.

Janet Yellen torpedoed a key catalyst for market volatility, characterizing the recent inflation data as "noisy". GVZ jumps 20% in one session. Oil volatility returns on Iraq fears. Currency volatility plummets.

Volatility Voicemail: Listener questions and comments

  • Question from J. Ingraham: loved the discussion of GVZ on the network this week. I?m very intrigued by this product. Like Mark said, GLD and VIX should be two great tastes that taste great together. Yet this product does no appreciable volume. I?ve tried to trade this several times but the lack of volume and terrible spreads kept me out of it. Why do you think GVZ has essentially failed as a trading product?
  • Question from Cigar Store Indian:Great show. Thanks for breaking down the problems with volatility ETFs like VXX. I?ve dumped that product from my portfolio after listening to your program. Thanks for helping me dodge a bullet on that one. I also have a question about another ETF product GLD. This product doesn?t seem to have the same issues with regards to term structure. Am I correct in the estimation that this product is safe to buy and hold in my portfolio for longer than a few hours?

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other volatility products.


Volatility Views 115: VIX Says Poo to You

Volatility Views 115: VIX Says Poo to You Volatility Review: VIX cash broke the 11-handle last week while we were recording, but it has since rebounded over concerns in Iraq. VIX futures started to see some backwardation creeping into the curve last...
Posted June 16th, 2014

Volatility Views 115: VIX Says Poo to You

Volatility Review: VIX cash broke the 11-handle last week while we were recording, but it has since rebounded over concerns in Iraq. VIX futures started to see some backwardation creeping into the curve last week. Is that still the case this week? The death of volatility forces traders to get creative. The Economist asks "Is this the calm before the storm? Bank of America's market risk index falls to lowest level since 2000.

Iraq concerns spike crude price and volatility.

Volatility Voicemail: Question from Indigo Blue - What?s up with gold volatility? The contract is selling off like mad and yet volatility is at near record lows. I have been taking advantage of this opportunity to load up on some GLD premium, primarily verticals. I have also been think about ratio/repair trades in the gold futures options. Thought on this crazy gold volatility environment?

Question from VIXinator - Do you think this is a good environment for a cheap VIX vertical - maybe Jul 16/20 CS for $.35 or Sep 17/20 CS for $.60?

Question from Andy Braga - What do you think about Apple as a dispersion candidate going forward? Do you think the split will take the wind out of its sails from a volatility perspective, or is it perhaps more attractive here?

CRYSTAL BALL

An outlook for VIX, RVX, VIX ETPs and other volatility products.


Volatility Views114: The VIX Is Dead. Long Live the VIX.

Volatility Views114: The VIX Is Dead. Long Live the VIX. Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap? VIX and VXST options....
Posted June 9th, 2014

Volatility Views114: The VIX Is Dead. Long Live the VIX.

Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap?

VIX and VXST options. New volatility ETFs launch. Gold volatility hits 14-month low.

Volatility Voicemail: Listener comments and questions.

  • Comment from Angelthorn - Great show last week guys! Finally people not afraid to stand up to the "VIX is cheap" hype machine and back it up with some data. I am join to sell some Vol in your honor.
  • Question from George - I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF is a better indicator to make sure where the SPY and indeed most assets are headed. How do you use these indicators together for your work? I would use other indicators too, such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George
  • Question from TheAnalyst - I was able to track down a copy of recent BGC research notes through a colleague. I found a comment in the most recent research note, surprising given recent statements to the contrary on Volatility Views. ?The one month implied volatility of VIX options as measured by VVIX was featured in our last Volatility Tracker update, and the estimate remains near record lows. Given this discount, VIX options still look more attractive for equity portfolio hedgers than e.g. at the money SPX or SPY puts.? It was my impression from the last episode that the panel, particularly both hosts named Mark, took a dim view of VIX as a hedging tool. Yet the most recent BGC research appears to recommend them. I very much enjoy this program and hope you can shine some light on this discrepancy for me.

Crystal Ball: An outlook for VIX, RVX VIX ETPs and other volatility products.


Volatility Views 113: Fighting Low VIX Hysteria

Volatility Views 113: Fighting Low VIX Hysteria Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine...
Posted June 2nd, 2014

Volatility Views 113: Fighting Low VIX Hysteria

Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine CBOE indexes.

Volatility Voicemail: Listener questions and comments

Question from Jim Charles, Lexington, KY - I know your recent guest Euan Sinclair downplayed the VIX call/put ratio as being due to systemic issues with the products, but that indicator has only risen since that episode. Leading me to believe there is something to it. Where do you guys stand now on VIX call/put? Are we poised for a pop or is this just the result of the CBOE beating the mean reversion drum back to 20?

Question from Annabelle Schmidt - Your guys profiled a sizable VIX vertical call spread in the September expiration cycle. Mark mentioned that it might be tied to an OTC variance trade. Is there any way for customer to get more information on that dark portion of the volatility market? It seems that quite a bit of the daily activity actually occurs in the OTC realm, so we are only getting half the picture if we just look at listed VIX trades. Great show! Great discussions! Hopefully Jared will stay on the program now that he has a new job.

Question from Sienna78 - S&P 500 at record high, VIX at record low, portfolio looking good. VIX Aug 12/16 calls for $2 or SPY Jul 190/170 puts for $2.30 - best protection?

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.


Volatility Views 112: How Low Will It Go?

Volatility Views 112: How Low Will It Go? Volatility Review: VIX cash broke the 12 handle - drifted to a low of 11.68. Is the VIX in a deep sleep? Or has it permanently changed? Is low volatility here to stay? India VIX slumps...
Posted May 20th, 2014

Volatility Views 112: How Low Will It Go?

Volatility Review: VIX cash broke the 12 handle - drifted to a low of 11.68. Is the VIX in a deep sleep? Or has it permanently changed? Is low volatility here to stay? India VIX slumps post-election.

Volatility Voicemail: What do you want to know?

  • Question from CNans - Gamma vs. Vega scalping - You have discussed gamma scalping on early episodes, as a way to pay for long volatility positions. Is it not also possible to scalp vega by legging into spreads intraday? Or is scalping a particular activity linked to gamma trading? Would it be possible to do a show entirely devoted to listener questions? That is my favorite part of the program because I always learn so much from your answers.
  • Comment from Sly @sportsmentalist: Hey Mark, really enjoyed the Vol views episode with Sinclair. You should do more quant oriented episodes

Volatility Views 111: Volatility Trading

Volatility Views 111: Volatility Trading Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading. Volatility Voicemail: Reader questions and...
Posted May 12th, 2014

Volatility Views 111: Volatility Trading

Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading.

Volatility Voicemail: Reader questions and comments

  • Question from SoloHan - Great show! Just discovered it and I am working through the back catalog as we speak. I just have one question so far, and I apologize if you have covered this in the past. I am an avid VXX trader. It?s a core component of my portfolio along with SPY and FB. I have heard Mark dismiss TVIX in the past as only for very short- term trades and if you by-and-hold VXX, you will lose money. Can you explain this please? What am I doing wrong by investing in VXX? Thanks again for this insightful program.
  • Question from Sea Shanty - Can you please explain the difference between RVX options and IWM options? Are they not both ways to trade Russell volatility? Luv the show. Mark is a great host and Jared brings that rural Virginia sensibility to volatility. Keep ?em coming

Volatility Views 110: Is Volatility Dying?

Volatility Views 110: Is Volatility Dying? Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility....
Posted May 5th, 2014

Volatility Views 110: Is Volatility Dying?

Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility. Volatility review in other asset classes including: ags, metals and fixed income.

Volatility Voicemail: So many questions!

  • Question from Allan S - I hear a lot about gamma scalping on the network. But what about volatility scalping. Isn't that really what you're doing? Aren't most options traders really volatility traders? Thank you for clarifying.
  • Question from Jim Thompson, New Mexico - What does the volatility panel think of flash boys - particularly as it pertains to Volatility. Are these same players active in derivatives and, if so,are they causing our exacerbating volatility? Great show Mark. Jared has been an excellent addition to the team.

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.


Volatility Views 108: VIX & More with Bill Luby

Volatility Views 108: VIX & More with Bill Luby Volatility Review: Today?s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today....
Posted April 28th, 2014

Volatility Views 108: VIX & More with Bill Luby

Volatility Review: Today?s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today. An aggressive selloff boosted volatility across the board. VIX Futures are catching bids as well. VIX options activity today: 4/1 calls over puts. Is there any sign of life in VXST?

India VIX reaches record highs. Kospi 200 volatility index hits record lows last week.

Volatility Voicemail: Panels for advisors, volatility re: valuations, earnings, scanning tools, and more.

  • Question from Sanjay Patel - I have to agree with the hosts regarding the discussion from episode 104 regarding VIX ETPs and RIAs or family offices. I have been active in the advisor community for several decades, following all of the latest research and attending many industry conferences. I have never encountered a single study or panel devoted to this issue or a fellow advisor who utilizes these products. My evidence is all anecdotal but I would think that if advisors made up a significant portion of those flows I would have encountered that by now. I just wanted to share my thoughts with your listeners. Thank you for reading my question. Please continue to produce this fine program as well as the Advisors Option. They speak to very unique audience.
  • Question from Even_Star - Is it possible to run options valuations models using actual rather than implied volatility levels? I think this would give a truer approximation of the options value when you strip away all of the nonsense that comes from implied volatility.
  • Question from Haweye - Aside from Apple last week and Google last cycle, it seems like most companies are dramatically underperforming their straddles during earnings season. Microsoft and Amazon are simply the latest names to fall victim to this trend. To what do you attribute this trend? Why are traders so consistently overestimating volatility going into earnings announcements this year? This would seem to be a good environment for a risk defined premium harvesting strategy, such as an iron condor or iron fly.
  • Question from James Norman - Love the Volatility Views show. Great content. Great guests. Keep them coming. I would like to ask a question about tools, in particular scanners. You have discussed scanners for unusual activity and changes in implied Vol on previous shows. Do you know of any tools that scan for changes in implied volatility skew? I am looking to capture skew distortions that allow me to leg into verticals, ratios and risk reversals at highly attractive levels. Does such a tool exist? I did not know where else to turn, but I know Mark and the Volatility Views team will not let me down!

Crystal Ball: FOMC, Q1 GDP, ISM and the employment report (plus earnings) - all in one week!


Volatility Views 107: Another Day, Another Selloff

Volatility Views 107: Another Day, Another Selloff Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term...
Posted April 14th, 2014

Volatility Views 107: Another Day, Another Selloff

Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol preview.

Volatility Viewpoint: What was Russell?s take on RMC this year?

Volatility Voicemail: International VIX?

Question from Vegaman - Great podcast. Love the recent rundown of RMC since I?m never able to attend the show. My question - do you know if any international versions of the VIX are in the offing? You?ve discussed the India VIX on previous shows but that seems to be the only non-U.S. version that gets mentioned. Thanks to the folks at Russell for making this great show possible. Oh - and I?m streaming the show while submitting this question from the mobile app. Very cool.

Crystal Ball: An outlook of VIX, RVX, VIX ETPs and other volatility products.


Volatility Views 106: HFT and Volatility

Volatility Views 106: HFT and Volatility Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent...
Posted April 7th, 2014

Volatility Views 106: HFT and Volatility

Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared to the first quarter of 2013.

Volatility Voicemail: You direct the conversation

  • Question from George - Big fan of the show - been listening for years. I think Jared is a great addition to the panel. There is a lot of talk about HFT firms manipulating stock markets in the wake of the Michael Lewis book Flash Boys. I have seen lots of talk about price manipulation, but I keep coming back to all of your discussions on Volatility Views, and it makes me wonder - why is no one talking about volatility as it relates to HFT? Are the firms adding volatility to the marketplace? Could these firms be responsible for a lot of the vol of vol that we see in the marketplace right now? Particularly in very active name or in some of the volatility ETFs? Keep up the great show!
  • Question from EVO16 - I am a regular user of VXX. I have heard you refer repeatedly to the cost of rolling this product and how it negatively impacts holders. Is there anything I as a regular VXX owner can do to minimize this? Are there other ETFs out there that attempt to do this?

Crystal Ball: An outlook for VIX, RVX and VIX ETPs.


Volatility Views 105: Happy Anniversary, VIX!

Volatility Views 105: Happy Anniversary, VIX! Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility. Volatility Voicemail: Question from Burt Skerton - Hello...
Posted April 1st, 2014

Volatility Views 105: Happy Anniversary, VIX!

Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility.

Volatility Voicemail:

  • Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you have provided, so for that I thank you. I am confused however about a situation I am seeing. I have a position in the VIX, where I bought the Nov 15 put for $0.80, with the underlying at the time of purchase listed at around 1,650. Today the underlying has dropped to around 1,300+, but the option is only trading around $1.30. It seems that the option should be worth more than that because it has about $2 of intrinsic value. So in theory, could someone with a large account just buy a few contracts, exercise them immediately, and sell the underlying on the open market for a huge profit? Thanks for clearing this up for me, keep on rocking!
  • Question from Brighton Capital - Very informative show with Jarrod Woodyard yesterday, do you have a similar post-FIA/Boca discussion in the works?
  • Question from @vikingwrath - The market is iffy here. What are your thoughts on UVXY in the short term?

Crystal Ball: USDA quarterly grain stock report coming out soon for ags. Interesting vol Products: a lot of vol in German renewables.


Volatility Views 104: Revisiting Risk Management

Volatility Views 104: Revisiting Risk Management Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and...
Posted March 24th, 2014

Volatility Views 104: Revisiting Risk Management

Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper.

Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend.

Crystal Ball: An outlook for VIX, RVX and VIX ETPS.


Volatility Views 103: The Russian Ripple Effect

Volatility Views 103: The Russian Ripple Effect Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life,...
Posted March 17th, 2014

Volatility Views 103: The Russian Ripple Effect

Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours.

Volatility Voicemail: What do you want to know?

  • Question from Charles Engel - Is there any way to buy and hold VXX without paying the inherent roll risk?
  • Comment from IfThen - Bitcoin cut in half after Mt. Gox - talk about volatility!
  • Question from C-Bug - Are there any products on the horizon that you think can dethrone VIX from the volatility throne? Vol Dex?
  • Question from Tom Wills, Eugene, OR - I remember you discussing a VIX call strategy that could out-perform direct SPX put spreads on an older episode, but I'm not sure which of your 100 episodes it was. Please help!

Crystal Ball: An outlook for VIX, RVX, and other VIX ETPs.


Volatility Views 102: What Is a VIX Covered Call

Volatility Views 102: What Is a VIX Covered Call Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off...
Posted March 10th, 2014

Volatility Views 102: What Is a VIX Covered Call

Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week. May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hit record heights. More "showshine boys" from Chris Cole.

Volatility Voicemail:

Question from Bryan Tong -When will we get VXST options? Soon?

Question from Enten -If I buy and write VIX calls against it, is it technically a covered calls? Will my broker recognize it as a covered position?

Question from Declan Smith, Dublin - Why do so many people buy VIX calls to hedge their long premium SPX-SPY positions? Do they not know that they are already long the implied volatility of the S&P - aka VIX? If anything they should be selling those calls or buying puts.

Question from Tim J. - What is the settlement process for VXST?

Crystal Ball: An outlook for VIX, RVX, and VIX ETPs.


Volatility Views 101: Buying Vol at Any Price

Volatility Views 101: Buying Vol at Any Price Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options. He gives an overview of the Vol Tracker and global map of implied...
Posted March 3rd, 2014

Volatility Views 101: Buying Vol at Any Price

Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options.

  • He gives an overview of the Vol Tracker and global map of implied volatility.
  • Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price".
  • Discusses his your take on what we have been seeing recently out there in the world of natural gas volatility
  • What he?s been seeing in the realm of currency.
  • Reviews how the premium levels in different emerging markets have changed since he wrote your piece "Emerging Market Confusion".

Volatility Review: Vol in the 20 range. Is this a long-term average? Will realized volatility catch another tail wind? The plethora of VIX products - Is it still a reliable index?

Crystal Ball: An outlook of VIX, RVX and other vol products/indexes.


Volatility Views 100: Volatility Tourists and Shoe Shine Boys

Volatility Views 100: Volatility Tourists and Shoe Shine Boys Volatility Viewpoint: This week?s guest is Chris Cole, Managing Director at Artemis Capital Management. They discuss: How he incorporates vol into his...
Posted February 24th, 2014

Volatility Views 100: Volatility Tourists and Shoe Shine Boys

Volatility Viewpoint: This week?s guest is Chris Cole, Managing Director at Artemis Capital Management.

They discuss:

  • How he incorporates vol into his trading?
  • How he defines a low vol market?
  • His feelings about VXST?

Volatility Review: The first week of VXST. The long term Jan 30-40 put spread that went up this week. Was that risky? Playing the wait and see game with RVX.

Volatility Voicemail: Question from Neil Higgins, Birmingham, UK

What impact, if any, do you think the entrance of China into the options market will have on volatility? Will it spawn a whole nation of VIX call buyers? Also, what is your view on the performance of the India VIX vs. S&P 500 VIX? Is it a better barometer of market volatility since it does not have all of the ETP baggage that bogs down the US VIX? Mark if you ever take the show on the road to England, let me be the first to offer to buy you a pint. Great stuff all around.

Crystal Ball: What is there out there to inject some juice into the markets?


Volatility Views 99: Debunking BXM vs. PUT

Volatility Views 99: Debunking BXM vs. PUT Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index. They...
Posted February 18th, 2014

Volatility Views 99: Debunking BXM vs. PUT

Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index. They discuss:

  • How he got involved in creating the put-write index with he CBOE
  • What the response has been to the put-write index
  • Why he thinks the Put-Write remains in the shadow of BXM
  • Why he thinks commodity-based volatility products like GVZ, etc. have failed to take off in the marketplace
  • His take on the recent move in nat gas and the volatility levels out there

Volatility Review: VIX options are on fire lately, with an ADV of nearly 700k contracts recently. Still heavy interest in calls (2.4/1 calls to puts), but nowhere near as strong as it was a few weeks ago when it hit nearly 3 to 1. Realized vol is still beating implied vol, but the gap is closing. As with VIX, the bulk of open interest in RVX is in the calls.

Volatility Voicemail: The vol experts will take your questions now

Question from Mr. T Bill - I know the focus of your program is equity volatility, but I think there might be an audience for fixed income volatility as well. You could discuss the performance of implied vs realized across various treasury options and futures. You could even mix in some discussion of ETFs like TLT (March and April are both trading at an 11 implied vol - flat term structure - trading opportunity?) Any chance you might consider adding this to future shows? Thanks and I love the program. Glad its back on the air. My weeks just were not the same without Vol Views. Please give my best to Don. I hope he can come back on the program some day.

Crystal Ball: An outlook for VIX, RVX and other vol products/indices.


Volatility Views 98: The Rise of Short-Term Volatility

Volatility Views 98: The Rise of Short-Term Volatility Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course. Volatility...
Posted February 10th, 2014

Volatility Views 98: The Rise of Short-Term Volatility

Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course.

Volatility Viewpoint: Our guest today is Jay Caauwe - CBOE Futures Exchange.

Hot on the heels of two new records: 2013 was a record year and January was another record month. Are you still on-track for a Feb 13 launch for VXST? What about the options? What has the response been to the extended VIX hours? What has the customer response been to RVX so far? What use cases are you seeing for it? Any other Russell volatility products on the horizon?

Crystal Ball: An Outlook for VIX options/futures, RVX & ETPs.


Volatility Views 97: Consulting Volatility

Volatility View 97: Consulting Volatility Volatility Review:So much for single digit VIX cash in Q1. VIX options call/put nearly 3 to 1 right now, hovering at record size. People still loving VIX upside - size open interest all the easy up to...
Posted February 3rd, 2014

Volatility View 97: Consulting Volatility


Volatility Review:So much for single digit VIX cash in Q1. VIX options call/put nearly 3 to 1 right now, hovering at record size. People still loving VIX upside - size open interest all the easy up to the Feb 60 strike. Current RVX open interest at 2700 contracts, traded 250 lot yesterday, the zealots are out in RVX.

Volatility Voicemail:

Comment from Jason Ungar - Hi, Mark: I hope you are well. I just heard your (latest, I think) podcast which included a question about the PUTs consistent outperformance of the BXM. I know you wanted to look into this, and I think I may be able to help. While it is tempting to ascribe the differential to the PUTs puts carrying a higher IV than the BXMs calls, there is almost invariably only a 5 point spread between the two option's strikes, and this is too narrow to capture any significant amount of skew. The actual reason for the difference is a bit more complicated and has to do with the indexes' settlement methodologies. As I am sure you know, index options settle against the Special Opening Quotation, which was instituted by the CME as a way to price expiring S&P 500 futures. The SOQ captures the opening price of all 500 components of the S&P 500, and the anomaly is that on expiration Fridays the SOQ often comes in at a premium to the cash open. The precise reason for this is unknown, but it may have to do with the action of market makers buying back the futures they used to hedge short put positions. The CME and CBOE are aware of this (see the included "Understanding the SOQ" pamphlet and note the consistent positive spread between the SOQ and the cash open and the reference to the SOQ "occasionally departing from index values".) The reason the high SOQ is relevant is that it causes the BXM to purchase expiring ITM calls at a premium and the PUT to purchase expiring ITM puts at a discount. This is compounded by the tendency of the market to open strong on expiration and then to tail off. This is good for the PUT, which is out of the market for the first two hours of trading, and bad for the BXM, which is long the market until new calls are sold beginning at 11:30 eastern. You can do an easy test to confirm this. Just line up the daily returns for both indexes (available for download at cboe.com), and note that the greatest differentials (usually in the PUT's favor) almost always occur on expiration Fridays. I have included a JAI paper on the PUT I coauthored with Matt Moran as well as a follow up article. I would be happy to discuss any of this. All the best, Jason Ungar

Question from Hannibal Smith -What is the Volatility Views panels take on the recent announced VolDex product from ISE and Nations Shares? Is it a credible competitor to VIX?

Crystal Ball:Heading for more of the same trouble in VIX land?


Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Views 96: Harvesting Volatility Risk Premium Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse? Volatility...
Posted January 27th, 2014

Volatility Views 96: Harvesting Volatility Risk Premium

Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse?

Volatility Viewpoint: Today?s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments.

They discuss:

  • Short volatility strategies & framework
  • An update on the call overriding portfolio
  • Why does a volatility risk premium exist?
  • Is volatility an asset class?
  • What are alternatives for managing portfolio volatility?
  • Strategy construction techniques for harvesting volatility risk premium
  • Will implied volatility underperform realized volatility in the coming months?
  • What are some favorite tools/products/techniques for capturing implied vs. realized?
  • How does the volatility premium in products like RVX differ from traditional S&P volatility products?
  • The ideal use case for a volatility product like VIX/RVX?

Crystal Ball: Weak China, Argentina, and worse-than-expected housing numbers, etc. has combined into a massive weight on the market, and volatility has only recently come to life. What should we expect going forward?


Volatility Views 95: All Things VIX

Volatility Views 95: When the Crazies Emerge Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February. The 2013 numbers are in: VIX futures 2013...
Posted January 21st, 2014

Volatility Views 95: When the Crazies Emerge

Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February.

The 2013 numbers are in:

  • VIX futures 2013 annual ADV - 159K - Up 67% from 2012.
  • VIX options 2013 annual ADV - 567K - Up 28% from 2012.
  • SPX options 2013 annual ADV - 823K - Up 18% from 2012.

Volatility Voicemail: What questions do you have for us?

Comment from nrlbuild:Great to have Volatility Views back on the air...but what about Don Schlesinger? Breakin' my heart man! Keep up the good work, Ned

Question from Greg: I'd been looking at the CBOE's Put-write vs. Buy-write strategy that rolls the ATM monthly options short. On the surface it appears the PW outperformed with less volatility over the last 25 years. It appears the PW outperforms over longer periods because any or all of the following:

1) Investors have overestimated future dividend payments

2) Investors have overestimated future interest rates

3) The random timing from the call or put being slightly ITM or OTM during more pronounced market moves

It's important to note that implied volatility should not explain a significant difference here. Both Calls and Put values are positively correlated with volatility. If you have a taxable account and your underlying holdings are targeted to be held at least 1 year, it would seem covered call would win out due to the stock and dividend being taxed at LT rates. Put premiums and bond interest are both taxed at ST rates. Commissions are a slight advantage to the PW strategy but in the world of online discount brokerages I would think this is insignificant. Thoughts?

Question from: expertmagician:I just found you! Just started using Volatility ETFs, and have never used futures or options. What is the best way to learn about various ways to hedge S&P or Russell using VIX ETFs? Great podcast! I would love to see an RVX ETF. Problem is with contango and contract roll exposure with ETFs. So, I am looking for a way to do this because I do not have the time to learn and actively trade futures or options.

Crystal Ball: Outlook at VIX options, futures, RVX and other volatility products activity next week.


Volatility Views 94: We Are Back!

Volatility Views 94: We Are Back! Volatility Views is back from hiatus and in this episode, Mark is joined by Mark Sebastian and Pat Fay, Director of Listed Derivatives, Russell Indexes Volatility Review: RVX options and futures are back. Why...
Posted January 13th, 2014

Volatility Views 94: We Are Back!

Volatility Views is back from hiatus and in this episode, Mark is joined by Mark Sebastian and Pat Fay, Director of Listed Derivatives, Russell Indexes

Volatility Review: RVX options and futures are back. Why bring them back? What?s unique to the RVX relative to the VIX? An overview/analysis of all the recent trading activity in VIX options and futures as well as VIX-related ETPs.

Volatility Voicemail: What Do You Want to Know?

  • Comment from Mr. Inc.: @Options Great to see that Volatility Views is returning to the schedule. My fav show. Cannot wait to hear it again.
  • Question from Joseph Hill, Spokane, WA: Great episode with Russell Rhoads from the CBOE. I hope Vol Views will be back on a more regular basis going forward. I also have a question about vol trading. I like the idea of VIX options, but I am not heavily invested in S&P 500 stocks. I think something like the NASDAQ VIX for my tech portfolio and Russell VIX for my small cap. My question is - Are these products identical to regular VIX options except for a different underlying? Or do they have different calculation formulas, settlement dates, etc.? Any plans to launch a futures show?
  • Question from SID S., Des Moines, IA: What is a good way to trade corn volatility? Do I have to do straddles on the big futures options or is there something else? Maybe a corn VIX that offers a more direct approach?

Crystal Ball: Our expectation from the upcoming week in VIX, RVX, ETPs and more.


Volatility Views 93: Returning in Style

Volatility Views 93: Returning in Style Volatility Viewpoint: Mark?s guest is Russell Rhoads, Senior Instructor, Options Institute. What does The Options Institute do? What is your opinion on the massive influx of retail traders into...
Posted October 25th, 2013

Volatility Views 93: Returning in Style

Volatility Viewpoint: Mark?s guest is Russell Rhoads, Senior Instructor, Options Institute. What does The Options Institute do? What is your opinion on the massive influx of retail traders into sophisticated institutional products like VIX options? What is your opinion on this new shorter-duration VIX products?

Volatility Review: Last-minute hedging activity in the broad indices ahead of the shutdown attributed to a short squeeze in volatility. Did the aggressive selling activity prior to the deadline a surprise to you? We are seeing some backwardation in the near-end of the VIX curve right now - a rare occurrence. How will weekly VIX change the marketplace?

Listener Mail: What do you want to know?

  • Question from Endzone - Will the sing name VIX products ever see the light of day
  • Question from George Santiago, San Diego, CA - I love the volatility views program and am looking forward to its return. Mark, Don and the gang put on a very informative program. I wold like to ask a question about variance. The CFE launched a variance product several years ago that received little traction. They have since pulled it. What was the problem with that product? Do you feel the relaunched version has nay chance in the marketplace?

Crystal Ball: Dangerous roads ahead as we navigate the shutdown. Watch out for another short squeeze in volatility. Eventually premium has to erode - something has to give.


Volatility Views 92: Zero Sum Game?

Volatility Views 92: Zero Sum Game? Volatility Viewpoint: We shake it up a bit and discuss the biggest news of the week first, namely the New York Times article, "Growth in Options Trading Helps Brokers but not Small Investors." The Crystal Ball: We...
Posted June 3rd, 2013

Volatility Views 92: Zero Sum Game?

Volatility Viewpoint: We shake it up a bit and discuss the biggest news of the week first, namely the New York Times article, "Growth in Options Trading Helps Brokers but not Small Investors."

The Crystal Ball: We discuss the future of Vol Views itself. A short summer hiatus will cover the rest of June, but we're hoping to be back in July with a new and improved format, more voices, new segments, but the same Vol Views you know and love.


Volatility Views 91: Historical Lows

Volatility Views 91: Historical Lows Volatility Review: Realized volatility plummeted. NASDAQ sits at 12.06 and S&P is even lower at 10.01. Don and Mark Sebastian called it. Listener Mail: We answer listener questions. Question from Jackson...
Posted May 20th, 2013

Volatility Views 91: Historical Lows

Volatility Review: Realized volatility plummeted. NASDAQ sits at 12.06 and S&P is even lower at 10.01. Don and Mark Sebastian called it.

Listener Mail: We answer listener questions.

  • Question from Jackson Engles, Garden City, NY: When you are analyzing historical volatility, what time frame is most relevant? The past 30 days? The past three months, six months, etc.? What do you focus on in your analysis
  • Question from Timothy VanAllen, Baltimore, MD: I hope Mark didn't lose "the Voice of Options" at his unusual activity event. I couldn't make that one, but if you guys end up doing a Vol Views 100 live, I hope to be able to attend. My question has to do with vol skew. We hear a lot about the vol smile, but nothing really exhibits it. Can you guys think of any underlyings that really spike from a volatility perspective once they move away from the ATM in either direction?
  • Question from ATL16: Dollar/Yen is crazy lately. What's a good source for FX vol info or analysis?
  • Question from Phil Thomas, London, ON: In what conditions would the Vol Views Squad ever consider using upside VXX or VIX calls/verticals as a portfolio hedge? Or would you always stick with the good old S&P put spread/ratio spread?
  • Question from Mr. Pop: Quick question -- What is your favorite position for trading volatility?

The Crystal Ball: Fading the short-term, buying the long-term. How long can VIX stay this low?


Volatility Views 90: Sell or Sell Not, There is no Buy

Volatility Views 90: Sell or Sell Not, There is no Buy. Volatility Review: The dollar hit a historic level with the Yen last week, and this has had an effect on the currencies Vol. The inversion of realized volatility, where it's higher than VIX,...
Posted May 13th, 2013

Volatility Views 90: Sell or Sell Not, There is no Buy.

Volatility Review:

The dollar hit a historic level with the Yen last week, and this has had an effect on the currencies Vol. The inversion of realized volatility, where it's higher than VIX, continues -- a rather unusual occurrence.

Volatility Viewpoints:

Dennis Chen. He is the co-author, along with Vol Views's own Mark Sebastian, of The Options Trader's Hedge Fund.

Listener Mail:

Comment from Hawkeye: In honor of May the 4th, "Buy not, sell or sell not, there is no buy." - from Don "Yoda" Schlesinger. Thanks to all the volatility masters for such a great podcast!

Question from Mr. Todd: I found Mark L's comment about VXX being the #3 exchange traded product quite surprising. You guys have slammed that product frequently on this program. Why do you think it has succeeded among the entire universe of VIX ETPs? Thanks for the greats shows - when Mark "The Voice of Options" speaks I listen!

The Crystal Ball:

This curious situation with VIX really throws a wrench into the machine -- not sure where we go from here.


Volatility Views 89: Moving in Lockstep

Volatility Views 89: Moving in Lockstep Volatility Review:Market up 1% after some surprise news from the non-farms report -- better than expected. We had a unique week where the market was up and VIX was up as well, for 4 days in a...
Posted May 6th, 2013

Volatility Views 89: Moving in Lockstep

Volatility Review:Market up 1% after some surprise news from the non-farms report -- better than expected. We had a unique week where the market was up and VIX was up as well, for 4 days in a row!

Listener Mail: Mark and Don take your questions.

  • Comment by AsymmetricRisk on the Value of Gamma episode:Best Vol Views ever, by far, full of actionable insight. A whole new level for Vol Views. Keep up the good work.

  • Question from Hawkeye:I just picked up Mark Sebastian's book The Option Trader's Hedge Fund. I am looking at the example where he uses a double diagonal, then "weights the vega." I understand why he wants to weight them, but I don't understand where he got the actual weight values he used from. Can anyone help? Thanks.
  • Question from Tom B, Houston, TX: Hey Vol Viewers - My question is for Don and Bob from the Volatility Exchange. With the recent crash at the CBOE, are you guys at VolX at all concerned about putting all of your eggs in one basket when it comes to listing exclusively on one exchange? Would it be better for RealVol futures to be listed on all relevant exchanges? Thank you for this program. I look forward to it every week even though most of it goes right over my head. Mark L has the best voice in options, Mark S is a zany character and Don can recite volatility calculation like nobody's business. Keep it up!
  • Question from Tim L, Long Beach, CA: Does anyone offer the equivalent of FLEX options for volatility? If so, would you recommend them?
  • Question from Athelas: What did Vix traders do during the CBOE crash? SPX has many outlets but there aren't any for VIX that I am aware of.
  • Question from Tiny Tim: Where do the Vol Viewers stand on Vol before earnings? If you're long Vol, do you get out before the announcement? If you're short Vol, do you get out after the announcement?

The Crystal Ball:Implied Volatility has possibly hit its bottom. These 1% moves a day could continue.


Volatility Views 88: Reestablishing the Norm

Volatility Views 88: Reestablishing the Norm Volatility Review: Vol has spiked in the last week, going nearly as high as during the Italian elections. CBOE computers go down. How does the inability to trade VIX affect the overall markets? Listener...
Posted April 29th, 2013

Volatility Views 88: Reestablishing the Norm

Volatility Review: Vol has spiked in the last week, going nearly as high as during the Italian elections. CBOE computers go down. How does the inability to trade VIX affect the overall markets?

Listener Mail: Mark and Don will take your questions now.

  • Question from Phil Z. - Mark, love the show! Could you explain what you, Don, and Mark S. mean when you say VIX has "roll risk"?
  • Question from Tom S. - Do you agree with the theory of your guest that near-term S&P OTM puts are the most resilient to time decay?


The Crystal Ball: VIX should stay high for a while, but will not go above 14%.


Volatility Views 87: It All Comes Down to Timing

Volatility Views 87: It All Comes Down to Timing Volatility Review: The VIX shot up at the beginning of the week, but was selling off by the end of the week. There was a broad vol story happening this week, particularly in the commodities with gold...
Posted April 22nd, 2013

Volatility Views 87: It All Comes Down to Timing

Volatility Review: The VIX shot up at the beginning of the week, but was selling off by the end of the week. There was a broad vol story happening this week, particularly in the commodities with gold vol spiking 500% over two weeks.

Volatility Viewpoint: Bob Krause discusses the RealVolIndex, available at VolX, which features nine daily indexes. Bob also talks about how a real-time value can be calculated from a daily value.

Listener Mail: Tell us what you want to know.

  • Question from Blake M, Troy, NY: If I trade bullish risk reversals, does the volatility premium give me an inherent advantage over collar/bearish risk reversal trades?
  • Question from Mitten, Toronto, ON: When does VolX plan to launch a RealVolcontract on commodities? I think a metals contract would be very popular and profitable for the exchange.
  • Question from Mike P: Mark, are you aware of any research, or can you bring on any guest to discuss to theperformance of at-the-money straddles during earnings cycles? It can be either from the short or long side. I'm surprised at the lack of available information on this topic, given the importance of the subject matter. This impacts pretty much every options trader at least once every quarter. Any light that you could shine on this through your fantastic radio network and website would be very much appreciated.


The Crystal Ball: Apple and other earnings next week, which have an impact on vol premium. The bulls could be coming back in force.


Volatility Views: The Value of Gamma

Volatility Views: The Value of Gamma Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver. Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as...
Posted April 15th, 2013

Volatility Views: The Value of Gamma

Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver. Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as money flows in from Asia. Lowest realized vol in Gold was charted in early April, with vol spiking ever since. Vol of vol is around 170, and is likely going over 200.

Volatility Viewpoint: Today guest is Shreyas Chari, Principal at Satwic Capital Partners. He discusses gamma and its relative value in the marketplace, as well as other aspects of volatility.

The Crystal Ball: Weekly options are becoming more efficiently priced.


Volatility Views 85: Responding to Great Listener Questions

Volatility Views 85: Responding to Great Listener Questions Volatility Review: It is somewhat surprising to see how little the recent European crisis has impacted the VIX. Perhaps the market over-reacted to the news in Cypress. NASDAQ 21-day...
Posted March 25th, 2013

Volatility Views 85: Responding to Great Listener Questions

Volatility Review: It is somewhat surprising to see how little the recent European crisis has impacted the VIX. Perhaps the market over-reacted to the news in Cypress. NASDAQ 21-day realized volatility is below that of the S&P.

Listener Mail: Keep those questions coming in.

  • Question from Jim Petchi: I have been listening to Volatility Views for a while, but I still do not understand how the volatility of a specific option relates to the probability of the change in stock price. Does the implied vol of a specific option (like AAPL today at 443, with a April vol of 29%) mean that AAPL has a 29% chance of making a one standard day deviation move, which is 67%, in that time frame? If not, is there some way of relating the implied vol with probability?
  • Question from A Heiner: (in reference to "Risk Reversals Trade BPI" an unusual activity article) What does this mean? I apologize but I do not understand the market and what this says about the future of BPI and its price. Can you break it down for me?

The Crystal Ball: The crisis in the Mediterranean will likely get resolved soon, and in a way the market finds favorable. Happy Holidays everyone! We will be back in two weeks.


Volatility Views 84: May You Live in Interesting Times

Volatility Views 84: May You Live in Interesting Times Volatility Review: We are back after a short break last weekend. Most major indexes have reached near-record lows highs. As a consequence, because of the inverse relationship, volatilities...
Posted March 18th, 2013

Volatility Views 84: May You Live in Interesting Times

Volatility Review: We are back after a short break last weekend. Most major indexes have reached near-record lows highs. As a consequence, because of the inverse relationship, volatilities are extremely low. Could this be the norm going forward? Is there a line drawn in the sand with options' implied volatilities?

Listener Mail: Our team tackles your questions.

  • Question from Phil Fan: Do you ever plan to host a live recording of Volatility Views? If so, when and where? Please put me on the list.
  • Question from Tim Moore: The host frequently says that vol traders don't understand basic math. What does he mean by that?
  • Question from X64: Are there any good tools out there that show up-to-the-minute, even intraday, realized volatility?
  • Question from Aston Meyer, Brooklyn, NY: I enjoyed your recent show with Randy Swan. However, do you really think it is realistic for a client to expect his financial advisor to have a working understanding of volatility, in addition to all the other things they keep track of for their clients (stock selection, tax implications, risk tolerance, etc.)? Thank you for this wonderful program, I have learned quite a bit.
  • Question from StatArb: Do you think they'll pull all the vol swaps onto SEF's along with the CDS's?

Crystal Ball: Very rarely haverealized and implied volatility been this close to each other, making this an interesting period. VIX settlement next week.


Volatility Views 83: Check Your Levels

Volatility Views 83: Check Your Levels Volatility Review: We had quite a roller coaster week in terms of implied and realized vol. The importance of vol of vol has been showcased. Listener Mail: We have a huge mail bag today. Question from Big Ned:...
Posted March 4th, 2013

Volatility Views 83: Check Your Levels

Volatility Review: We had quite a roller coaster week in terms of implied and realized vol. The importance of vol of vol has been showcased.

Listener Mail: We have a huge mail bag today.

  • Question from Big Ned: Is it possible for an options trader to ever truly be flat, aside from closing his positions?
  • Question from Alex Gumble: How do market makers manage their volatility exposure when everyone else in the pit (or bin) has the same position? That seems like a difficult prospect.
  • Question from Mikhail, Ukraine:Why do I need to worry about Vega? I only sell strangles and iron condors. The risk is clearly defined. If price is good, I sell. I price is not good, I don't sell. It?s very simple.
  • Question from Nix01: I liked Mark's article "VIX Activity - Hedge or Sign" from 2/27. Can he elaborate on the show?
  • Comment from [email protected]: Rule of 16, nice one! Thanks @Options #Volatility.
  • Question from Talos_A: Insider trading has been making many headlines. Do you feel sudden spikes/drops in volatility on a strike are the best indicators or unusual activity/insider trading?
  • Question from Nickel Silver: Where can I buy shares of VolX? Is it publicly traded?

The Crystal Ball: Sequestration! Keep an eye on Europe as well. Where can vol go next?


Volatility Views 82: Scalp Gamma, Trade Vega

Volatility Views 82: Scalp Gamma, Trade Vega Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect. The Mail Bag: So many questions! Question from Tim Ross:I?ve heard...
Posted February 25th, 2013

Volatility Views 82: Scalp Gamma, Trade Vega

Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect.

The Mail Bag: So many questions!

  • Question from Tim Ross:I?ve heard the hosts refer to "scalping gamma" before on the program. What does that mean and should I be doing that in my own trading account?
  • Question from Nitin Gulati: Mark, Volatility Views is the best educational show in world of options trading and education. No one could have assembled such a great team of hosts. Don often refers to ?vol of vol? in his comments, but how can this serve as a useful tool in a retail trader?s arsenal? On second thought, we often use vol cones to understand how realized vol is at lower levels on some individual names, as well as indexes. If implied vol is priced in lower further out, doesn't that mean the market is pricing a muted move in the future? How would a trader differentiate if he only wants vega, since gamma might not be cheap?
  • Question/comment from Southbaytrader1:Looking forward to the weekly fix from your show. Good humor in a world of darkness! When's the next stand-up tour? I enjoyed the vol series discussing Taleb's strategies--interesting to hear competing viewpoints. I would like to hear more on vol futures versus cash, assignment risk, and possible spread strategies for mitigating cash outlays. Your thoughts on margin would be great too.
  • Question from TBill01: What do you guys think of the recent spike in VIX? It seems to be way out of whack with actual movement of S&P. See? I listen!
  • Question from Umberto Toli:Do you feel the current options tax treatments put forth in congress, particularly the covered call tax treatment, will stifle volume and/or drive exchange volume into the OTC realm? If so, what impact do you feel this would have on overall S&P and NASDAQ volatility?
  • Question from Et_Moor16: I am thinking about dispersion trading in AAPL, V, QQQ, GOOG, and AMZN. How much do you think I need in my account to do it?
  • Question from Finn Tompkins:What does the Vol Views crew think of the underperformance of the emerging markets VIX relative to the actual VIX? Is tail risk just overpriced in the U.S. or is it a bargain in the emerging markets?

The Crystal Ball: Is the current level of realized volatility sustainable?


Volatility Views 81: Capturing Volatility Premium

Volatility Views 81: Capturing Volatility Premium Volatility Review: It?s about as blah as it can be with very little happening in the world of volatility. It?s not to say we told you so. If there is any edge, it?s in March VIX...
Posted February 19th, 2013

Volatility Views 81: Capturing Volatility Premium

Volatility Review: It?s about as blah as it can be with very little happening in the world of volatility. It?s not to say we told you so. If there is any edge, it?s in March VIX futures.

Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses:

  • His paper, Capturing Volatility Premium through Call Overwriting (http://www.russell.com/US/insights-research/capturing-the-volatility-premium.aspx)
  • The ways to capture the volatility differential between realized and implied
  • Quantifying the term ?overwriting?
  • Findings that overwriting can outperform the S&P 500 in the long-term
  • How the message is being received by the retail audience
  • How the paper quantifies the impact of the roll on weekly options and when the best time is to do so

Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.


Volatility Views 80: The Listeners Take Over

Volatility Views 80: The Listeners Take Over Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else. Listener Mail: Our listeners...
Posted February 11th, 2013

Volatility Views 80: The Listeners Take Over

Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else.

Listener Mail: Our listeners are keeping us busy with questions.

  • Question from JoJo - I love the show! Have you thought about bringing on a CTA?
  • Question from Justin Deveroe - Can you walk me through a few potential use-cases for a NASDAQ vol contract? I like the show and I'm intrigued by the idea, I'm just not sure how to trade a product like that.
  • Question from Little Tim - Why do you think GLD is "underperforming" right now from a volatility perspective? SLV seems to be stealing all of the thunder in the volatility realm these days.Question from Theodore Grey - I enjoyed your recent shows featuring financial advisors, but I found the reticence of many advisors to even implement basic hedges very troubling. Why do you think so many advisors and asset managers lack even basic knowledge of volatility or how to hedge a portfolio with options?
  • Question from Allie, Anchorage, AK - I have about $25,000 in my trading account. I've learned a lot about the realized vs. implied discrepancy by listening to this program, and I would like to capture that in my own trading. Unfortunately delta neutral trading is pretty much out of the question with my account balance. What do you recommend for someone like me who would like to practice what you guys preach, but doesn't have access to an institutional level account? I'm sure many of your listeners are in a similar situation.
  • Question from Monster6 - Correlation is a growing concern across asset classes;it's all but impossible to diversify away risk in this marketplace. Would you guys advise your listeners that a volatility/derivative component is the best way to truly hedge/protect a portfolio these days? If so, which would you recommend?

The Crystal Ball: Perhaps the Russell will be our salvation for a little action over the weekend. Looking for price increases in all the major indexes in the future.


Volatility Views 79: Derivatives Strategy Consulting

Volatility Views 79: Derivatives Strategy ConsultingVolatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low? Will VIX have an 11-handle by next week?Volatility Viewpoint: Today's guest is Mark...
Posted February 4th, 2013

Volatility Views 79: Derivatives Strategy Consulting

Volatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low? Will VIX have an 11-handle by next week?

Volatility Viewpoint: Today's guest is Mark Shepherd, Founder of DSC, Derivatives Strategy Consultants. He discusses what types of structured products his firm offers, how he advises clients in a low volatility environment, and how he hedges his clients.

The Crystal Ball: What will juice volatility in the coming weeks? The metals remain the last bastion of volatility in this market.


Volatility Views 78: Making Money in Spite of Yourself

Volatility Views 78: Making Money in Spite of Yourself Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Implied vols, as measured by VIX, are currently at the same level as 21-day realized...
Posted January 28th, 2013

Volatility Views 78: Making Money in Spite of Yourself

Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Implied vols, as measured by VIX, are currently at the same level as 21-day realized S&P vol, but are still overpriced with respect to shorter, 10-day realized.

Listener Mail: Don, Mark, and Mark dive into the listener mailbag.

  • Email question from Neil Ducat: I like the discussion of commodity volatility on your recent episodes. Are there any plans to include a regular commodity vol update in your Vol Review segment?
  • Email question from Tim S.: The commodity discussion on your recent episode was illuminating. I would like to ask your opinion on this: Given the success of commodity options and futures, why haven't commodity volatility products (like gold VIX, etc.) really taken off and captured the imagination of the investing public?
  • Twitter question from Mr. Auto: With Apple and other recent names blowing through their straddles post-earnings, would Don concede that there are indeed times when it is appropriate to buy volatility?
  • Comment from Alfonso Strolli, Florence, Italy: Ciao Vol Views crew! I find your program very informative. Mark Longo is indeed the voice of options, and certainly the best in the world at what he does. Don provides the perspective of a veteran of many volatility battles, and Mark Sebastian is nothing but entertaining. Thank you for this great and unique program. Keep up the good work!
  • Email question from Tim42: Has Don ever bought an underlying, or does he sell those too?
  • Email question from Ed: I am very interested in SPX and SPX volatility (aka VIX). I understand Mark Longo is a former SPX market maker, what are his impressions of the current trading range of SPX vol vs. his time in the pit? Does it perform differently now than it did then? Also, if possible, could he share his favorite trading story from his SPX days? Thank you very much.

The Crystal Ball: Gold and silver catching eyes of those looking for volatility.

Email question from Donald Simmons: With volatility trending lower and no relief in sight, what do the hosts think of interesting strategies for a time of stagnant volatility?


Volatility Views 77: Volatility from a Wealth Advisor Perspective

Volatility Views 77: Volatility from a Wealth Advisor Perspective Volatility Review: Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a...
Posted January 23rd, 2013

Volatility Views 77: Volatility from a Wealth Advisor Perspective

Volatility Review: Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a very long-term historical viewpoint. NASDAQ volatility has been moving roughly the same as S&P.

Volatility Viewpoint: Today's guest is: Randy Swan, Co-founder of Swan Wealth Advisors. He discusses:

  • Overlays
  • How, as a wealth advisor, he tailors strategies
  • How he incorporates volatility and volatility levels into his strategies
  • How he hedges the S&P 500
  • How he feels about some advisors still clinging to outmoded traditions
  • And more

Crystal Ball:NASDAQ and S&P outlook. It seems like the one thing we were looking for to juice the market and give us some vol in the near future has been taken away from us -- hence the massive selloff.


Volatility Views 76: Commodity Futures and Volatility

Volatility Views 76: Commodity Futures and Volatility Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review. Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of...
Posted January 14th, 2013

Volatility Views 76: Commodity Futures and Volatility

Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review.

Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of Trade. He discusses strategies to use going into crop reports, skew, volatility arbitrage, the impact of one commodity on another, the impact of weather, and more.

Crystal Ball: NASDAQ and S&P outlook. It looks like it might be more of the same with little vol movement. We're stuck in the mid-winter summer doldrums.


Volatility Views 75: New Year, New Questions

Volatility Views 75: New Year, New Questions Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review. Mail Bag: Keep...
Posted January 7th, 2013

Volatility Views 75: New Year, New Questions

Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review.

Mail Bag: Keep those questions coming.

Tweet from Southbay Trader: I especially like Volatility Views!

Tweet from Billmoo: OIR - Top Financial Podcast of 2012!

Email from Allen Jacobs - Danbury, CT: Can you guys talk about dispersion trading? I've heard that term quite a bit recently. I think it has to do with volatility trading, but I'm not sure how or why, but I think I've turned to the right people for help. Thanks for your show Mark, it's a big help to people like me, who aspire to one day be volatility pros like you guys.

Tweet from Leroy: Why weren't people aggressively shorting vol pre-cliff deal like the debt deal?

Email from Anonymous: I run the vol book at a local shop. I found your show about Mr. Black Swan very illuminating. I've read all of Mr. Taleb's books and even met him several times. Like you, I assumed his trading style to be heavily long premium, and was surprised to hear the opposite. I would expect former market makers like "the Marks" and a former upstairs trader like Don to be aggressively short ATM premium, but not Mr. Taleb. He appears to be preparing himself for his black swan events by back spreading and being net long units, so it isn't a complete cop-out - he's not just writing ATM straddle and heading for the hills. Like all of you and your recent guest (Jared Woodward), I too am left with a somewhat bitter taste in my mouth after learning this information, it doesn't fit with the overall message and marketing of his work.

Email from Theodore Grant - Pittsburgh, PA: Mark, Volatility Views is my favorite show on your network! I wish there were more podcasts out there talking about volatility trading - you guys truly stand alone. My question has to do with tail risk, one of your favorite subjects. You guys always talk about tail risk and how it's become dramatically overpriced in indexes like the S&P 500 and even large cap stocks like Google. What about in commodity products like GLD, corn, oil, etc.? In those products the tail risk is found on the upside. Do you see the same overpricing of premium in the upside calls in those products as we currently see in downside SPY and Google puts? Thank you.

The Crystal Ball: Earnings season kicks off next week. Are we heading towards the winter doldrums?


Volatility Views 74: Digging Deep into the Listener Mailbag

Volatility Views 74: Digging Deep into the Listener Mailbag Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff." Listener Mail: So many questions for us to...
Posted December 24th, 2012

Volatility Views 74: Digging Deep into the Listener Mailbag

Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff."

Listener Mail: So many questions for us to answer.

  • Tweet from Doc Hudson: What is your pick for volatility trade/product/development of the year?
  • Tweet from Man of Steel: What do people mean by ?selling or buying skew?? What are those trades?
  • Tweet from VIXen- Why are iron condors so hot right now? Seems like everyone is selling them these days no matter the vol landscape.
  • Email from Sam Felis:Why are the front-month VIX futures trading above the cash right now? I need the Vol Views pros to explain this to me.
  • Tweet from Sam Dash: Don -- sell or don't sell vol in 2013? Give me your thoughts?

The Crystal Ball: What can we expect to see in 2013?


Volatility Views 73: Once More unto the Black Swan Breach

Volatility Views 73: Once More unto the Black Swan Breach Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol. Listener Mail: Back to...
Posted December 17th, 2012

Volatility Views 73: Once More unto the Black Swan Breach

Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol.

Listener Mail: Back to Black Swans.

  • Comment from Asymmetric Risk: According to Don, Nassim will lose money over the long run because the out of the money options he buys have a higher implied volatility than the close to the money options he sells. Since he is paying a spread, Don thinks this is a bad strategy. Far be it for me to disagree with Don, but speaking for Nassim (and I feel confident speaking for Nassim because I've had dozens of conversations with him on this exact topic) Nassim would agree he is paying a spread but the spread between ATM and OTM options is systemically underpriced. Nassim's strategy is based on his belief that asset prices are not normally distributed -- the bell is flatter and the tails are fatter. So options markets overprice one standard deviation risk ("I always sell ATM straddles") and underprice two standard deviation risk (Black Swans). Your critique of him is misplaced because you're focusing on 5- and 10-sigma events which are not required for his strategy to work. He ran a large option book at a major investment bank and was profitable on a monthly basis.
  • Tweet from Don M.: Shouldn't Nassim be a net buyer of tail putsif he feels tail risk is underpriced? If he sells ATM, does he buy OTM on a ratio? Make no sense to me.
  • Email from Tim Vicks, Fredericksburg, VA: Let me see if I have this straight: Black Swans are extreme outlier events that are unpredictable, yet so catastrophic as to alter the course of human events. But the way to prepare for these events is to sell premium? What am I missing?

The Crystal Ball: Sebastian foresees a massive spike in realized vol with little to no spike in implied vol. Is it time to own gamma and be short vega? Still waiting for some news out of Washington.


Volatility Views 72: Closing the Book on Black Swans

Volatility Views 72: Closing the Book on Black Swans Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week. ...
Posted December 10th, 2012

Volatility Views 72: Closing the Book on Black Swans

Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week.

Listener Mail: Mark, Andrew, and Don answer listener questions.

  • Comment from Teddy: This is a great article. I really hope you guys discuss this on the next episode of Volatility Views. I'm curious about this new low vol VIX. What is the point of it?
  • Comment from Oscar (about Woodard's article): This is a good article, and given the last episode of Vol Views, this is very timely. When are you going to have Condors Options on the show? It seems like they would fit nicely with Mark, Don and Mark.
  • Comment from Asymmetric Risk: I've never read any of Nassim's books, much less his research. However I've probably traded more options with him than any of his counterparties, going back to the 80's when we were the two most active currency options traders globally. I would describe him as a buyer of back spreads, and very well positioned for gaps or jumps. Many of which were not black swans per se, for example, the sudden 10% currency move we had when the Swiss National Bank put a floor on the Euro recently. Your critique of his strategy was unduly harsh, because while he is set up for black swans, he isn't dependent on them to be profitable, as you guys characterize him.
  • Email from Mark S: Should I even pay attention to the vega numbers when trading weekly options? It seems like vol is mostly irrelevant in such a short-dated option and that any measurement of that vol would be highly prone to error. Weeklies seem to be gamma/theta beasts, so that's where I expend the bulk of my effort and analysis.

The Crystal Ball: We're still waiting for a settlement in Washington on "the fiscal cliff."

The Crystal Ball: We're still waiting for a settlement in Washington on "the fiscal cliff."


Volatility Views 71: Condor Options Takes on Black Swans

Volatility Views 71: Condor Options Takes on Black Swans Volatility Review: Near-term vol of vol has been extremely low of late.NASDAQ and S&Pvol review: over the past two weeks vol hasbeen almost unchanged. How has our frame of...
Posted December 3rd, 2012

Volatility Views 71: Condor Options Takes on Black Swans

Volatility Review: Near-term vol of vol has been extremely low of late.NASDAQ and S&Pvol review: over the past two weeks vol hasbeen almost unchanged. How has our frame of reference for vol changed?

Volatility Viewpoint: Today's guest is Jared Woodard, the founder of Condor Options. He discusses his recent article about volatility and black swan events. What was the response from Taleb? A major bombshell is dropped. Plus, Jared also gives his take on volatility risk premium.

The Crystal Ball: The fear of the weekend. What could happen with "the fiscal cliff"?

Here is the link to the article on Condor Options' website.


Volatility Views 70: Stop Worrying about Black Swans

Volatility Views 70: Stop Worrying aboutBlack Swans Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol. Volatility Viewpoint: Some interesting topics...
Posted November 19th, 2012

Volatility Views 70: Stop Worrying aboutBlack Swans

Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol.

Volatility Viewpoint: Some interesting topics emerged from this week's global derivatives conference:

  • Is vol cheap? When VIX cash hit 13.5 this year, the cost of the six-month hedge was the same as the day after Lehman defaulted.
  • VIX ETPs are problematic, part 1: They are not very adaptable to new volatility regimes.
  • VIX ETPs are problematic, part 2: In the last 15 minutes of the trading day, VIX futures are far more volatile than VIX or SPX themselves, indicating the impact of these structured products on seeking alpha and roll yield.
  • Is too much tail risk priced into the market?S&P puts and VIX calls are priced as though black swan events are imminent and occur with alarming regularity, as opposed to being the rareevents that they truly are.
  • Implied vs. realized volatility premium: Implied volatility premium, as opposed to its realized counterpart, is higher in short-duration VIX options. In general, this favors strategies that sell shorter-dated options and buy longer-dated options.

Crystal Ball: Looking ahead at NASDAQ volatility and the VIX.


Volatility Views 69: Unlocking the Secrets of the Vol Surface

Volatility Views 69: Unlocking the Secrets of the Vol SurfaceVolatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol.Volatility Viewpoint: Today's guest is Alberto...
Posted November 12th, 2012

Volatility Views 69: Unlocking the Secrets of the Vol Surface

Volatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol.

Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed products.

Crystal Ball: We are hoping for a major announcement, any day now, concerning VolX. Stay tuned. Assets with inelastic demand and sensitivity to the US dollar will rally.


Volatility Views 68: The Dark Art of Futures Options

Volatility Views 68: The Dark Art of Futures OptionsVolatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol.Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses...
Posted October 29th, 2012

Volatility Views 68: The Dark Art of Futures Options

Volatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol.

Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels.

The Crystal Ball: NASDAQ vol going into the big numbers tonight ahead of AAPL earnings. How will earnings affect realized vol? All the big tech names are outperforming. Looking ahead to S&P vol.


Volatility Views 67: VolContract Futures Overlays: The Holy Grail?

Volatility Views 67: VolContract FuturesOverlays:The Holy Grail? Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved downmore than 1%since June...
Posted October 23rd, 2012

Volatility Views 67: VolContract FuturesOverlays:The Holy Grail?

Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved downmore than 1%since June 26th.

Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst forVolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of VolContracts in conjunction with an equity portfolio.

The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.


Volatility Views 66: A Week without Volatility

Volatility Views 66: A Week without VolatilityVolatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week.Listener Mail: Our listeners drive the bus for a...
Posted October 15th, 2012

Volatility Views 66: A Week without Volatility

Volatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week.

Listener Mail: Our listeners drive the bus for a while

  • Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER)
  • Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX is underperforming? (Via Tweet from @XZTON)
  • Does VolX have any plans to launch any realized volatility products on commodities such as ags, metals, etc.? Thanks and keep up the great work. (Via Email from Sid K., Des Moines, IA)
  • What do you guys think of Apple call verticals here? Does Apple skew make buying them more attractive going into earnings? (Via Tweet from @Duncan6)
  • Why is NASDAQ historically a more volatile index than the S&P500? Is it simply because it contains more tech stocks, so that generates more volatility than large Fortune 100 type stocks? Also, can you recommend any good products for trading NASDAQ volatility? Thanks for answering my question and for this fantastic, one-of-a-kind program. (Via Facebook from Alexander S.)

Crystal Ball: Looking ahead at VIX, NASDAQ, and S&P. Less than a month away from the general election.


Volatility Views 65: Contango Tango

Volatility Views 65: Contango Tango Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility....
Posted October 8th, 2012

Volatility Views 65: Contango Tango

Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ.

Volatility Viewpoint: Today's guest is Mike Cavanaugh, presidentof Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more.

Crystal Ball: Don't expect much to happen in the next week or so. Non-farms and the VP debate upcoming.


Volatility Views 64: Missing the Fat, Juicy Puts of Yore

Volatility Views 64: Missing the Fat, Juicy Puts of YoreVolatility Review: Looking back at a four-day time horizon. At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement...
Posted October 1st, 2012

Volatility Views 64: Missing the Fat, Juicy Puts of Yore

Volatility Review: Looking back at a four-day time horizon. At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 13.

Volatility Mailbag: The team lets the listeners steer the conversation.

  • Email from Michael: "Does volatility play a role in dividend exercise/assignment? Is Vega a major factor in most dividend scenarios?"
  • Tweet from Ian K: "Can you talk a little about commodity volatility skew? Why is it so different than equity skew?"
  • Facebook question from Christian Garcia: "Is it worth it to be stuck on the screen all day with regard to gamma scalping? Does Mark Sebastian's formula (pay-to-the-decay) work on futures options?"


Crystal Ball: The team attempts to peer into the murky ether of upcoming volatility.


Volatility Views 63: The Low End of the Volatility Spectrum

Volatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. ...
Posted September 25th, 2012

Volatility Views 63: The Low End of the Volatility Spectrum

Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ.

Listener Questions: The listeners direct the conversation.

  • Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fighting a losing battle because our head tells us we are right when everything else is telling you otherwise. It really highlights the need to follow a plan, stick to yourisk reward no matter what happens and act like a robot with no emotion when trading. Regards, Lee"
  • Facebook Question from Tom Sevens: ?You guys are always talking about the implied volatility premium vs. realized. But it seems like implied vol is always priced at a premium to realized, so is there ever a reason why anyone would want to do the opposite trade - buy implied and sell realized vol??
  • Tweet from @GIN4: ?Are there any products out there that replicate vol trades (straddles, iron condors, etc.) to save me the hassle??
  • Email from Ed S.: "I really want to understand option volatility. I have even subscribed to sites that ANALYZE volatility, but I can never figure out what to do with the number it generates. I don't know if the result is particularly high, medium or low. This is very distressing to me, because I know vol is very important. But it simply eludes me. Your help is appreciated."
  • Tweet from @TOMOTON: ?Both Marks slammed buying 20,000 Feb 70 VIX calls for $0.15. What trade would you prefer to see??

Crystal Ball: Looking ahead to a slow upcoming week in vol.


Volatility Views 62: Bad Money Managers

Volatility Views 62: Bad Money ManagersVolatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch.Listener Mail:...
Posted September 17th, 2012

Volatility Views 62: Bad Money Managers

Volatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch.

Listener Mail: Letting the listeners take control of the conversation.

  • I loved last week's show. I'm very glad to have Vol Views back in the saddle!
  • My financial advisor recently recommended that I allocate a portion of my portfolio over to VXX because "VIX is low." I didn't know what he was talking about. When I Googled VXX I came across this program and have learned quite a bit. Thank you for informing me, but I'm still uncertain as to his VXX recommendation, especially after hearing your comments about TVIX. Should I allocate some of my portfolio to VXX?
  • Why are VIX cash and front month VIX futures the same right now?
  • Don - Is there ever a case when you would buy vol?
  • You guys are always talking about Volatility skew. I recently noticed that, in Apple, the calls were bid substantially over the puts. Is that an unusual phenomenon? Are there any other names you can mention where this is the case?
  • Are there any tools that let you trade off of vol cones?


Crystal Ball: Looking ahead to next week's VIX cash and VIX futures. NASDAQ preview.


Volatility Views 61: A Short Straddle for Cowards

Volatility Views 61: A Short Straddle for CowardsVolatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli,...
Posted September 10th, 2012

Volatility Views 61: A Short Straddle for Cowards

Volatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring. Dan discusses Market Taker and how he approaches volatility with a new client. He also talks about mentoring students who want to dive into sophisticated vol products, like VIX options, for example. Does he counsel the novice trader to avoid these products? How does he train students to be aware of volatility levels for each trade that they make? They also discuss gamma scalping and delta neutral trading, and where Dan falls in the volatility hedge vs. direct hedge debate.

Mailbag: Answering listener mail.
. When is Volatility Views coming back live?
. Someone bought 20,000 Feb 75 calls in the VIX yesterday. That's near the ultimate all-time high for the VIX. Why do so many people dramatically overestimate VIX, particularly to the upside? People seem to be ignorant of the historical range of VIX, let alone the typical VIX movement. Perhaps this is more of a comment than a question, but it's been bothering me lately and I wanted to hear your learned opinions on the matter.
. Is there such a thing as "the gamma of vega"?

Crystal Ball: NASDAQ vol outlook.


Volatility Views 60: Jackass Investing: Don't Do It. Profit From It.

Volatility Views 60: Jackass Investing: Don't Do It. Profit From It. Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyers opportunity. Volatility Viewpoint: Today's guest is Mike...
Posted August 21st, 2012

Volatility Views 60: Jackass Investing: Don't Do It. Profit From It.

Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyers opportunity.

Volatility Viewpoint: Today's guest is Mike Dever, Founder and CEO of Brandywine Asset Management, and author of Jackass Investing: Don't Do It. Profit From It. He starts with his unique approach to volatility. Is it possible, given such broad correlation among asset classes, to be able to really diversify? The book says you can increase returns, while reducing risk at the same time. Is this preaching the wisdom of using derivatives? The "loser's concept." What does he say to readers who are concerned about the current state of regulation and oversight in options and derivatives?

Crystal Ball: Looking ahead for the next month for NASDAQ vol and VIX.

Best of Volatility Views: Busting Skew Myths

Best of Volatility Views: Busting Skew Myths Busting Skew Myths! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and...
Posted August 7th, 2012

Best of Volatility Views: Busting Skew Myths

Busting Skew Myths! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew.


Volatility Views 59: A Deep Dive into Variance Swaps

Volatility Views 59: A Deep Dive into Variance SwapsVolatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as...
Posted July 26th, 2012


Volatility Views 59: A Deep Dive into Variance Swaps

Volatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected.

Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexity, and vol of vol.

Listener Mail: Addressing Listener Questions

Vol Views Gang - Which will we hit first a VIX of 40 or 14? (Via Twitter from TEXASTEA)
Why don't more brokerage firms allow you to quote options by vol levels instead of price/premium levels? You'd think this would be a very desirable feature, particularly to the type of educated clientele that listens to a show like Volatility Views. That's certainly a desirable clientele for a broker. I know I would certainly like that feature. Can you guys weigh in on this and hopefully help me spread the word for this feature among online brokerage firms. (On a side note - I can't wait for Volatility Views to get back to its regular schedule. I never thought I would be this excited for the end of summer.) (Via Facebook From Alex K., Tucson, AZ)

Does the Volatility Views team feel that the new method for listing weeklies will lead to a reduced volatility of volatility in those products? Thank you very much for your fine program.
(Via email from Alessandro Ropa, Barcelona, Spain)

Crystal Ball: Looking ahead at the next month for VIX and NASDAQ Vol.


Best of Volatility Views: Larry the Legend

Best of Volatility Views: Larry the LegendIn this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan.Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have...
Posted July 16th, 2012

Best of Volatility Views: Larry the Legend

In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan.

Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio. Discussing the fine art of gamma scalping.


Best of Volatility Views: The Great Skew Debate

Best of Volatility Views: The Great Skew Debate Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of...
Posted July 9th, 2012

Best of Volatility Views: The Great Skew Debate

Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.

Best of Vol Views: Vix and More

Another selection from The Best of Volatility Views. In this episode, dated June 20, 2011, Mark and Don chat with Bill Luby, creator of the popular website VIX and More. They discuss the roller coaster volatility of late, whether the VIX has...
Posted July 2nd, 2012

Another selection from The Best of Volatility Views. In this episode, dated June 20, 2011, Mark and Don chat with Bill Luby, creator of the popular website VIX and More. They discuss the roller coaster volatility of late, whether the VIX has underperformed given current market conditions, whether VIX futures are essentially irrelevant, whether VIX should be marketed as a hedging tool, the inherent differences between implied and realized volatility, Euro vol updates, and much more...

Read more:http://www.theoptionsinsider.com/radio/#ixzz1zVHYNY61
The Options Insider: Your Inside Source For Options Information


Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle

Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH...
Posted June 27th, 2012


Best of Volatility Views: Volatility Discussion with Nobel Laureate Robert Engle


Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including:
  • Professor Engle's move from physics to economics
  • ARCH and GARCH models, and how the ARCH model was born
  • The Volatility Institute
  • Vlab
  • SoFiE
  • Professor Engle's work with the SEC's Flash Crash Advisory Committee
  • The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.

Volatility Views 58: Cracking the Bond Code

Volatility Views 58: Cracking the Bond Code Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue. Volatility Viewpoint: Today's guest is Dr....
Posted June 18th, 2012

Volatility Views 58: Cracking the Bond Code



Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue.

Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier University in Waterloo, Ontario, Canada.

Dr. Kalimipalli discusses:
-His research, in which he looks at correlations between overall equity market vol and the treasury markets.
-What kind of skews he sees in the bond markets insofar as implied volatility is concerned.
-Which variable is preferable to use, VIX or the stock turnover, or both?
-How the volatility of a particular underlying correlates to corporate bonds on the underlying.
-If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.
-How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.


Crystal Ball: Greek elections on Sunday. Could send us off in any direction. The movement of volatility will creep back up to normal levels again.

Volatility Views 57: Turning the Tables on Mark Sebastian

Volatility Views 57: Turning the Tables on Mark Sebastian Volatility Review: VIX is back this week, after it ended unchanged at 0.0 before last week's Option Block episodes. Time will tell as we see what happens in Europe. NASDAQ one- and...
Posted June 12th, 2012

Volatility Views 57: Turning the Tables on Mark Sebastian


Volatility Review: VIX is back this week, after it ended unchanged at 0.0 before last week's Option Block episodes. Time will tell as we see what happens in Europe. NASDAQ one- and three-month realized volatility has had almost no movement at all, but the trend is surely upward.

Volatility Viewpoint: Long-time panelist Mark Sebastian gets the chance to sit in the guest's seat and discusses what Option Pit is and the world of options education.

Mail Bag: Answering listener questions.
CBOE is in the process of changing the way they list weekly options. How do you think the change will impact weekly options volatility, as well as the way they perform? Thanks again and I love the show. You guys make my commute to work a little more bearable. (Via Facebook from Chris Monty)

In a time spread, which risk/opportunity should I really focus on: gamma or vega? It seems like trading time spreads is essentially finding a proper balance between these two. (Via email from Theodore Johnson, Boise, ID)

I'm and expat American currently living and trading in Germany. As an old-school options trader, I've always considered myself first-and-foremost a volatility trader. I mostly view my positions and I'm always looking for interesting new products like VolContracts, VIX, etc., that will provide me with a new way to hedge/trade volatility. When I moved to Frankfurt, I was very surprised to find that most of my European colleagues don't share that perspective. They aren't up on the latest vol products/research and don't tend to view themselves as vol traders. I've found this baffling so I thought I would write to the authority on volatility to see if I am completely nuts or if this is a well-documented situation. Is vol trading, and the interest in vol products, primarily a localized American phenomenon, or am I just hanging with the wrong crowd over here? (Via email from Charles Stephens, Frankfurt, Germany)

Crystal Ball: We'll have to keep an eye on Europe, but expect little change in realized volatility. There will be a break in S&P in one direction or the other.

Volatility Views 56: More Listener Mail Fun

Volatility Views 56: More Listener Mail Fun Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month...
Posted June 4th, 2012

Volatility Views 56: More Listener Mail Fun

Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month edged higher to 16.02. Reacting, rather than predicting, was the order of the day.

Listener Mail: We're Going Listener Mail Crazy Again This Week

  • How do you guys feel the addition of Facebook will impact NASDAQ volatility in the future? (Via Twitter from DAMIAN14)
    What's your opinion of Facebook's option vol and options trading so far? (Via email from Tim L. in Portland, OR)
  • Any update on the NASDAQ VolContracts? (Via Twitter from EuroDJ)
  • Is delta neutral hedging the only way to trade realized volatility in the options market right now (outside of VolContracts on the Euro, of course)? I like what you guys talk about every week and I'm looking for ways to capture that good ol' "realized vol." (Via Facebook from Steve K., Victoria, BC)
  • I just wanted to write in to let you guys know that I love this show. Volatility Views is unique in the options podcast world. No one else is out there talking about the stuff you guys talk about or bringing on the guests you guys get. It truly is a fantastic, one-of-a-kind program. So thanks again for putting together such a great show. And Mark - thanks also for The Options Insider Radio Network. You truly are "the voice of options." (Via email from Dick Framingham - Rochester, NY)
  • Mark "Voice of Options" Longo, Don "sold to you" Schlesinger and Mark "tinny seabass" Sebastian - I have a pressing question that requires your vast expertise. Why, in the name of God, does the VIX have a skew? Shouldn't that information already be represented in the SPX options or am I completely missing the boat on this? Thanks again and I love the network. That new Options Boot Camp show is fantastic. (Via Facebook from Tim Bond, Tulsa, OK)
  • Why do you think so many attempts to bring OTC vol to exchanges have failed - CBOE variance, etc. (Via Twitter from AXEMAN74)
  • I know you guys have talked about selling vol when others are buying. Like when a newsletter recommends buying a particular put, for example. How exactly do I execute that trade? Do I wait until late in the day when everyone is done buying, then sell that same option? Can I sell nearby strikes instead? What about the stock? Do I have to hedge delta neutral or one-to-one to really capture the vol premium? I am really interested in this strategy, but a little fuzzy on the actual execution. (Via email from Joe Eftes, Sacramento, CA)

Crystal Ball: We could see 30 shortly in the VIX. All-time low for 10- and 30-year bonds. More volatility -- it's going to get worse before it gets better.


Volatility Views 55: Good Volatility, Bad Volatility

Volatility Views 55: Good Volatility, Bad Volatility Volatility Review: The play between pre- and post-election Greek volatility has seen big action. Ultimately though, the EU will let the Greeks decided their own fate. Andrew G. does not want to own...
Posted May 29th, 2012

Volatility Views 55: Good Volatility, Bad Volatility


Volatility Review: The play between pre- and post-election Greek volatility has seen big action. Ultimately though, the EU will let the Greeks decided their own fate. Andrew G. does not want to own pre-election juice. Given realized volatility, there has not been much change in the NASDAQ. The three-month realized vol has actually risen somewhat -- replacing volatility that was extremely low just a short while ago.

Volatility Viewpoint: Today's guest is Andrew Patton, Associate Professor of Economics and Finance at Duke University. He is the author or co-author of several academic papers, including "Good Volatility, Bad Volatility." Prof. Patton discusses some of its findings, including the importance of directional movement in forecasting future volatility.

Crystal Ball: In VIX, Andrew G. is just waiting for the Greek election to sell June, buy July, and unleash the time spread. NASDAQ one-month realized may roll over a little bit. The short term might be dropping more, but that is not a ringing endorsement.

Volatility Views 54: Listener Mail Extravaganza, Part Two

Volatility Views 54: Listener Mail Extravaganza, Part Two Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened...
Posted May 21st, 2012

Volatility Views 54: Listener Mail Extravaganza, Part Two

Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened further. A crazy scenario of implied vs. realized volatility in VIX.

Listener Mail: Mark, Don, and Mark take on listener questions.

  • All of this talk about JP Morgan has left me wondering, what kind of derivatives hedge loses $2.3 billion? How is that even possible? Help me Volatility Views hosts, you are my only hope! (Todd Lundgren, Pittsburgh, PA)
  • I Know Bob and Don are big fans of vol cones. How about a vol cone update on the major indices (VIX, NASDAQ, Euro, etc.) for your loyal listeners? Where should I be buying, or perhaps not buying VIX here? (TEDMAS via Facebook)
  • Hey Don, what index is next from VolX after NASDAQ? Russell? Emerging Markets? Thanks. (Via Twitter from UNCLESTEVE)
  • Mark is fond of calling NASDAQ "Apple Plus." I know he's joking, but it raises an interesting question about how much the Apple tail is wagging the NASDAQ dog? What percent of NASDAQ vol, or even vol of Vol, is directly attributable to Apple? I'm sure your listeners, me included, would like to know. Also, quick side question for Mark - Is there any way to buy Options Insider gear? I love the logo and I want to do my part to get the word out about the network. (Steve K., Oklahoma City, OK)
  • Vol crew, why is the VIX term structure coming in so dramatically? The VIX ETPs and annuities are still net buyers of long-term vol. (Max Shreck, Atlanta, GA)
  • Has the rise of weeklies rendered existing vol studies, and maybe even conventional vol wisdom, moot? (Via Twitter from Todd Dupres)

Crystal Ball: We might start to see levels of realized vol taper off a bit in NASDAQ. The three-month vol of vol is actually lower than the vol of the S&P itself. VIX could reach 30 sooner than later. Bonds are in even worse condition.

Volatility Views 53: An Insider's View of Risk Management

Volatility Views 53: An Insider's View of Risk Management Volatility Review: There is an extra note of tension in the market with S&P vol waiting for the other shoe to drop. NASDAQ vol is slightly higher. JPMorgan news does little to rattle...
Posted May 14th, 2012

Volatility Views 53: An Insider's View of Risk Management

Volatility Review: There is an extra note of tension in the market with S&P vol waiting for the other shoe to drop. NASDAQ vol is slightly higher. JPMorgan news does little to rattle VIX.

Volatility Viewpoint: Today's guest, Todd Petzel, the Chief Investment Officer at Offit Capital, sits down with Mark and Don, and discusses myriad aspects of volatility and risk management. Topics include:
. The instruments he uses to manage portfolio risk
. Structured VIX products
. Go-to products
. Financial investors and their lacking use of options
. Pending regulations concerning position limits

Crystal Ball: Sebastian sees the market bouncing around in the short term. A safe trade may be shorting U.S. treasuries. There is still a continued contraction between implied risk premium and realized vol levels. Vol may go higher, but without anything dramatic moving it.

Volatility Views 52: The Father of Financial Futures

Volatility Views 52: The Father of Financial Futures Volatility Review: Listeners from last week may remember Don made a timid prediction that the realized volatility of NASDAQ could be going a bit higher, and it managed to inch up a few basis points....
Posted May 7th, 2012

Volatility Views 52: The Father of Financial Futures


Volatility Review: Listeners from last week may remember Don made a timid prediction that the realized volatility of NASDAQ could be going a bit higher, and it managed to inch up a few basis points. It was a strong down week for equities. Since this selloff was gradual, the actual market volatility was not significant. Greek and French elections this weekend may fuel some volatility moves next week.

Volatility Viewpoint: Today's guest is Dr. Richard Sandor, "the father of financial futures," and Chairman and CEO of Environmental Financial Products. Dr. Sandor discusses his new book "Good Derivatives," and his storied career. He distinguishes between regulated and unregulated derivatives, discusses what it takes to create a new market, and his involvement in the issue of acid rain.

Crystal Ball: There may be an increase in realized volatility on NASDAQ in the next week. Putting a cap on volatility at 20%. Upcoming elections in both France and Greece.

Volatility Views 51: Risk Managers: The Adults in the Group

Volatility Views 51: Risk Managers: The Adults in the Group Volatility Review: VIX options were absolutely crushed this week. Apple after earnings and its effect on NASDAQ vol. Don and Sebastian weigh in on VVIX. Volatility Viewpoint: Volatility Views...
Posted April 30th, 2012

Volatility Views 51: Risk Managers: The Adults in the Group

Volatility Review: VIX options were absolutely crushed this week. Apple after earnings and its effect on NASDAQ vol. Don and Sebastian weigh in on VVIX.

Volatility Viewpoint: Volatility Views welcomes back Euan Sinclair, author and risk manager at Bluefin Trading, to discuss risk management and his work on the barrier (or first time) method for calculating volatility. Euan gives a quick sneak preview of the updates to his book. The group also discusses Euan's opinion on vol of vol, and if the universe of ETPs has dramatically affected the vol of vol.

Crystal Ball: Sebastian is looking at a 14-handle in the VIX and observed that S&P realized volatility was already in the 14s and would probably maintain those levels. Now that Apple's earnings are out of the way, what to look for in the NASDAQ? Getting close to the summer doldrums.

Volatility Views 50: Listener Mail Extravaganza

Volatility Views 50: Listener Mail Extravaganza Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where...
Posted April 23rd, 2012

Volatility Views 50: Listener Mail Extravaganza

Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where it is or moves yet again. We seem to be in flux; there's no real trend here.

Listener Mail: Via email from Tim Siffron, Lansing, MI.
I love your show and the great guests you guys manage to wrangle, but I was a little out of my depth with last week's guest. It's been a while since I took a stats course, so your discussion of jump frameworks and stochastic volatility models for pricing OTC variant swaps was a tad out of my league. Can you give a quick, plain English summary of the take-aways from that discussion, for those of us who may have had trouble following along? Thanks and looking forward to the NASDAQ contracts.

Via Twitter from Joe X4.
Mark and Don: Who is your favorite Vol Views guest so far? Love the show.

Via email from Aston VaLance, Hoboken, NJ.
Mark L, Mark S and Don: Now that you are discussing NASDAQ vol on the show, do you find that it performs dramatically differently from S&P vol? If so, how much of that difference do you attribute to the relative dearth of NASDAQ vol products versus the explosion of S&P volatility ETPs? Mark L has said many times on the show that the VIX has many masters these days, not just SPX front-month volatility. On the flip side, it seems that NASDAQ vol only has one master. Are these various masters pulling the VIX in different directions from NASDAQ vol? Also, would the lack of NASDAQ vol ETPs "polluting the waters" make NASDAQ implied vol a more pure product from a volatility perspective?

Via the Options Insider forum, from Captain Options.
What causes VIX term structure? Mark L, Don and company: The Vol Views show has discussed the term structure of VIX futures many times in the past; most recently the emphasis has been on the incredibly steep slope of that term structure. I wonder if you could voice your opinions on what you think is actually causing such a steep slope in that product. As my handle suggests, I am more of an options guy than a futures guy, so I'm not particularly familiar with futures term structures and how they should work. I hope my question isn't too remedial for this esteemed panel. And Don, may I say, "Sold to you." Wow. That felt great!

Crystal Ball: NASDAQ volatility at nearly historic lows, which Don predicts will rise over the short term. However, he did not say "buy 'em." Remember his motto re options: "Sell, or don't sell." Sebastian discusses shocking bond movement, earnings season, and Apple.

Volatility Views 49: How Best to Price Variance and Volatility Swaps

Volatility Views 49: How Best to Price Variance and Volatility Swaps Volatility Review: It's funny how it didn't take long for our prediction of a range-bound VIX to be proven wrong! The VVIX has been high. Is a tradable VIX of VIX in the works? What...
Posted April 16th, 2012

Volatility Views 49: How Best to Price Variance and Volatility Swaps

Volatility Review: It's funny how it didn't take long for our prediction of a range-bound VIX to be proven wrong! The VVIX has been high. Is a tradable VIX of VIX in the works? What have the NASDAQ and SPX vol of vol six-month averages been? One-year? Don gives some remarkable numbers. Apple on the move downwards; some are eager to buy Apple at 600. NASDAQ vol cones, like most volatility readings, are at historical lows.

Volatility Viewpoint: Today's guests, Thomas Thorsen and Emil Stamp, are the authors of the master's thesis, "Pricing of Variance and Volatility Swaps in a Stochastic Volatility and Jump Framework." The gang discusses pricing models of OTC variance swaps, the different models the authors created, and the accuracy of the models for both forecasting realized volatility, as well as pricing of variance swaps and GARCH models in real-world applications.

Crystal Ball: Are you still shorting the VIX? Are higher levels forecasted for the future? Perception versus reality.

Volatility Views 48: Masters of the VIX

Volatility Views 48: Masters of the VIX Volatility Review: Not much vol action to report with the markets closed on recording day (Friday). Steep contango in VIX futures has lessened in the past few weeks. Long holiday weekend volatility didn't fully...
Posted April 9th, 2012

Volatility Views 48: Masters of the VIX


Volatility Review: Not much vol action to report with the markets closed on recording day (Friday). Steep contango in VIX futures has lessened in the past few weeks. Long holiday weekend volatility didn't fully come out of VIX futures and index options, which is highly interesting and unusual. Also an unusual situation -- unemployment numbers were released on a day when the market was closed. Don and Mark discuss contango. NASDAQ volatility update.

Volatility Viewpoint: Mark and Don are joined by David Palmer, Volatility Book Portfolio Manager at Hudson Bay Capital. They discuss the evolution of skew, the growing market of products tied to VIX, and how they're manipulating the underlying, the halting of TVIX share creation, OTC versus listed trading, volatility arbitrage opportunities, rational arbitrage, and hedging and downside protection.

Crystal Ball: Nothing to rant about in S&P land, at least until we reach the next unknown unknown. Summer doldrums are coming. The impact of having such low levels of realized volatility.

Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio

Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio Volatility Review: VIX review, with interesting corresponding elements relative to VIX and VIX skew. Monday massive overreaction to the market rally. NASDAQ vol...
Posted April 3rd, 2012

Volatility Views 47: How Dynamic Volatility Can Reshape Your Portfolio


Volatility Review: VIX review, with interesting corresponding elements relative to VIX and VIX skew. Monday massive overreaction to the market rally. NASDAQ vol review, driven by AAPL, which is slowing down a bit.

Volatility Viewpoint: Mark, Bob, and Mark are joined by Peter Christoffersen, Professor of Finance, Rotman School of Management at the University of Toronto, and author of Elements of Financial Risk Management and a chapter in the forthcoming Handbook of Economic Forecasting. Prof. Christoffersen discusses dynamic volatility, the Sharpe ratio, and practical applications for the average investor. Mark asks Prof. Christoffersen whether it's possible to have a truly diversified portfolio without having some kind of volatility asset. He also discusses his research on skew and its impact on the underlying instrument.

Crystal Ball: Looking deep into the murky ether of the future of volatility, Mark and Mark pontificate on the contango environment of VIX futures, with Sebastian seeing VIX staying between 14 and 17. Will AAPL vol come in? As AAPL goes, so goes the NASDAQ. There might be an increase in volatility post-Easter, with the beginning of earnings season.

Volatility View 46: Volatility Discussion with the Godfather

Volatility View 46: Volatility Discussion with the Godfather Volatility Review: Slaughter of the VIX April future, with May poised for the same. Credit Suisse released more creation units and TVIX crushed long positions - going from 13 to 6.5 in...
Posted March 27th, 2012

Volatility View 46: Volatility Discussion with the Godfather

Volatility Review: Slaughter of the VIX April future, with May poised for the same. Credit Suisse released more creation units and TVIX crushed long positions - going from 13 to 6.5 in a week. Euro vol review -- March 1- and 3-month contracts expired last week. NASDAQ vol update.

Volatility Viewpoint: Mark, Bob, and Mark have the great pleasure to discuss volatility with the Godfather: Anthony Neuberger, Professor of Finance at Warwick Business School. The gang discusses his seminal paper, "The Log Contract and Other Power Contracts.? They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.

Crystal Ball: Sebastian sees VIX staying between 14 and 16, with a lot of erosion in VXX. Watch out for contango. Euro vol is a coin flip right now. NASDAQ vol might be too expensive right now because of Apple.


Volatility Views 45: What Does Butter Have to Do with It?

Volatility Views 45: What Does Butter Have to Do with It? Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference. Volatility Viewpoint: Mechanics of the forthcoming Nasdaq VolContracts. Bob gives details on...
Posted March 19th, 2012

Volatility Views 45: What Does Butter Have to Do with It?

Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference.

Volatility Viewpoint: Mechanics of the forthcoming Nasdaq VolContracts. Bob gives details on the genesis of the product, the formula, how it captures movement, the agreement with Nasdaq, the difference between VolContracts and other Nasdaq-based products, the specifications, the closing price, and more.

Volatility Views 44: Listener Mail Extravaganza

Volatility Views 44: Listener Mail ExtravaganzaVolatility Review: Vol is down and SPX is up. Even the news of the new iPad wasn't enough to boost the market. Don opines on Apple. Nasdaq vol still flat-lined. Euro...
Posted March 12th, 2012

Volatility Views 44: Listener Mail Extravaganza

Volatility Review: Vol is down and SPX is up. Even the news of the new iPad wasn't enough to boost the market. Don opines on Apple. Nasdaq vol still flat-lined. Euro vol -- the 1-month and 3-month March contracts expire soon.

Listener Mail: Nasdaq VolContracts, TVIX, the nature of VolContracts, and avoiding the VIX.
1. Will the new Nasdaq VolContracts be exclusive to the Nasdaq, like the Euro and CME, or multi-listed?
2. What's your take on the ongoing TVIX drama? Cause? Was it shady? Is TVIX done?
3. I'm new to the show, so I apologize if you guys have discussed this in earlier episodes, but I'm intrigued by the concept of VolContracts and how they work. Would the new Nasdaq products be normal futures and options in the truest sense? In other words, do normal strategies such as verticals, time spreads, etc. apply in VolContracts products? Or, do I need to relearn my trading fundamentals and apply some new concepts to fully capitalize on these instruments?
4. I hear you guys talking about the problems with using VIX as a proxy for SPX volatility: Poor settlement, too many masters affecting the VIX, etc. So instead of VIX, I'm thinking of getting a pure realized vol position using delta-neutral ATM straddles in SPY. The contract size is smaller, so it's easier for me to trade. As long as I make my hedges and adjustments accurately, this should be a vastly superior proxy for the true S&P volatility. Am I correct or am I nuts?

Crystal Ball: Non-farms may be a non-event. Load up on VIX downside. Hopefully the Nasdaq vol can break out of this flat line and the other shoe will drop. Otherwise it's difficult to make any predictions.


Volatility Views 43: Are Weekly Options Ruining Volatility?

Volatility Views 43: Are Weekly Options Ruining Volatility? Volatility Review: The VIX was gaining ground again, but became mired in a holding pattern. What was the cause of the influx of capital in TVIX? NASDAQ vol is still flat-lining. Euro vol...
Posted March 5th, 2012

Volatility Views 43: Are Weekly Options Ruining Volatility?

Volatility Review: The VIX was gaining ground again, but became mired in a holding pattern. What was the cause of the influx of capital in TVIX? NASDAQ vol is still flat-lining. Euro vol review.

Volatility Viewpoint: Sanjay Tolia of Bengal Capital is the featured guest. A great conversation included questions such as: Are high levels of correlation taking away from single-stock option trading? Are high levels of correlation taking away from running balanced volatility portfolios? Are VIX products good or bad for retail investors? Are weekly options good or bad for retail clients? Is their explosive growth good for the industry?

Crystal Ball: Until people start hitting the bid or lifting offers, VIX levels are going to stay in this range. Expect a similar stall in NASDAQ. Don predicts that Euro vol expiration settlement price next week will be lower than the 10.27 of Thursday night, and will settle in the mid-9s.

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol? Nasdaq vol review. S&P?s overly dramatic brother,...
Posted February 27th, 2012

Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery

Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol? Nasdaq vol review. S&P?s overly dramatic brother, Nasdaq is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that played out from a vol perspective? Are we seeing the same degree of selloff in the Nasdaq vol? An explosion of volume recently in the T-VIX. There is something very interesting going on.
Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts? information he touched upon before, but needed some clarification.

Listener Mail:
Question 1: I know Mark has said several times in the past that the difference between retail options traders vs. pro options traders is that retail trades direction while professionals trade volatility. I wonder if you guys can elaborate on this a little more, as I'm a little confused by the distinction. Do pros implement different strategies? Different products? How do they trade volatility and how does that differ from the way retail trades options?
Question 2: Nasdaq or SPX ? Which has had the greatest "vol of vol" over the past few months?
Crystal Ball: The continued discrepancy between the VIX futures and VIX cash ? how will that play out? Will the Nasdaq continue to hover in this range, or will we see a turn south sometime in the near future?

Volatility Views 41: Breaking Open the Volatility Mailbag

Volatility Views 41: Breaking Open the Volatility Mailbag Volatility Review: SPX/VIX review ? some level disparities between the VIX cash and the VIX futures. Euro vol is in single-digit territory. Nasdaq VolContract preview. Listener Mail:...
Posted February 21st, 2012

Volatility Views 41: Breaking Open the Volatility Mailbag

Volatility Review: SPX/VIX review ? some level disparities between the VIX cash and the VIX futures. Euro vol is in single-digit territory. Nasdaq VolContract preview.

Listener Mail: Comment on the Great Volatility Skew Debate, Don's comments on volatility, and questions about Nasdaq VolContracts.

Crystal Ball: How will the disparity between VIX cash and VIX futures unwind? Where will Euro vol go next?

Volatility Views 40: Manipulating The VIX

Volatility Views 40: Manipulating The VIX Volatility Review: Euro vol review. March Euro VolContract has an interesting phenomenon brewing ? realized vol calculation is 7.93, and the inferred volatility is 10.84. How or where will they meet?...
Posted February 13th, 2012

Volatility Views 40: Manipulating The VIX

Volatility Review: Euro vol review. March Euro VolContract has an interesting phenomenon brewing ? realized vol calculation is 7.93, and the inferred volatility is 10.84. How or where will they meet? Major correlation break in VIX/S&P 500.

Volatility Viewpoint: Not afraid of controversy, the panel discusses the notion of VIX settlement price manipulation with Henry Schwartz, founder and CEO of Trade Alert.

Crystal Ball: Short VIX going into the weekend, but then watch out for the unknown unknown. Don makes a shaky prediction that the Euro vol will dip lower.

Volatility Views 39: Redefining Normal

Volatility Views 39: Redefining Normal Volatility Review: How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest...
Posted February 6th, 2012

Volatility Views 39: Redefining Normal

Volatility Review: How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest Don has remembered since 1994. Lofty numbers have skewed people's ideas of "normal," and it's time to reassess the definition of it. Expiration day for the February Euro VolContract.

Volatility Viewpoint: Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd.

Crystal Ball: Dipping into the murky depths of volatility. Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks.

Information on the volatility workshop that Simon discussed can be found here.


Volatility Views 38: The Great Skew Debate

Volatility Views 38: The Great Skew Debate Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased,...
Posted January 30th, 2012

Volatility Views 38: The Great Skew Debate

Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped). Looking forward to the Nasdaq 100 VolContracts.

Volatility Viewpoint: Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.

Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right.


Volatility Views 37: Volatility: How Low Can It Go?

Volatility Views 37: Volatility: How Low Can It Go? Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract.Volatility...
Posted January 23rd, 2012
Volatility Views 37: Volatility: How Low Can It Go?

Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract.

Volatility Viewpoint: Don gets a chance to give his views on last week?s topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management.

Mailbag: VolContracts on the NASDAQ!!!
?Woohoo!! This is what I've been waiting for, a realized VolContract on an underlying that I actually trade. This is going to open up a whole new world of trading possibilities for me. I can't wait to short VXN and buy the realized Nasdaq product. I won't need to wait for Don to earn me an island in the Bahamas, I'll pick one up myself when I collect all that juicy risk premium. In all seriousness, I couldn't be more excited by this announcement. This will be an enormous development for VolX as well as for all the realized vol aficionados out there. As the book says ?We are legend.??

Options on NASDAQ Vol Contracts
?On the last show Bob Krause announced that VolX is planning to launch Vol contracts on the Nasdaq. He also said that you plan to launch the full suite of products on the Nasdaq VolContracts, including options. Now correct me if I'm wrong, but wouldn't the option be priced on an implied volatility basis? So essentially, you'd have an implied volatility instrument trading off a realized trading instrument. That is an intriguing scenario, but the inherent contradiction makes my brain hurt whenever I think about it for too long.?

Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE...
Posted January 17th, 2012

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX


Volatility Review:
Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review.

Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes.

Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX!

Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Views 35: Aggressively Selling Volatility in the New Year Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed?...
Posted January 9th, 2012

Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone?


Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year.


Mailbag: Best method of volatility measurement?

"I've just found this show on iTunes and I find it very enlightening. Thank you for producing a quality show on this topic. I'm relatively new to options and I'm looking to do some basic modeling to get a better handle on options pricing and performance, but I'm hung up on which volatility measurement to use in my model. Close to close volatility certainly seems easiest but I'm not sure if it would be accurate enough for my needs. Should I try for something intra-day or should I stick with the easy path? Thanks, John."


Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures--where are they moving this year? A few new contracts may be in the pipeline over at VolX.

Volatility Views 34: A Break from the Insanity

Volatility Views 34: A Break from the Insanity Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality...
Posted December 19th, 2011

Volatility Views 34: A Break from the Insanity

Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX--general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro VolContract updates--December one-month went out at 11.12, three-month at 12.84.

Volatility Viewpoint: Mark and Don discuss volatility with Stephen Figlewski, Professor of Finance at NYU's Stern School of Business, founding editor of the Journal of Derivatives, and Director at the Nasdaq OMX Derivatives Research Project.

Crystal Ball: VIX at a much more tolerable level, but Mark thinks it will vascillate in this "new mean" for quite a while. January Euro VolContract is fairly new, but volatility is forecasted to be lower going out.

Click here to access the Salomon Center that Prof. Figlewski spoke about in Volatility Viewpoint.

Prof. Figlewski's personal webpage is available here.

Volatility Views 33: The Art of Managing Volatility

Volatility Views 33: The Art of Managing Volatility Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract...
Posted December 12th, 2011

Volatility Views 33: The Art of Managing Volatility

Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract futures, with the front one-month and the December three-month going out.

Volatility Viewpoint: Today's guest, Chris Cole, Managing Director at Artimus Capital Management, sits down to discuss VIX options and futures, volatility doldrums, and the trading approach at Artimus.

Crystal Ball: VIX is a coin flip with regard to both the long-term and short-term mean. The gang looks at the January one-month and March quarterly Euro VolContracts and their implied volatilities versus potential realized vol.


Volatility Views 32: Larry the Legend

Volatility Views 32: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying...
Posted December 6th, 2011

Volatility Views 32: Larry the Legend

In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan.

Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma? Seasonal drain to volatility. Euro VolContract update--one week left to go in the front-month contract.

Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio. Discussing the fine art of gamma scalping.

Crystal Ball: Wild prognosticating from the panel. The market will have trouble supporting current vol levels. Sebastian likes buy-write opportunities in gold right now. Larry still has a bullish bias to the market. With expiration week for the front month upon us, Don sees Euro vol settling at around 12.40-12.75.

Volatility Views 31: Live from Las Vegas

Volatility Views 31: Live from Las VegasVolatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in...
Posted November 22nd, 2011

Volatility Views 31: Live from Las Vegas



Volatility Review:
It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-month VolContract?

Volatility Viewpoints: Bob talks about the long-term future of volatility, the volatility of volatility, and how efficiency affects the market. Also, Bob discusses his initial thoughts of the article in Futures magazine written last week.

Volatility Interview: Dan Cook, Director of Business Development at the Nadex Exchange, joins Mark and Bob in the interview segment.

Crystal Ball: With the VIX at 33, we need the market to move 2% per day to pay for VIX. Is that possible, or are we looking at a potential meltdown? If we see the VolContract fall anywhere below 13%, should we be looking to get long FX vol?

Volatility Views 30: Epithet Etymology

Volatility Views 30: Epithet Etymology Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in...
Posted November 14th, 2011

Volatility Views 30: Epithet Etymology

Volatility Review:
Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today.

Volatility Viewpoint:
This segment was kicked off by an article in Futures Magazine, "Stock Market Trends and the Volatility Premium by Marco Erling. We felt the article would be right up the alley of Volatility Views listeners.

Mailbag/Crystal Ball:
WHERE ARE WE ON THE EURO VOL CONE? I know the guys over at VolX are big fans of the vol cones. I'd like to know where the Euro VolContracts currently fall on the vol cones spectrum. It sounds like they would be a screaming sell at these levels. Am I correct, and do the hosts agree? Until the VIX proves it can hold 30 and lower, it may be a good time to hold premium ? good for gamma scalping.

Volatility Views 29: Other Volatility Indices

Volatility Views 29: Other Volatility Indices Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level....
Posted November 8th, 2011

Volatility Views 29: Other Volatility Indices

Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro VolContract.

Volatility Viewpoint: Don discusses some of the hedging aspects of using VolContracts against options positions or equity portfolios, and some general logistical issues for listeners who are looking to add VolContracts into to their portfolio for the first time.

Mailbag: Volatility on Other Indices.
Hello Vol Views Crew: Love the show. Keep up the good work. My question concerns the viability of volatility products on indices other than the S&P. For whatever reason, none of those products have managed to attract volume or attention like the VIX, even when the ones that were created by the CBOE. To what do you attribute their failure? Is there something inherent to those indices to make them poor candidates for vol products, or is the S&P simply an ideal candidate for vol products? Thanks for your insight.

Crystal Ball: With so much uncertainty coming out of Europe, how long will sentiment factor in vol remaining high? Can Euro volatility at 15% last for the rest of the month? Plus, Mark Sebastian's weekly outlook.


Volatility Views 28: Day-Trading VolContracts

Volatility Views 28: Day-Trading VolContractsVolatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down.Volatility Viewpoint:...
Posted November 2nd, 2011


Volatility Views 28: Day-Trading VolContracts

Volatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down.

Volatility Viewpoint: Trading VolContracts intra-day, and some of the opportunities and mathematical applications inherent in this type of trading.

Listener Mail: How Would You Update VIX?
Hello: Since VIX is still the brand name for volatility with much of the investing public, I would like to know what tweaks/upgrades you would suggest for future iterations of the VIX.

Crystal Ball: Euro vol outlook -- will we move lower from here? Also, Mark Sebastian looks into his crystal ball.


Volatility Views 27: Stealing the Mean

Volatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the...
Posted October 26th, 2011

Volatility Views 27: Stealing the Mean


Volatility Review:
A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review.

Volatility Viewpoint:
A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a better hedge for options traders.

Listener Mailbag:
Volatility Trading for Retail
Hi Guys: I imagine I am one of the many retail options traders who regularly tune into your program, even though much of it is way over my head. I've heard you guys discuss delta neutral trading in the past. My question is whether you think this is an appropriate strategy for retail options traders to adopt. Is it viable to trade delta neutral with a regular online brokerage account these days? Also, I know Mark Longo has said on previous programs that retail tends to be directionally oriented and professionals trade vol. I'm sure that's the case for a reason. Why do you think so many retail traders fall into the directional vs. vol camp? Thanks for the show. I'm learning something new every week -Facebook question from Dabney K, Ontario, Canada.
New VolContracts
Don's hinted at new vol contracts coming soon on equity indices. Will these utilize the same formula as the euro or will there be slight tweaks for the different underlyings? - Twitter question from Oseo

Crystal Ball:
Mark Sebastian weighs in on the upcoming week. Also, an outlook of Euro vol for the remainder of October.

Volatility Views 26: Live from FIA Chicago

Volatility Views 26: Live from FIA Chicago Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast...
Posted October 17th, 2011
Volatility Views 26: Live from FIA Chicago
Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.

Volatility Views 25: Skewness and Kurtosis

Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product...
Posted October 4th, 2011
Volatility Views 25: Skewness and Kurtosis

Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review.

Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove the mean for vol calculations. Plus, explaining negative market skew-ness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating.

Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility in such a short time frame?"

Crystal Ball: S&P, Nasdaq, and commodity Vol outlook. Euro VolContracts outlook. What's coming up at VolX and Option Pit?

Volatility Views 24: Precious Metals Volatility Explosion

Volatility Views 24: Precious Metals Volatility ExplosionVolatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and...
Posted September 26th, 2011
Volatility Views 24: Precious Metals Volatility Explosion

Volatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little while. Euro vol review.

Mailbag:

  1. "I've been listening to the show for some time and have become intrigued by the concept of VolContracts. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade VolContracts? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with VolContracts? Also, since they are listed by the CME and track realized vol of Euro futures, I assume that I will need a futures account to trade them. Lastly, are these listed on Globex so I can trade them electronically or do I need to put an order into a pit?"
  2. "Bob Krause advocated the use of volatility cones on a recent show, and I know Don has discussed them in the past as well. However, Mark made an excellent point in a recent episode that, in this environment, vol cones may not be the best barometer for where you should work your orders. It got me wondering if maybe there were certain market environments where vol cones were extremely useful, and other times, such as the current environment, when waiting for mean reversion is the quickest way to blowing out. Long Term Capital immediately comes to mind. I'm wondering what you guys think on this issue. I think I know where Mark stands, but I wonder where Don falls on this since I know he is an ardent fan of vol cones."

Crystal Ball: Metal vols -- have we just witnessed the bottom of gold and silver? Mark Sebastian predicts VIX to hit 50 in the next three weeks. We are halfway through the Oct VolContract, and as of Thursday the contract settled at 15.87 -- you would need 18 volatility on the Euro, going forward, to justify that price.


Volatility Views 23: Can You Eat Risk-Adjusted Returns?

Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very...
Posted September 19th, 2011
Volatility Views 23: Can You Eat Risk-Adjusted Returns?

Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility.

Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion.

Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?


Volatility Views 22: Bringing Don to the Dark Side

Volatility Views 22: Bringing Don to the Dark SideVolatility Review: A broad market volatility review ? it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review ? where did...
Posted September 12th, 2011
Volatility Views 22: Bringing Don to the Dark Side

Volatility Review: A broad market volatility review ? it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review ? where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com's Mark Sebastian gives his review of the week.

Volatility Viewpoint: In this combo Volatility Viewpoint/Listener Mail segment, Mark and Don answer a question from the Options Insider Forum: "I enjoyed the conversation last week between Mark and Bob about the Volatility Feedback Effect. They mentioned that Don is not a fan of this theory and that Bob and Don have had many fights on the subject. I'm curious what Don's issues are with this concept and what he feels is the truth on the matter." Indeed, Don gets his rebuttal, and gives his two cents about the volatility feedback effect.

Crystal Ball: Mark Sebastian's outlook for the coming week, as well as an outlook of S&P 500 volatility and Euro vol.

Volatility Views 21: The Volatility Feedback Effect

The Volatility Feedback Effect
Posted September 6th, 2011
Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from OptionPit.com's Mark Sebastian.

Volatility Viewpoint:
Volatility Exchange CEO Bob Krause talks inverse correlation - is this specifically to address the VIX negative correlation perception? How can we tell if the market is bullish or bearish? Skew and the somewhat controversial topic of the volatility feedback effect are also on the docket. Is the market trying to forecast future returns? As volatility rises, the market must fall, but does it work the other way as well?

Listener Questions: Mark and Bob reach into the dark recesses of the mailbag. Why exactly is selling a three-month VolContract not the same as selling three consecutive one-month VolContracts? Is it analogous to the difference between writing a three-month option vs. three consecutive front-month options?

Crystal Ball: An outlook of SPX & VIX. Could we pick up a free weekend on Friday? Euro vol outlook - How will the one- and three-month VolContracts fair?

Volatility Views 20: Divergence & Convergence

Volatility Views 20: Divergence & Convergence Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their...
Posted August 29th, 2011
Volatility Views 20: Divergence & Convergence

Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review.

The Mail Bag:
Don and Mark reach into the mail bag and answer listener questions.

1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy
2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF
3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner

The Crystal Ball:
An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.

Volatility Views 19: A Better Way to Measure Volatility?

Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his...
Posted August 22nd, 2011

Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his volatility review.


Volatility Viewpoints:
Special guest Euan Sinclair author of several books including "Option Trading" and "Volatility Trading" and risk manager at Blue Fin Trading discusses measuring volatility. Euan's concept of barrier method or first exit time method vs. the standard close-to-close method.


Crystal Ball:
An outlook on the Euro vol; Mark Sebastian looks into the crystal ball for the coming week.


Volatility Views 18: The Chicago Way

Volatility Views 18: The Chicago WayVolatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review....
Posted August 17th, 2011

Volatility Views 18: The Chicago Way

Volatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review.

Volatility Viewpoint: Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders. Commodities - the sexy world of ags and metals. Delta neutral vs. realized vol.

The Crystal Ball: An outlook on the Euro Vol. Also Mark Sebastian looks into the crystal ball for the coming week.


Volatility Views 17: Busting Volatility Skew Myths

Volatility Views 17: Busting Volatility Skew MythsVOLATILITY REVIEW: The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME. VOLATILITY VIEWPOINT: Busting Skew Myths!!!! Does the Lottery Effect actually...
Posted August 17th, 2011

Volatility Views 17: Busting Volatility Skew Myths

VOLATILITY REVIEW: The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME.

VOLATILITY VIEWPOINT: Busting Skew Myths!!!! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew.

CRYSTAL BALL: An outlook on the weekend risk- What could happen? PLUS: Mark Sebastian gives his forecast for the coming week.


Volatility Views 16: Risk Premium

Volatility Views 16: Risk PremiumVolatility Review: Interesting week with the market not doing much, but volatility increased anyway. The market's "in a pickle" until the debt issue is resolved. July 8 was the fifth expiration for...
Posted August 17th, 2011

Volatility Views 16: Risk Premium

Volatility Review: Interesting week with the market not doing much, but volatility increased anyway. The market's "in a pickle" until the debt issue is resolved. July 8 was the fifth expiration for the Euro VolContract, which showed greater than 29% movement in the price during the life of the contract. The August contract has provided 16% vol movement in the first three days of the contract.

Listener Mail: Mark and Don answer questions from listeners, including: Why did an option price drop as the stock price went up, and; what is a sellers' premium in options?

Crystal Ball: Mark foresees no debt deal over the weekend. If anything can push VIX to 30, will this be the event that does it? Front month Euro vol likely to go lower.


Volatility Views 15: Know Your Volatility

Interview with Mike Cavanaugh
Posted August 17th, 2011

Volatility Views 15: Know Your Volatility

Volatility Review: Vol gets demolished. Volatility modeling is not accurate. Range-bound volatility. Euro vol at expiration looking calmer than previous expirations.

Volatility Viewpoint: Featuring Mike Cavanaugh from Know Your Options, Inc. The gang discusses the role of volatility in their collar strategies, the great VIX disconnect, self-directed trading, VolX products, and appropriate hedging techniques for different audiences.

Crystal Ball: Earnings season. European debt woes. Uptick in vol for currencies, and overall volatility. Friday was the Euro VolContract expiration. August contract coming up. Euro vol abatement indicated by GARCH model.


Volatility Views 14: The Unknown World of Volatility Technical Analysis

Volatility Views 14: The Unknown World of Volatility Technical AnalysisVolatility Review: Much ado about nothing? Big steps forward and back, but where is vol going? Will the long holiday weekend pull the vigor out of the markets? Euro...
Posted August 17th, 2011

Volatility Views 14: The Unknown World of Volatility Technical Analysis

Volatility Review: Much ado about nothing? Big steps forward and back, but where is vol going? Will the long holiday weekend pull the vigor out of the markets? Euro VolContracts see higher than usual levels of volatility.

Volatility Viewpoint: Mark and Don interview Kirk Northington, author of Volatility-Based Technical Analysis, founder of Northington Trading, LLC, and Meta Swing Platform, and the man behind TradingTheInvisible.com and MetaSwing.com

Crystal Ball: Volatility cannot stay this high. VIX will fall to 18 before expiration. Watch out for employment numbers on 7/8. Mark thinks that currency vol will plummet by the end of June; Don has heard interviews to the contrary.


Volatility Views 13: VIX and More

Volatility Views 13: VIX and MoreVolatility Review: Mark, Don, and special guest Bill Luby talk about the roller coaster week of volatility and if premium sellers were artificially keeping the VIX down. They also explore whether the VIX...
Posted August 17th, 2011

Volatility Views 13: VIX and More

Volatility Review: Mark, Don, and special guest Bill Luby talk about the roller coaster week of volatility and if premium sellers were artificially keeping the VIX down. They also explore whether the VIX has underperformed given recent market conditions, as well as whether the product should even be promoted as a hedging tool. Euro vol update with an inversion occurring on Wednesday.

Volatility Viewpoint: Are VIX futures irrelevant? Inherent differences between realized and implied volatility. VIX as a hedge. VIX futures discussion 2.0: the other side of the coin. VIX changes wish list.

Crystal Ball: Europe situation making predictions cloudy. Bill's looking for a binary market. Euro VolContract prognostications.

Listener Mail: Excel questions lead to religious discussion.


Volatility Views 12: Tasty Vol

Volatility Views 12: Tasty VolVolatility Review: Euro vol update. Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month VolContracts will...
Posted August 17th, 2011

Volatility Views 12: Tasty Vol

Volatility Review: Euro vol update. Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month VolContracts will be in the mid 10 range. Is the market finally starting to respect volatility?

Volatility Viewpoint: Mark and Don talk to Tom Sosnoff, CEO of Tastytrade, and founder of Thinkorswim. They discuss the impact of weeklies on option volatility; the difficulties associated with launching new products in the options market; whether futures contracts are even relevant to retail customers and much more...

Crystal Ball: There is still room for the S&P 500 to drop.


Volatility Views 11: Good Sources of Volatility

Volatility Views 11: Good Sources of VolatilityVolatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month VolContracts. Don't write off the last trading day; every data...
Posted August 17th, 2011

Volatility Views 11: Good Sources of Volatility

Volatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month VolContracts. Don't write off the last trading day; every data point matters.

Volatility Viewpoint: Mark and Don discuss their resources for volatility news and information.

Crystal Ball: Will the S&P 500 hit a critical psychological point? Where will VIX go if it does? July 1-month and September 3-month VolContracts trading now.


Volatility Views Episode 10: Options Die A Little Every Day

Volatility Views 10: Options Die A Little Every DayVolatility Review: Hit the bids and then hit the road? Significant fear uptick. Should VIX skew exist? Commodities adjustments set volatility running. Euro vol:...
Posted August 17th, 2011

Volatility Views 10: Options Die A Little Every Day

Volatility Review: Hit the bids and then hit the road? Significant fear uptick. Should VIX skew exist? Commodities adjustments set volatility running. Euro vol: simultaneous expiration of the June 1- and June 3-month VolContracts on Friday. When do remaining time frames open the door for arbitrage opportunities?

Strategy Session: If realized volatility is such a good way to capture and trade vol, what incentive is there to short a realized-vol product?

Mail Bag: What are Mark and Don's views of trading vol going into earnings?

Crystal Ball: Super low realized vol for IBM. Euro vol expiration Friday. Will "sell in May and go away" apply here as well?


Volatility Views Episode 9: Managing Ratio and Calendar Spreads

Volatility Views 9: Managing Ratio and Calendar SpreadsVolatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April. What will June bring? Two contracts currently trading:...
Posted August 17th, 2011

Volatility Views 9: Managing Ratio and Calendar Spreads

Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April. What will June bring? Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity.

Strategy Session: 1x2 ratio spread. Don discloses that he sold premium. Spread management, or finding the right parking place. Resisting the dark side. Calendar spreads and choosing which way to cheer. Greek management. Position management goes beyond expiration dates.

Listener Mail: A suggestion comes in for a potential new segment reviewing OTC trading activity. What do Mark and Don think of the listed versions of OTC vol products? See: OTC cabal. Blackjack tips.

Crystal Ball: Looking at potential arbitrage opportunities through June Euro VolContract expiration. Volatility cone updates.


Volatility Views Episode 8: Live From OIC 2011

Volatility Views 8: Live From OIC 2011Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange. Volatility Review: Euro vol contract update: stable, but at a high level, hanging out at the 12.50...
Posted August 17th, 2011

Volatility Views 8: Live From OIC 2011

Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange.

Volatility Review: Euro vol contract update: stable, but at a high level, hanging out at the 12.50 range. Bob gives a detailed overview of how the product works.

Crystal Ball: The news makes it reasonable to think that volatility will stay high. What is coming up next for VolX? New volatility indices: three different time periods for three new indices, a historical lookback, the volatility of volatility, and a GARCH-based forecast.


Volatility Views Episode 7: Venturing Into The Volatility Mailbag

Volatility Begets Volatility
Posted August 17th, 2011

Volatility Views Episode 7: Venturing Into The Volatility Mailbag

Week In Review: Market and IV both rally, crushing call spreads. Euro vol has surprising pop, with May settlement significantly higher than March or April.

Listener Mail: Selling ITM Covered Calls To Capture Skew; What is the time frame for new VolX Products? Will there be realized volatility contracts on AAPL? SPY? Volatility cones for equities? Comments on Robert Engle interview.

Crystal Ball: Commodity selloff continues. Volatility is priced like there might be an increase in realized vol. Volatility begets volatility. June Euro vol contract now available.


Volatility Views Episode 6: The Nobel Prize For Volatility

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert EngleMark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH...
Posted August 17th, 2011

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert Engle

Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including:

  • Professor Engle's move from physics to economics
  • ARCH and GARCH models, and how the ARCH model was born
  • The Volatility Institute
  • Vlab
  • SoFiE
  • Professor Engle's work with the SEC's Flash Crash Advisory Committee
  • The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.


Volatility Views Episode 5: The Thwack of Volatility

Volatility Views 5: The Thwack of VolatilityVolatility Review: Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday. Euro VolContract update. Sebastian talks about the thwack of...
Posted August 17th, 2011

Volatility Views 5: The Thwack of Volatility

Volatility Review: Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday. Euro VolContract update. Sebastian talks about the thwack of volatility.

Strategy Session: Dynamic vs. static hedging for professional traders. Don recommends two articles:

  • Volatility Hedging - Turn Up the Static!
  • Volatility Exposure for Strategic Asset Allocation


Listener Mail: Keep those cards and letters coming! Don and Mark tackle the disadvantages of variance swaps, the stickiness of ATM volatility, and individual name VIX products. To access the Volatility Views section of the forum, click here.

Crystal Ball: Stabilization of vol? Keep an eye on commodities. Euro vol is half way through the one-month May contract.


Volatility Views Episode 4: The Many Flavors of Volatility Cones

Volatility Views 4: The Many Flavors of Volatility ConesVolatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract. "Sell" was the word in vol last week. Contango...
Posted August 17th, 2011

Volatility Views 4: The Many Flavors of Volatility Cones

Volatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract. "Sell" was the word in vol last week. Contango craziness.

Strategy Session: Contango - a basic introduction; Mean reversion - beyond basic introduction; Volatility cones as a trading signal: they come in many flavors.

Crystal Ball: Interesting vol ahead, both in the Euro contracts, and in the market in general. VIX cash fluctuations. Sebastian predicts that S&P will downgrade U.S. debt on Monday. Are you ready for "Sell in May and go away"?


Volatility Views Episode 3: Root-Mean-Square

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year. Ten-day realized vol is near two-year lows. Is this the eye of the hurricane or the calm after the storm?...
Posted August 17th, 2011

Volatility Views Episode 3: Root-Mean-Square

Week in Review: Slow and low? That's the volatility understatement of the year. Ten-day realized vol is near two-year lows. Is this the eye of the hurricane or the calm after the storm? Implied vol really low, although IV ended up on the week in the S&P 500. Market doesn't completely trust the low vol levels.

Strategy Session: Continuing last week's discussion, we begin looking into logical errors when deriving volatility over discrete periods. The simple answer: Root-Mean-Square. Don walks us through the math, as well as the usefulness of this method when looking to hedge volatility exposure over a longer period of time. Cheap volatility and buying or selling premium? Mark and Don discuss their own thoughts on these two matters.

Crystal Ball: Yay...no government shutdown, which may actually put a damper on upcoming vol. However, if oil continues to rally, and indications of interest are rates rising, we'll see increases in IV. Good news doesn't rally market = warning sign. Upcoming numbers to watch: Retail sales; beige book; Michigan sentiment; PPI; CPI. GVZ: Gold vol index starts trading options at CBOE starting 4/12. When will oil and the broader market diverge?


Volatility Views Episode 2: The Shadowy World of Volatility Swaps

The Shadowy World of Volatility Swaps
Posted August 16th, 2011

Volatility Views Episode Two: The Shadowy World of Volatility Swaps

Mark and Don are joined by Mark Sebastian from Option Pit. There is no shortage of opinions on volatility this week.

  • Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro VolContracts (TM) show a sharp volatility decline over March; VolX adds RSJ as a market maker.
  • Volatility Viewpoint: Exploring the shadowy world of volatility & variance swaps; Using OTC volatility and variance swap markets to capture vol. The nature of the payoffs. Realized volatility options in the cards. Inferred vol.
  • Crystal Ball: Sebastian thinks that vol has hit a bottom and that it will be ticking up. Don wonders if that means that the market will fall? Not necessarily...


Volatility Views Premiere Episode

Can Delta Neutral Capture Pure Volatility?
Posted August 16th, 2011

Volatility Views Premiere Episode: Can Delta Neutral Capture Pure Volatility?

In the debut episode, Mark and Don are joined by Dan Passarelli from Market Taker Mentoring.

  • Volatility Week In Review: Volatility taking a steep downturn as concerns lessen; Skew Index - Can it predict Black Swans?; why has volatility dropped; the phenomenon of markets dropping precipitously and rising more steadily; Euro vol discussion.
  • Strategy Session: Delta neutral trading: what is it? why do it? how to do it.
  • Crystal Ball: Good time to pick up downside protection; currencies looking to the upside for vol


Volatility Views: Preview Two

Volatility Views: Preview TwoIn this second sneak preview of Volatility View, Mark and Don record live from the croquet fields in Boca Raton.Topics discussed include: Japanese devastation spikes volatility How...
Posted August 16th, 2011

Volatility Views: Preview Two

In this second sneak preview of Volatility View, Mark and Don record live from the croquet fields in Boca Raton.

Topics discussed include:

  • Japanese devastation spikes volatility
  • How the volatility smile turned into a smirk
  • A brief history of portfolio protection
  • VolX contracts on the Euro move 32% in the first month

In the Volatility Viewpoint segment, Don and Mark discuss the new volatility products being rolled out on specific names, and how or if they are useful to retail investors.


Volatility Views Sneak Preview

Volatility Views Sneak Preview Welcome to Volatility Views, the latest addition to The Options Insider Radio Network. Volatility Views is brought to you in collaboration with VolX - The Volatility Exchange.In this preview episode, Mark...
Posted August 16th, 2011

Volatility Views Sneak Preview

Welcome to Volatility Views, the latest addition to The Options Insider Radio Network. Volatility Views is brought to you in collaboration with VolX - The Volatility Exchange.

In this preview episode, Mark introduces the audience to Don Schlesinger, Chief Strategy Officer & Vice Chairman for VolX. Learn about Don's diverse history from school teacher, to Morgan Stanley, to blackjack aficionado. Listeners will also get a bit of history on the Exchange, plans for the future, and an idea of what to expect from the new show.

To leave questions for Mark and Don, you can log onto The Options Insider website, and go to the forum area, or you can call 312.544.9356.

Also, you can reach the VolX group at [email protected], or by calling 888-VOLX-CORP, or 888.865.9267 You can also check out VolX at www.volx.us.


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The Options Insider Radio Network

The Options News Rundown

Your source for the most important news and information from the world of options.

The Options News Rundown

The Options Insider Radio Network

All of our radio programs in one convenient place.

The Options Insider Radio Network

Options Insider Radio

The original options podcast. Features interviews with leading options figures.

Options Insider Radio

The Option Block

This high-octane program features education, analysis, strategies and unusual activity.

The Option Block

Volatility Views

The premier radio program for volatility traders.

Volatility Views

The Long And Short Of Futures Options

Your source for futures options information.

The Long And Short Of Futures Options

The Advisor's Option

Arming advisors with the info necessary to manage risk.

The Advisor's Option

Options Boot Camp

Get into peak options trading shape.

Options Boot Camp

Options Insider Special Events

Compelling panel & special event recordings from the options world.

Options Insider Special Events

OIC's Wide World of Options

A dynamic mix of current events, investor resources, & strategy insights.

OIC's Wide World of Options

Trading Tech Talk

We break down all the amazing technology that takes your trades from the click of a mouse to the clearinghouse.

Trading Tech Talk

Options Playbook Radio

Break down cutting-edge options strategies and learn how to incorporate them into your portfolio

Options Playbook Radio

Options Oddities

We track all the unusual options trading activity on Options Oddities.

Options Oddities

This Week in Futures Options

The program designed to help active futures options traders stay on top of this ever-changing marketplace. 

This Week in Futures Options

The Business Show

If you like business, if you like humor, if you like stock symbols, this is the podcast for you.

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