Volatility Views

Volatility Review: A look back at the week from a volatility perspective. The numbers: VIX Cash - 10.59, VVIX - 94.86 CBOE Skew Index - 130.5 Russell's Weekly Rundown: VIX Options: ADV - 785k, VIX Call/Put - 3.3 Total 12.0m (9.24m Calls, 2.76m Puts) OIV - 28.29 OVX - 28.37 Volatility Voicemail: Options Question of the week: Let's get cheap! If you had to buy "lottery ticket" December calls for $.05 in one name - which would you choose? #HomeRun AMZN AAPL Tesla VIX Listener Questions and Comments: Question from JC - What am i missing? If VXX erodes why does anyone buy it? Question from Simyan - So I should just short VXX into the dust? Is that the deal? Question from Nils - So if the max length between splits is 3 years, and the minimum split price is $10 - aren’t the Jan 2019 20 puts for $2 a screaming deal? Question from TimTim - Do any other Vol products exhibit this erosion? Crystal Ball: Wild prognostication Last week: Mark L. - 11.75 Mark S. - 11.00 Russell - 10.80 This week: Mark L. - 10.15 M

  Volatility Review: A look back at the week from a volatility perspective. The numbers: VIX Cash - 12.33, a high of 14.45 on Monday. VVIX - 100 CBOE Skew Index - 130 Russell's Weekly Rundown VIX Options: ADV - 764k, VIX Call/Put - 3.4, Total 11.5m (8.88m Calls, 2.66m Puts) VXX reverse split trade Volatility Voicemail: Listener questions and comments Comment from JLC - That $VIX 60 guy is just nuts. He's just trying to make a name for himself with that prediction. $SPX wld need to drop over 10% to be right. Question from FContangotrader - What is your thought on $VIXH? Maybe every episode you can give an intro into various Vol ETN and ETF. Thanks and keep with good work Comment from FContangotrader - Mark Sebastian, so how do you hedge your gamma and your mother in law? Crystal Ball: Wild and reckless prognostication Last week Mark L. - 13.55 Mark S. - 12 Kevin - 18.25 Guest - 14.30 This week Mark L. - 11.75 Mark S. - 11.00 Russell - 10.80

Volatility Review: Featuring guest co-hosts Kevin Davitt from the CBOE Options Institute and Matt Amberson from ORATS. The market fear gauge could quintuple by Halloween, strategist warns The numbers: VIX Cash - a high of 15.77 this week, VVIX - 117.77 CBOE Skew Index - 142.73 Russell's (Kevin's) Weekly Rundown: VIX Options - ADV: 706k, VIX Call/Put: 3.6 Total 10.6m (8.26m Calls, 2.37m Puts) OIV - 27.77, OVX - 28.94 Volatility Voicemail/TWIFO Flash Poll: Which major index has experienced the largest % change in 30-day ATM #Volatility year-to-date? S&P 500 Nasdaq 100 Dow Russell 2000 Listener Questions and Comments: Question from Tosaw's client: I have an options question regarding VIX and I cannot seem to find the answer. Is there a way to determine the incremental change in an a SPY option price as the VIX moves? For example, if VIX moves 10% does that mean that the extrinsic value of the SPY option should be 10% more expensive? I checked the 30 day SPY option thinking that the IV of the option wo

Today we feature guest co-host Bill Valentine from Commodore Fund Volatility Review: A look back at the week from a volatility perspective The numbers: VIX Cash - 16.17 up over 40%, VVIX - 135.32 CBOE Skew Index - 136.48, VXN - 14.2 VIX Options ADV - 676k Russell's Weekly Rundown: Earnings Volatility: DIS, NVDA & SNAP Volatility Voicemail: Listener feedback Volatility Flash Poll: $VIX Hit 16.17 Thursday. Is this the end of low #Volatility? Or a temporary blip? Which level will $VIX hit first? Serious Vol - 20 Single Digits - 10 Heck with It- I'm In Cash Listener qusetions: Question from Jax - What does today’s VIX move mean for XIV? Will this blow them out? Crystal Ball: Wild prognostication Last week: Mark L. - 9.75 Mark S. - 10.75 Russell - 10.25 This week: Mark L. - 12.55 Andrew - 12.01 Russell - 13.50 Bill - 10.50

Volatility Review: A look back at the week from a volatility perspective VIX Cash & VVIX CBOE Skew Index Russell's Weekly Rundown: VIX Options ADV - 661k; Total 11.7m (9.28m Calls, 2.41m Puts) Earnings Volatilty: AAPL earning after the bell on Tuesday - TSLA earning Wednesday. Volatility Voicemail: Listener questions and comments Question from Market_Maker - If XIV runs out of money do investors lose there investment? Are they insured against this? Question from Richard D - Just wondering, as an Italian-American myself, why do so many Italian-Americans seem to end up in the options business? Crystal Ball: Our VIX predictions Last week: Mark L. - 9.75 Andrew - 10.25 This week: Mark L. - 9.75 Andrew - 10.75 Russell - 10.25

Volatility Review: A look back at the week from a volatility perspective The Numbers: VIX Cash back in double digit territory. VVIX - 86.87 CBOE Skew Index - 130 VIX Options - ADV: 653k, VIX Call/Put: 3.9/ 1; Total 10.4m (8.23m Calls, 2.13m Puts Traders 'Shocked' by VIX Bet That Could Pay $265M. Bond Trader's $10 Million Volatility Bet Is Paying Off Earnings Volatility: Monday: Alphabet opened down nearly 2%, Low of 963. Tuesday: Chipotle opened up approx. $6.50, then plummeted $15 Wednesday: Facebook opened up $8.87, traded up as high as $9.88. Thursday: Amazon ATM straddle approx. $49 Crystal Ball: What does the future hold for the VIX? Last week Mark L. - 10.25 Russell - 9.76 Mark S. - 10.04 This week Mark L. - 9.75 Andrew - 10.25

Volatility Review: A look back at the week from a volatility perspective. The Numbers: VIX Cash - 9.58, VVIX - 76 VXN - 14.36, CBOE Skew Index - 130 VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts) Russell's Weekly Rundown: Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread? "Hedge" Short OTC Vol Bullish Volatility Spec Someone had $1.2M to burn "Hedge" Equity Portfolio Volatility Voicemail: Listener questions and comments Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short. Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make? 41% - Buy $MSFT Straddle 3.5% 28% - Buy $EBAY Straddle 7% 21% - Sell $MSFT Straddle 3.5% 10% - Sell $EBAY Straddle 7% More questions and comments: Question f

Volatility Review: A look back at the week from a volatility perspective. CML VIZ VIX Cash: 9.90, VVIX:  85.68 VIX Options: ADV - 671k, Total 10.3m (8.28m Calls, 2.06m Puts) VIX pop quiz Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations. A Bond Trader's $10 Million Volatility Bet Is Paying Off Volatility Voicemail: Listener questions and comments Comment from Roger Barone: If they did so thru @IBKR their margin is $35,250,000. Anyone else ZERO! @IBKR SUCKS! @CBOE REFUSES to stop their MARGIN ABUSE! @SEC_News...Yes. They charge a MINIMUM OF $150 on ANY VIX SPREAD even if a long one like that. THEY TOTALLY SUCK! I told CBOE at Pinnacle but no action. Read this and this. Crystal Ball: Wild prognostication Last week: Mark L. - 10.60 Mark S. - 10.05 Russell - 11.99 This Week: Mark L. - 10.25 Andrew - 9.99 Ophir - 9.75

Volatility Review: A look back at the week from a volatility perspective. The VIX juice is loose OCC cleared futures volume in June reached 13,194,530 contracts, a 16% increase from June 2016. One of the most popular - and controversial - trades in the stock market (XIV) is showing no signs of slowing down. MRA attributes the spiking popularity to the participation of mom and pop investors. Russell's Weekly Rundown: VIX Options: ADV - 691k, Total 8.8M (7m calls, 1.8m puts) Apple, Facebook Among Techs Facing Huge Volatility Volatility Voicemail: Listeners take over Options question of the week:: Blue Apron $APRN is down over 10% from its #IPO price. Assuming #Options were listed, what trade would you make? Buy Dec 10 Call for $1 Buy Dec 9 Put for $1 Sell Dec 10 Call for $1 Not Touching $APRN Listener questions and comments Question from Avery Thompkins - Heard you guys debating theoretical low for XIV. I am down with 5. That makes sense. What about the other side? How high can it get? Is 1,000 in the co

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 11.44, VVIX: 93.78 CBOE Skew Index - 129m, slightly calmer than last week. VIX Futures - Front month: 0.65 Second month: 1.25 Russell's Weekly Rundown: VIX Options: Mon - 630k, Tues - 724k, Weds - 510k, Thurs - 1.16M, ADV - 685K, Total 8.32m (6.68m Calls, 1.65m Puts) VIX Call/Put: 4.1 / 1 OIV - 29.35 OVX - 30.46 Volatility Voice Mail: Options Question of the week Let's get back to basics. #Options are great way to get long (bullish) exposure to stocks & futures. What is your favorite way to go long? 50% - Long Call/Call Spread 23% - Short Put/Put Spread 13% - Stock(Future) Replacement 14% - Bullish Risk Reversal Listener Questions: What's on your mind? Question from John Shippen -If I buy ATM premium, maybe an ATM iron condor, a few weeks before earnings then sell it the day before the announcement, is that a good play? Essentially free decay plus capture the rise in volatility along with any swings in the underlyin

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 10.15, VVIX - 84.21, slightly higher than last week. VIX is not a Fortune Teller CBOE Skew Index - 130.86, calmer than last week. VIX Futures - Front month: 1.5, Second month: 2.3 Russell's Weekly Rundown: VIX Options: Mon - 746k, Tues - 1.3M, Weds - 912k, Thurs - 347k VIX Call/Put: 4.1 / 1 Twenty-two Day C/P OI Moving Average: 3.32 Total 7.08m (5.69m Calls, 1.39m Puts) OIV - 31.5 OVX - 32.6 Volatility Voicemail: Questions. Comments. More. Options question of the week: Everyone is talking about #Bitcoin #Volatility these days. Where do you stand on #Bitcoin after last weeks aggressive downturn? Too Volatile, I am out I am still bullish I want #Bitcoin #Options I am sick of #Bitcoin Questions and comments Comment from Production One‏ - SPX and VIX are far more fun! Also far more profitable and secure! Bitcoin snobs got nothing over the Vol cognoscenti! Comment from PocketTissues - Goldman guy has the right idea. VIX sho

Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management. Weird Nasdaq selloff that started during last show continues. Amazon looks to buy Whole Foods. VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week. CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago. VIX Futures - Front month: .6, Second month: 1.5 Russell's Weekly Rundown VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts) VXX - ADV 364k, OI - 1.3/1 Calls over puts. OIV - 29.45 OVX - 31.90 Volatility Voicemail: Alternative volatility sources With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading? 33% - Crude Oil (WTI, etc.) 20% - Metals ($GLD, $SLV, etc.) 20% - FX (GBP/USD, etc.) 27% - Indv. Equities-$TSLA, etc. VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will

Volatility Review: A look back at the week from a volatility perspective. VIX hits a new low of 9.37 Comey's testimony fails to move the needle Maybe Britain will provide the spark VIX needs? VIX Cash - 9.47, VVIX - 83.28, almost unchanged from last week. CBOE Skew Index - 127.09, slightly higher than least week. VIX Futures - still steep. Front month - 1.5, Second month - 2.3 Russell's Weekly Rundown: VIX Options, Mon - 459k, Tues - 473k, Weds - 453k, Thurs - 473k, ADV - 722k. VIX Call/Put: 3.3/1. Total 9.20m (7.06m Calls, 2.14m Puts) VXX - ADV 356k, OI - 1.2/1 calls over puts. OIV - 32.31 OVX - 33.84 Volatility Voice mail: Questions, comments, polls and more! With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading? Crude Oil (WTI, etc) Metals ($GLD, $SLV, etc) FX (GBP/USD, etc) Indv. Equities-$TSLA, etc. Listener Questions and comments Comment from John King - #Fired #FBI director completes televised #Testimony negative for sitti

Today we have special guest co-host: Ophir Gottlieb, Capital Market Laboratories. Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 9.89 VVIX: 83.83 - Both almost unchanged from last week. CBOE Skew Index : 124.55 VIX Futures till steep Russell's Weekly Rundown: VIX Options: Mon - Closed, Tues - 264k, Weds - 545k, Thurs - 231k, ADV - 722K VIX Call/Put: 3.2/1 Total 8.37m (6.39m Calls, 1.98m Puts) OIV - 29, OVX - 31 Volatility Voicemail: Options Question of the Week AMZN just hit $1000. Will GOOGL do it next? GOOGL $1000 call expiring Friday = $4, $1000 Put = $8. How would you trade? Sell $1000 Call for $4 - 21% Buy $1000 Call for $4 - 38% Sell $1000 Straddle: $12 - 19% Sell $1000 Put for $8 - 22% Listener Questions and Comments: Comment from FContangotrader - @Options @OptionPit @OptionVol @RussellRhoads I am very impressed from Mark and his poetry and ABC options and Uber rhyme Comment from Production One‏ - Replying to @Options @optionpit Meatball long 1W SPX straddle

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 9.99 VVIX - 82.20 CBOE Skew Index - 123.65 Russell's Weekly Rundown: VIX Options: Mon - 558k, Tues - 522k, Weds - 449k, Thurs - 474k, ADV - 727K, VIX Call/Put: 3/1 Total 7.70M (5.79m Calls, 1.91m Puts) Oil plunges 4 percent on disappointment with OPEC cuts Volatility Voicemail: Options Question of the Week $VIX =11.20. $VIX June Future = 12.40 $VIX Weekly 11 puts = $.15, Weekly 13 Calls = $.15. What's your trade? Buy 13 Call for $.15 Buy 11 Put for $.15 Sell 13 Call for $.15 Sell 11 Put for $.15 Listener Questions and Comments: Comment from VTrader - When VIX is below 11.5 since 2006, that current difference between from the front month and VIX cash is at its highest. Question from Eli Vagan - Did the spike in VIX last week finally break that short Vol feedback loop that everyone is focused on these days? Question from Benod - What was the truth behind that VIX strangle last week? Question from Allan Nemy - All this act

Volatility Review: A look back at the week from a volatility perspective VIX cash: 14.66 VVIX: 104.12 Ten biggest $VIX rallies and what $VIX did the following day Question from @FContangotrader: How many % $VIX went up today? #%of% CBOE SKEW Index:137 The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday VIX options: ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K VIX call/put: 3.1/1 Hot VIX strikes 308315 .VIX Jun 21st 30.0 C, chg +4261 274854 .VIX Jun 21st 35.0 C, chg +521 261116 .VIX Jun 21st 20.0 C, chg +22016 256652 .VIX Jun 21st 15.0 C, chg +61381 207375 .VIX Jun 21st 19.0 C, chg +36896 182527 .VIX Jun 21st 16.0 C, chg +21143 165518 .VIX Jun 21st 25.0 C, chg -17814 161130 .VIX Jun 21st 18.0 C, chg +7305 153348 .VIX Jun 21st 17.0 C, chg +4539 139338 .VIX Jun 21st 11.5 P, chg +8819 Total 6.77m (5.13m Calls, 1.64m Puts) Earnings Volatility GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8% BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 -

Mark, Russell and Henry are live (to tape) at the annual Options Industry Conference. They took some time away from the pool to give our listeners the scoop on volatility. Volatility Review: Henry delivered some of the highlights of the conference. The concentration of volume in a few names, aka the 80-20 rule. The impact of fragmentation on volume. The heavy percentage of complex orders of overall volume. The buzz about a WSJ article on the decline of options volume and the stats that dispel that idea. The opportunities being generated by complex order books. Are we looking at coopertition? VIX below 10: what does it mean? Is there really a new supply of premium sellers? How much pain can they stand, and how will that impact the market? Russell's Weekly Rundown: What did Russell notice this week? It's the week before standard VIX expiration Crazy spreads Top ten strikes of the week

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 10.46, practically unchanged from last week. VVIX - 78, same as last week. CBOE Skew Index - 130.5, 12 point lower than last week. Russell's Weekly Rundown: VIX Options: Mon - 572k, Tues - 746k, Weds - 469k, Thurs - 657k, ADV - 734k VIX Call/Put: 3/1: Total 9.68m (7.26m Calls, 2.42m Puts) CBOE begins trading options on VelocityShares EVIX - contract based on VSTOXX Short-Term Futures Investable Index Earnings Volatility: Tesla Close - $311, ATM Straddle approx. - $17, approx. 5.5% FB: Close - $151.80, ATM Straddle - $5.63, approx. 3.7% Volatility Voicemail: AAPL Earnings Pop Quiz AAPL $146.50, Weekly straddle $5 (3.5%). IV30 = 21%, Weekly 155 Call= $.27, 138 Put = $.27 Would you rather? Buy Straddle/ Iron Fly, 18% Sell Straddle/Iron Fly, 34% Buy Call, 44% Buy Put, 7% Earnings Season Flash Poll ZNGA reports earnings today. Stock is trading $2.87. #Options ADV 3K. Do you trade options on cheap stocks? Yes, down to $10 Y

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 10.36 VVIX - 76.66, back in the toilet. CBOE Skew Index - 142.55, still rich. Russell's Weekly Rundown: VIX Options: Mon - 975k, Tues - 801k, Weds - 475k, Thurs - 571k, ADV - 734k VIX Call/Put - 2.7/1; Total 8.81m (6.55m Calls, 2.27m Puts) Earnings Volatility: Alphabet, Amazon, Intel, Starbucks, Alcoa, Chipotle Volatility Voicemail/OptionsQuestion of theWeek: Earnings Season is upon us. Big names are reporting soon. Which is your pick for the largest % move post-earnings? $AMZN - 36% $GOOGL - 26% $CMG - 30% $MSFT - 8% Listener questions and comments: Question from FContangotrader -What is your 2 cents on this article? Thanks. Comment from Lolzi - Could we all just get along and agree that VXX erodes relatively predictably? Who really cares if its roll yield or flying pigs as long as you can count on it with some degree of certainty? Question from JJonQuin - You say VIX call to put of 2-3 is normal. What is not normal? W

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 14.15 VVIX: 94.53 CBOE Skew Index: 146.85 +6.65 (+4.74%), getting rich again. Russell's Weekly Rundown: VIX Options: Mon - 616k, Tues - 1.4M, Weds - 1.6M, Thurs - 752k, ADV - 712k VIX Call/Put: 3/1: Total 7.27m (5.45m Calls, 1.82m Puts) OIV/OVX - 28.26 Volatility Voicemail: Options #QuestionoftheWeek Earnings are back with some juicy straddles reporting this week. Which is your pick for the most overpriced? $NFLX: ATM Straddle 8% $BAC: ATM Straddle 3% $EBAY: ATM Straddle 7% $ETFC: ATM Straddle 4% Listener Questions: Question from Nizy - So I am confused. Per your VIX Myth-busting episode - what is the deal with with the VXX erosion? It is not due to the roll or it is? If so then how does it erode when VIX futures are backward? Question from Avil3 - UGetting my dad to the dark side. He is thinking about dipping his toes in the Vol waters. What product do you recommend for a Vol newcomer making his first trade? Thx and I