Volatility Views

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

This Best of Volatility Views was recorded on November 8, 2016. 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.  

This episode of Volatility Views was recorded and posted on November 8, 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 Review: Today we are joined by guest co-host Bill Valentine, Commodore Fund VIX Cash - 12.39, VVIX - 84 CBOE Skew Index - 131, back down to normal levels VIX Options: Mon - 597k, Tues - 368k, Weds - 720k, Thurs - 564k, ADV - 659k, (Total: 9.8M - 7M Calls, 2.8M Puts) VIX Call/Put - 2.4/ 1 OIV/OVX - 26 - in the toilet GVZ - 12.85 TYVIX - 5.12 Volatility Voicemail: Comment from LVT. Re: your discussion from last week. I think moving averages are worthwhile when analyzing VIX. Other than that, not so much. Crystal Ball: Your VIX prognostication headquarters Last week: Mark L. - 12.50 Andrew - 12 Russell - 12.80 This week: Mark L. - 12.65 Mark S. - 12 Russell - 9.87 Bill - 13

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 11.54 VVIX - 7.5 CBOE Skew Index - 139 Russell's Weekly Rundown: How is the April 26 fly looking? VIX Options: Mon - 635k, Tues - 740k, Wed - 601k, Thurs - 498k, ADV - 648k VIX Call/Put: 2.4/ 1. Total 8.91m (6.30m Calls, 2.62m Puts) OIV/OVX - 28 GVZ - 12.06 TYVIX - 4.68 Volatility Voicemail: Options #BrokerMadness tournament going on now. Finals matchup! We have @Lightspeed v. @OptionsHouse Question from CheckersKing - I see a lot of folks talking about about moving averages and support and resistance levels in $VIX. Is this kind of TA useful with $VIX or is it apples to oranges? Question from MoustacheGod - I think I am too late but I pick axe/sword for the zombie apocalypse. What do I win. Jk. But if I am looking at an end times indicator is there one that is better than the rest or is it all about context and grouping multiple indicators together. Crystal Ball: Wild prognostication Last Week: Mark L - 12.50 Mark S.

Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI. VIX Cash - 13.12 VVIX - 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007. CBOE Skew Index - 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17. VIX Futures - Front month: .9, Two Month: 1.4 VIX Options: Mon - 785k, Tues - 1.6M, Weds - 917k, Thurs - 512k, ADV - 637k. Total 8.09m (5.77m Calls, 2.32m Puts) VIX Call/Put: 2.5 / 1 OIV/OVX - 29.85 GVZ - 12.58 TYVIX - 4.37 Volatility Voicemail: Listener questions and comments Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so? Crystal Ball: Wild and reckless prognostication Last Week: Mark L. - 10.65 Ma

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 11.16 VVIX: 75 CBOE Skew Index: 153.66, highest since 6/27/16. VIX Futures, Front month premium to cash - 0.5, Two month - 2 Russell's Weekly Rundown: VIX Options: Mon - 317k, Tues - 578k, Weds - 1.26M, Thurs - 546k, ADV - 605k VIX Call/Put: 2.5 / 1 Total 11.6M We have officially killed the 30 strike! OIV/OVX - 28.22, spiked to nearly 35 last week on WTI sell-off GVZ - 11.07 TYVIX - 4.37 Volatility Voicemail: Options #QuestionoftheWeek $VIX = 11.50, $SNAP IV30 =56, $AAPL IV30 = 14, $OIV= 33. If you had to buy #Volatility-which is the best value? $SNAP - aka Tween Vol $AAPL - aka #iPhone Vol $VIX - aka $VIX $OIV -aka #Crude $VIX Listener questions: Question from MerchantAdventurers - Non jargon...lots are betting VIX goes lower, yes? Question from Grow Your Business - There will be a day in the next 60 days that it will spike big. Should have a pool to see who guesses the correct date. April 13th! Crystal Ball: Wild and

Volatility Review: Vol Views is live from the 2017 RMC Conference in Dana Point, CA! Mark and Russell are joined by: Bill Luby, VIX and More Ilya Feygin, Managing Director, Wallachbeth Themes from the event include: Kelly criterion How low VIX is Buying options Social media sentiment Steepness of vol term structure Sector movement Weekend risk and the dampening of volatility And more

Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics. He discusses: A overview of Option Metrics and the Feb. 21 release on skew What is the flavor of choice for skew at Option Metrics? Why does he think we are seeing such a bid in VIX futures right now? How does this term structure compare to historical levels? What his your outlook for volatility under Trump? Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 11.71, unchanged from last week. VVIX - 83.61, also unchanged from last week. CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts) SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26. Options Po

Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA. He discusses: His background in the volatility space Which products did he trade? The Hong Kong volatility scene What does True Partner Capital do? What does True Partner Capital trade? Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week. CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20. VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts) OIV/OVX: 25.52, oil volatility continues to be crushed. GVZ: 13.68, also continues to erode. TYVIX: 5.29 Volatility Vo

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: VIX and Three Day Weekends, by Russell Rhoads, CFA Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade, by Russell Rhoads, CFA VIX Options: A high volume week, ADV - 559k; Mon - 816k, Tues - 1.3M, Wed - 1.14M, Thurs - 822k; VIX Call/Put: 2.8/1; Total 7.21m (5.18m Calls, 2.03m Puts) 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

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 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