Volatility Views

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 Thi

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 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 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 Alara

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 y

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 s

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 Rus

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 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 lowe

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 selli

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 indica

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.

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 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 the study The upcoming OptionMetrics Research Conference 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.

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 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

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/commen

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

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

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.