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

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