Volatility Views

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-i

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 f

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

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 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

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 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 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 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 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 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 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 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 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 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 -

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 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 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 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! Cry

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