Volatility Views

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

Volatility Review: The VIX has traded below 20 for 37 straight days, the longest such streak in 13 months. The gauge slid 2.2 percent to 13.64 at 9:48 a.m. in New York. Russells Weekly Rundown: VIX Options: A strong volume week - particularly Wednesday. Total 6.83m (5.32m Calls, 1.51m Puts) SEC extends test period to curb U.S. market volatility Big Earnings Week: GOOG, Goldman, INTC, IBM, MSFT, NFLX, SBUX, Southwest, United Airlines, YHOO. Crude Oil: OIV/OVX - 43.50, almost touched 80 back in mid-February. Gold: GVZ 17.90 - well off recent highs. Crystal Ball: What are the VIX predictions? To review, last week: Mark L. - 15.5 Mark S. - 14 Russell - 17 This week: Mark S. - 13.50 Russell - 16 Mark L. - 14.5

Volatility Review: VIX got crushed, VIX IV did not. CBOE announced it has created a series of 13 "Buffer Protect Indexes." Russells Weekly Rundown: VIX Options: A strong volume week - particularly Wednesday (1.08M). Total 8.52M (6.46M Calls, 2.07M Puts) Trading hours for RVX Futures expanded - new start time 7:30am CST. Earning volatility this week: Alcoa, Citigroup, JP Morgan Chase, Bank of America, Delta Airlines Crude Oil: OIV/OVX - up 9% to $50.50. WTI Crude - 3% into oil meeting. Gold: GVZ 17.83 - well off recent highs. Volatility Voice mail: Listener questions and comments Question from LosAngelino: What happened to the single name VIXes? You guys talked about them on the show years ago for names like Apple and Amazon. But I do not see them trading anywhere. Were they ever listed? Question from Nick C. - Do OTM VIX calls suffer from the same inflated volatility premium as S&P 500 OTM puts? If so does it not make them both prohibitively expensive to use as a hedging vehicle? Crystal Ball: Last ep

Volatility Review: Russells Weekly Rundown VIX Options: A moderate volume week. M: 266K T: 400K W: 572K Th: 614K Total 7.45m (5.73m Calls, 1.72m Puts) Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February. Gold: GVZ 19.32 - Well off recent highs. Volatility Voicemail: One giant listener question. Question from Jeremy - Hi Guys, This show is a great resource and has taught me a lot throughout the years. I was listening to the most recent show on March 11th "Uncovered Covered Calls and IRA Options Debate" and I wanted to write in regarding the discussion on dynamic hedging of a short option position. First, let me quickly introduce myself to provide some context. My name is Jeremy and I am in the final year of my PhD in computer engineering with a MS in applied mathematics and statistics and a BS in math. I have spent the past 4+ years researching for the NASA Ames Research Center. My PhD research focuses on the modeling, simulation and analysis of stochastic processes and the application of opt

Volatility Review: Nonfarms and volatility. Looking back on Q1: VIX High - on Jan. 20, Low - 13.06 on March 30, VVIX High - 121.15. VVIX Low 77.29. The great crushing - VIX Cash falls 50% in about a month. Did the VIX fall too far, too fast? VIX Options: A fairly light volume week. Total 6.85m (5.26m Calls, 1.59m Puts) Crude Oil: OIV/OVX - 46 Gold: GVZ - 18.50, well off recent highs. Volatility Voicemail: Question from ChaChing - How does last month's VIX backwardation streak stack up to the run above 20 last year? Crystal Ball: Where do the hosts think that VIX will close on Friday? Andrew: 13.01, Mark throws caution to the wind and says 12.00.

Friday may have been a trading holiday, but you still need Volatility Views, right? We dug through the archives to bring you some of the best of Vol Views. This episode was posted in November, 2015.

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84. Russells Weekly Rundown: VIX Options: A fairly strong volume week. Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m calls, 1.28m puts) Crude Oil: OIV/OVX - 46, about 49 today, almost touched 80 back in mid-February, multi-year high. Gold: GVZ 18 - well off recent highs. GVZ - peaked around 28 back in mid-February - last hit these levels in June 2013 - so nearly 3-year high. Volatility Voicemail: Listener questions and comments Question from George K. - What is the thought process regarding the new SPYIX and hedging? Can you hedge it with VIX Futures? Question from BJLane - VIX vs. RVX - Which performs better for call verticals? Which pops better when it hits the fan? Question from Jacro - Why no volume in RVX? Crystal Ball: VIX Predictions: Russell - 15.5/8 Mark S. - 14.25 Mark L. - 15

Volatility Review: A look back at the week from a volatility perspective. VVIX - 95 Earnings volatility: The season is winding down - except for Dollar General Russells Weekly Rundown: VIX Options: A fairly strong volume week. Total 7.49m (5.54m calls, 1.95m puts). VIX faces challenge from trading robots unleashed by bats Crude Oil: OIV/OVX - 52. WTI skew chart Gold: GVZ 23.36 - Elevated Volatility Voicemail: Listener questions and comments Comment from Chic9 - Selling puts = blowout! Question from Nic s. - Why was there such an emphasis on selling puts at RMC? Is that not an old strategy? Question from JV - Can you explain the free cash flow yield theory and why it would help improve strike selection for selling puts? Question from Labeach2 - Ratio verticals work in VIX what about SPX and SPY - sell 1 ATM buy 2 OTM to hedge and spec. No studies on that? Seems better than just blasting away ATM puts? Question from JPeach - I really enjoyed the wrap up episode from the CBOE conference. I thought the discu

Today, Mark is joined by Mark Sebastian and Russell Rhoads from Florida, where they discuss their thoughts, ideas, and take-aways from the CBOE Risk Management Conference. To get the details on what was discussed at RMC, please visit the website. Some key take-aways: Put selling. Put selling. Put selling Put selling versus bond ownership The intersection of macroeconomics and volatility levels Getting past the gatekeepers Tax treatments and more

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost. Russells Weekly Rundown: Wednesday weeklys! VIX Options: Fairly light volume week. Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k. Total 5.55M (3.89M calls, 1.66M puts) Even more CBOE studies! Crude Oil Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67. Gold: GVZ 23.36 (elevated) Volatility Voicemail: Listener questions and comments: Options Question of the Week: No love for more options exchanges - Twitter poll has 60% of respondents saying "Heck no to more exchanges!!!" Question from George T. - What is the longest stretch of backwardation in VIX history? Crystal Ball: Vol Predictions: Russell - higher than everybody - above 25. Mark S. - low 20s. Mark L. - 23