Volatility Views

Volatility Review: VIX. Contago has returned - VIX out of the red zone. CBOE Russel Study - Analyzing Russell 2000 Index options-based benchmark indexes designed to provide enhanced yields and risk-adjusted returns. VIX Options: A strong start to the week after the holiday. Total 4.95m (3.39m Calls, 1.57m Puts) Crude Oil: Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67 Gold: GVZ 25.67 - Extremely elevated. Gold rallying hard in recent sessions. Volatility Voicemail: Listener questions and comments Option Insider Question of the Week: How Many U.S. Options Exchanges Do We Need? 5%  - 14 is perfect! 30% - The more the merrier. 60% - Make it stop! 5% - Other Question from George K. - What typically happens to volatility around a presidential election? Crystal Ball: The celebrations for Chinese New Year are over. Back to work! Where will VIX be next week? Sebastian: 26 on Thursday, 24.5 on Friday. Russell: Low 19s Mark: 21.50-22 Who will

Volatility Review: Earnings Volatility: TWTR and TSLA. Presidents Day holiday weekend coming out aggressively. VIX Options: A strong volume week. 1.2M contracts Thursday. Total 6.87m (4.65m Calls, 2.22m Puts) What is going to goose the VIX? Crude Oil: Volatility remains elevated - Crazy OIV spike on Weds, over 100. Gold: GVZ 28.37 - extremely elevated! Volatility Voicemail: Listener questions and comments No love for daily options - Twitter poll has 40% of respondents saying "heck no" to dallies! Question from Hot Emini - There is a big disconnect in retail that Theta is all. But is vega not the king greek for pros? What about gamma? where does that fall in the mix? Crystal Ball: Highs in VIX? Russell - 25? Mark S. - 29/30? Mark L. - 23/24

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX). VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts) Earnings Volatility: LNKD after the bell: ATM straddle = $22, approx. 11.5%, after-hours move approx. $50. Crude Oil: Wall St. fluctuates as equities track oil prices. Is oil driving the stock market? And should traders care? Volatility Voicemail: Listener questions and comments Question from GBL - Stock splits are seen to be greatly beneficial to options volume. But do they also decrease volatility, which should hurt options trading? Around the Block: Prognosticating. Wild and reckless prognosticating.

Volatility Viewpoint: VIX outside of "Red Zone" indicates no recession, Goldman says. The Goldman Sachs analysis shows the VIX is currently in a “low and rising” phase, which tends to last about two months on average. VIX Options: Massive spread on Thursday - Paper buys Mar 27/35 vertical. Total 4.82m (3.15m Calls, 1.67m Puts) Earnings Volatility: AMZN: Bulls dominate Amazon options as earnings loom. Crude Oil: Talk of Saudi/Russian oil deal on production lifted markets earlier this week. OIV: 64. OVX: 63 Volatility Voicemail: Listener questions and comments Question from Andrew T. - Vega is pretty straightforward but is Gamma really a second-order Greek since it measures the rate of change of another Greek? Question from TBig - You guys always talk about VIX futures term structure and contango impacting products like VXX. But does the same not apply to USO and the contango in the crude futures? What about backwardation in both products - how does that impact ETFs? The Crystal Ball: Reckless prognosticati

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace. VVIX: 109 VIX futures Russell’s weekly rundown: What weekly VIX options activity caught your eye this week? VIX options: 20,000 VIX Feb 20 puts (expiring 2/17); VIX feb30/40 call spread trades (expiring 2/17) 18,500 mid-market; total 3.84m (2.55m calls, 1.28m puts) Crude oil: Oil rose from its lowest close in more than 12 years as investors tried to pick a bottom after government inventory data.  OIV: 66; OVX: 66 Volatility Voicemail: Listener questions and comments Question from Pick6 -  The VIX is mean reverting with a long-term mean around 20. Does that mean reversion quality make it a good candidate for selling iron condors and iron butterflies? Comment from Envigon - Steak or no steak? What’s the deal? Crystal Ball: Waiting on rate hikes until Europe/China/Japan lifts off the gas pedal. How many times will the Fed raise rates this year? Sebastain sets the over/under at 1. Russell says it will be zero. Mar

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX Weeklies - Many institutional clients had to treat VXST like a new product, receive compliance approval, adopt new systems, etc., that complicated adoption by end users. Volatility Voicemail: Listener questions and comments Question from Nick B. - Hello mark and greetings to the team on Volatility Views. I very much enjoy your program and have learned much from you and your guests. I have two questions for you guys to mull and (hopefully) answer on a future episode. 1) Do you guys use trading days or calendar days when calculating volatility?  2) Does it seem logical to add some sort of daily volatility product to the VIX universe? The weeklies do well and most spot VIX products have failed but a daily VIX opt

Volatility Review: Looking back at 2015. Good to be in the Volatility & Index business - overall index volume only down 1% in 2015. VIX Futures: Trading volume in VIX futures also set new total volume and ADV records for a sixth straight year in 2015. Five Volatility Market Takeaways from 2015: VIX Average Closer to Historical Norms Russell 2000 Volatility Was Relatively Low SKEW High for the Second Year VIX Backwardation Lives! Long and Short Volatility ETP Performance VIX Cash: Up 4.40 yesterday - 21% - got as high as 25.86 on Thursday. VIX Options Total 4.93m (3.54m Calls, 1.39m Puts) Volatility Voicemail: Listener questions and comments Question from TCruz - Will we ever see a daily VIX option? Question from Vin - Love Options Insider Radio - been mainlining Volatility Views. You always talk about the lack of VIX put volume on that show. Is there a particular month that is most attractive for VIX put buyers? Crystal Ball: Reckless prognosticating

Originally posted July 20th, 2015 Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally! VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts) Oil: After some brief signs of life, oil volatility continues to erode. Volatility Voicemail: Listener questions and comments Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product? Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.

Volatility Review: Welcome to the Post-Fed era. VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show. VIX Options: Heavy volume early this week. 1.2M Monday, 860K Tuesday. Oil: Who is the bear driving up the price of U.S. stock options? Volatility Voicemail: Listener questions and comments Question from NJ42 - Where do you think the next big development will come from in volatility research or trading? Question from Alistair - Why are the volatility offerings effectively limited to the S&P 500? Why are there not any real offerings for commodity volatility? People active in those markets also want to hedge their volatility risk? Crystal Ball: What is left after the Fed?

Volatility Voicemail: It's time for listener questions Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility? Question from Charles M. - How has the dwindling number of options specialists impacted volatility? I believe volatility has increased as a result with days like 8/24 being glaring examples. Please discuss. Question from A. Melendez - Any updates on VSTOXX? Is it coming to the U.S. anytime soon? Question from Zack06 - Can you recommend the definitive study on VIX calls vs. S&P puts? Is there an ultimate winner? Question from AL33T - looking over the Voldex info recently and I cannot figure it out. Why would I want to remove skew from VIX? Is that not valuable trading info? Question from Avery - Why do you guys take such a dim view of TVIX? Am I missing something? Question from Vin C. - What is the correct duration to purchase VXX puts in my retirement account? I would l

Volatility Viewpoint: Today's guest is Chris Cole, Managing Partner at Artemis Capital Management. They discuss Chris's now "infamous" letter to his investors, "Volatility and the Allegory of the Prisoner's Dilemma." Volatility Review: A look back at the week from a volatility perspective, plus a review from RMC Asia. VIX Cash: Volatility surges after sell-off and heading into Non-Farm Payrolls. VIX Cash: 18.11, VVIX: 101.80 What is the Fed impact on Vol? SPX CBOE Skew Index back to boring - This week: 135.26 VIX: A heavier volume week in VIX Options. Total 6.24m (4.57m Calls, 1.68m Puts) Crystal Ball: Earnings season is winding down. FED on the horizon in December.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend VVIX: 96.18 CBOE Skew Index back to boring - This week: 139.16 VIX Options: Heavy volume early in the week. 1M contracts on Monday, 800k contracts on Tuesday. Light volume the rest of  the week. Total 5.19m (3.77m calls, 1.42m puts) Gold: GVZ this week: 17.57 Crude oil: OIV: 42.30, OVX: 43.75 Volatility Voicemail: Listener qquestions and comments Question from Hawkeye - Love seeing Russell as the new addition to the Vol Views cast of characters. You mentioned you wanted a nickname for him. Since he is going for his Phd (but has not quite gotten it yet), he teaches classes for the OIC, and he literally wrote the book on VIX, how about calling him "Professor VIX" (and maybe moving to "Dr. VIX" once he gets his diploma). I also wanted to say that it was great hearing Don "Palms out" Schlessinger a couple shows back.  You need to get him on as

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19 VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\ VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts) Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5% Gold - GVZ this week: 18.47, GVZ last week: 17.69 Crude Oil - OIV: 43.14, OVX: 43.93 Volatility Voicemail: Listeners have their day Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so w

Today, Mark is joined by: Mark Sebastian, from Option Pit Russell Rhoads, Senior Instructor, the Options Institute Kevin Nichols, Director, CBOE LiveVol Volatility Review: A look back at the week from a volatility perspective, including: Non-farm numbers and the resulting market reaction Bifurcated earnings season A less volatile VIX? SKEW index Earnings crush VIX weekly options Is there a new 12 for VIX? Put love in VIX-land Mark S. extrapolates VIX weekly trading for the past seven years Earnings! The force is strong with DIS. Crude: WTI Skew Volatility Voicemail: Listener questions and comments Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse? Question from Pick6: Are there too many VIX-relate

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses: CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days: 64. ADV: 5.25M, Total Trading Volume: 335.7M. Update on TYVIX & RVX. VIX Cash: VIX cash remains south of 15 handle. VIX Futures: Dramatic movements in CBOE Skew Index. Two weeks ago: 151.22, last week: 121.02, this week: 134.63. Previous high around 140 last year. VIX Weeklies - Week 4: Another robust volume week for weeklies VIX Options: Total 6.76m (4.80m calls, 1.95m puts) Gold: Fed squeezing gold yet again. GVZ: 15.77 Crude Oil: OIV: 43.16, OVX: 43.63 Crystal Ball: Earnings season in full swing. Nonfarms next Friday.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days. Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02 VIX Weeklies: Another robust volume week for weeklies. VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts) Now that Google is Alphabet, options suggest another big stock move. Gold: GVZ: 15.59 Crude Oil: OIV: 40.18, OVX: 40.22 Volatility Voicemail: What do our listeners have to say? Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics. Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfoil hat territory. Surpri

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer VIX Weeklies: Another robust volume week. VIX Options: VIX Nov 25-30 Call spread papa buys about 7k. Paper "buys" 15K Nov 15 puts. Total 9.58m (6.23m Calls, 3.35m Puts) Crude Oil: OIV - 42.28, OVX - 41.99 Volatility Voicemail: Listeners have their say. Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: The streak is done - VIX firmly below 20! VIX Weeklies finally join the party - decent volume for the first day. A theory of why the VIX sputtered on Aug 24. VIX Options: Some early call selling during the rallies - but primarily more VIX upside call buying. Gold: GLD continues to dive. Crude Oil: OIV - 43.98, OVX - 42.97 Vol Voicemail: Listeners weigh in Question from Nigel B - How are crude options and volatility looking with this rally toward 50? Lots of call love? Question from Alamut01 -SPX sells off over 2% last week and VIX barely budges. What up? Question from IVUP - Can you please give us a status update on the Voldex products particularly a release date? Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe. Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?

Volatility Review: A look back at the week from a volatility perspective. Moving up the list - 28 days over 20 in the VIX Cash. VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back! VIX: Total 7.77m (4.80m Calls, 2.97m Puts) SPX: Spot Price = 1920.70. Puts/Calls = 2.53. GLD: Spot Price = 108.90. Puts/Calls = 0.40. Crude Oil: OIV - 44.81, OVX - 44.75 Volatility Voicemail: Listeners have their say. Comment from Mark Brant - Being afraid of selling W1 IV is just wrong! We are traders, not market makers! Gamma cannot hurt us selling tight Vertical Spreads! Question from Noodles - VIX the tail or the dog? Hello Vol squad. I was just talking with a few of my trading buddies (all VIX options traders) and they were complaining that VIX does not represent SPX volatility anymore. They said that it is its own beast now because so many people are just trading VIX and VIX products and not SPX. I thought I would put it to the Vol pros to settle the debate. Incid