Volatility Views

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil. Volatility Voicemail: Listener questions and comments Iron flies Getting tchotchkes Tick-by-tick calculator What drives the VIX? Crystal Ball: The challenges of prognosticating.

Volatility Review: A look back on the week from a volatility perspective. What happened post-Fed? VIX remained elevated going into Fed announcement VIX, VVIX Advice offered to the Fed Irrational exuberance abides VIX Cash making waves, VIX options, not so much Weekly VIX options can’t come soon enough The madness that is VXUP and VXDN RVX and VIX still within spitting distance of each other Mark has opinions on the Goldman Sachs research team Volatility Voicemail: Listener questions and comments Quadruple witching: does it impact option volatility? Product question on: VXST, VolDex Crystal Ball: Wild and reckless prognosticating

Volatility Review: A look back on the week from a volatility perspective, which includes: VIX Cash RVX VIX Options VXUP VXDN And the Fed Volatility Voicemail: In which listeners have their say Question from Mr. Rose - On 8/21/15, S&P lost 3.19% and VIX is up 8.89 points. Following Tuesday S&P down 2.96%, VIX up only up 2.38 points. Next Wednesday S&P up1.83%, VIX drops 5.31 points. Please explain. Question from Confused - Hey, is there an overwhelming biased to trading calls in the VIX? Why? What about VIX puts, does anyone trade them? Question from Jacob - What are some examples of basic volatility arb strategies? Thanks for the program. Crystal Ball: Wild and reckless prognostication

Volatility Review: A look back at the week in volatility VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession. VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places. VIX Options: Sept. 1 - 1.5M Contracts, Sept. 2 - 791K Contracts, Sept. 3 - 1.1M Contracts VelocityShares Daily Inverse VIX Short-Term ETN (XIV) has accumulated $1.1 billion in net inflows, according to ETF.com. VXY: Additionally, over the past two weeks, the ProShares Short VIX Short-Term Futures ETF brought in $540.3 million in net inflows and now has $599.9 million in assets under management. Crude Oil: Crude market full of volatility and uncertainty. Volatility Voicemail: Listener questions and comments Comment from Mark Brant - Thanks for sharing the VIX 1x2 call swap roller trader and repeating it until we get it! A super great V

Volatility Review: Black Monday Redux The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever. VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic. AAPL hit low of $92 before rebounding. VVIX: Hit a high of 212 on Monday 8/24. VXUP/VXDN: VXUP did 813k shares on Monday - VXDN 650k. Crude Oil: OVX - 51.80, OIV - 51.12 Volatility Voicemail: Listener questions and comments Question from Inchon55 - Was this the week that VIX traders have been waiting for? It seems like they have been buying calls in the 20-strike range all summer with no payoff. Now we finally got the pop they needed. Will this lead to a flurry of more call buying in the months to come? Question from Jim J - Question for Volatility Views - This was a crazy week for Vol traders. What was the craziest thing that jumped out at you? Comment from JoeJoe: Why is everyone making such a big deal about the selloff on Monday? Flash crash? Market manipulation? That is

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options. Volatility Viewpoint: How to structure a trading strategy around this kind of market? Should you look at volatility products in a vacuum? When will the Fed actually pull the trigger on rates? Crystal Ball: What is the driver that will push us into a full-on selloff or rally? What is the normal duration of a major VIX pop? Will Jared own Mark a steak?

Volatility Review: A look back at the week from a volatility perspective China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day. AAPL a utility? What's the Fed going to do? The week in VIX options. Strong volume for the week: 1.6m contracts Monday 8/10 1.4m contracts on Wednesday 8/12 835k contracts Thursday 8/13 VSTOXX: Channeling Don S. Crude Oil: Eyeing the continued dive in oil prices. OVX: 43.23 OIV: 44.49 Gold: Gold Storm on the Horizon Crystal Ball: Diving boldly unto the breach and making reckless volatility predictions.

Volatility Review: A review of the week from a volatility perspective. Volatility continues through earnings season - Disney and Tesla hit hard. VIX Cash: 14.13 - Some juice coming back into the balloon. VIX Futures: 12.16 - not as controversial as main VIX settlement. VIX Options: Decent volume week - 770k contracts Monday. Total 7.95m (5.89m Calls, 2.05m Puts). Crude Oil: WTI term structure - West Texas Intermediate is heading for its biggest monthly fall this year. Gold: A prominent gold forecaster predicts the metal will drop to a mere $350 an ounce, a level unseen since 2003. Gold Implied Vol: 12.1% as of July 14, 2015 and up to 18.8% on July 21, 2015 Volatility Voicemail: listener questions and comments Question from Antimony - Question for the Vol Squad. Have you had a chance to look over the list of latest index products launched by the CBOE? Any contenders? Personally I think the weekly revamps of put and BXM have promise, along with the 30-delta BXM. Question from Tommy Hendricks - What is your t

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants. VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week. VIX Futures: New weeklies listed this week. VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts) Gold: GVZ: 19.39 - Spiked nearly 5 handles this week. Gold volatility skew - clear concern in the near term, longer-dated options showing some bullish positioning as well. Volatility Voicemail: Listener questions and comments. Question from LAX66 - Do you guys know where I can find a list of the pensions and endowments that utilize options and futures for hedging purposes? I would like to see if my money is safe and being put to good use. Is that info publicly available? Question from Bailiwyck - I would like to submit a question from the volatility views radio program. What is the problem with GVZ? Why are there no products to trade wi

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 on a guest who specializes in OTC

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments. He discusses: His viewpoint on current volatility landscape VIX spot level - Did VIX cash perform as expected? What are volatility strategies? How to talk about volatility mechanics and characteristics with clients? Updates on current and pending Russell volatility products Volatility Review: A look back at the week from a volatility perspective VIX Cash: Performance vs Market expectations. VVIX: Hovering around 115. VIX Options: Decent but not a strong volume week. Total 7.71m (5.89m Calls, 1.82m Puts) Crude Oil: Volatility creeping back into crude. Crystal Ball: Peering over the market precipice. Earnings season ahoy. Volatility prognostication.

Volatility Review: A look back at the week from a volatility perspective VIX Cash: VIX poised to start moving aggressively again? VVIX: Hovering around 85 - near the low end of its 1-year range. VIX Options: Back to light volume - all sessions below 500k. 3.8/1 Calls over puts. RVX: OI 62 contracts. VXUP / VXDN: Light week here as well - VXUP most days well under 30k shares, VXDN under 5k shares. VSTOXX: Flirted with a 5-month high of 27.5 earlier this week. Crude Oil: Crude Vol creeping lower. OVX - 29.18, OIV - 29.36 Rates: TLT Aug IV = 16 - Has not changes much over the past month. Volatility Voicemail: Listener questions and comments Question from Nick James - Tuned in last week for the first time and heard the discussion on volatility products, and particularly the AccuShares VIX products. I have been intrigued by this product and found your conversation interesting. It sounds like you take a dim view of it and would recommend against me buying shares of the VXUP version. How would you fix it if you c

Volatility Review: A look back at the week from a volatility perspective June VIX settles at 14.67 VIX Futures: Front month down to 15.15 VIX Options: VIX call/put = 3.9 - getting more attention again. RVX: OI 61 Contracts VXUP / VXDN VSTOXX: Hit 5-month high of 27.75 on Monday ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread widened this week with VIX crisis. Crude Oil: OVX: 30.60; OIV: 30.46 Rates: TLT Aug IV = 15 - Has not changed much over the past month. Volatility Voicemail: Listener questions and comments Question from Tasty Meatballs - What is your take on the new TYVIX index disseminated by the CBOE? Question from Jarvis - This is for the volatility views radio program. There are a lot of players entering the volatility ETF world. Some offer ratio products, inverse products or the new wave of spot products. I would like to know if there is a certain type of ETF or a certain area of the market that you think is ripe for a new volatility product. Question from Azon - How does VSTOXX p

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend. VIX Cash: High of 15.74 on June 9. VIX trending lower throughout the week finally breaking the 13 handle on Thursday. VIX Options: Call love - a heavy volume week, averaging 500k contracts. A massive day on Wednesday - nearly 1.6M. Our 1X2 friend is back! Total 8.13m (6.48m Calls, 1.65m Puts) VIX Up/Down: Nascent VIX Up/Down ETF Could Face Hedging Pressures Volatility Voicemail: Listener questions and comments Question from Nixy - Just found this hose on iTunes and liked the discussion about the new VIX ETPs. I am curious what you think of the CVol ETF product? Worth my time or more volatility detritus? Comment from Abstergo_US - Great discussion on VXX leap puts. After listening to your program, I pulled up the VXX options chain and pulled the trigger on the Jan 2017 12 puts for around $2 in my IRA. Fast fo

Volatility Review: An action packed week on the market - shrugging off the non-farms. VIX Cash: Major indexes selling off over 1% Thursday. VIX Options: A big call stupid going up in June/July 20s. VXUP/VXDN: VXDN not catching fire like the VXUP Crude Oil: OIV & OVX IMF: The Mark-Jared bets continues. Volatility Voicemail: Listener questions and comments Skew: What is it? Should it exist? Why does it exist? Around the Block: Summer VIX is back in season.

Volatility Review: The week in review, from a volatility perspective Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle. VIX Futures: Front month future flirted with 15 during the selloff. VIX Options: Anemic volume week post-holiday - only 63k contracts through 11am. Still mostly call buyer in June - primarily VIX. Total 6.06m (4.73m Calls, 1.33m Puts) VXX: Puts trade in iPath S&P 500 VIX Short Term ETN (VXX) are up 0.34 to 19.02 today. VXX is near the lower end of the 52 week range. VXST: Volume: 0, OI: 4. VXST will be replaced by VIX weeklies probably by the end of the summer depending on VIX weekly approval and launch. Crude Oil: OIV: 33.04; OVX: 32.5 Volatility Voicemail: Listener questions and comments Question from Aeschylus - One thing I cannot understand clearly is why there is so much focus on the volatility smile. Given my knowledge of the Black and Scholes model, this is what I get: People use the volatility smile as a forecast of future volatility. The

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back. VIX Cash: Low: 12.09, High: 13.27 S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent range. Skew Index: 121.11 - also on the low end of recent range. Put vs SPX White Paper: A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index. VIX Options: A strong volume week. 945K Contracts on Monday, 750k Tuesday, 700k Wednesday and only 350k Thursday. VIX Up / VIX Down: Despite our doubts last week, the product is doing heavy volume. Question from IVDaily - Please explain the VXUP and VXDN products to me. I am very confused. What am I getting if I buy this thing? Its not really spot VIX that I am getting, but the actual percentage move in the spot VIX, correct? What does this paired contract thing mean? Do I have to wait for someone to sell VXUP before I can buy the VXDN and vice versa? Shed some more light into the darkness pleas

Volatility Views 158: Is VIX Without Contango Even Possible? Volatility Review: A look back at the week in vol VIX Cash: High: 15.13 - Low: 12.41 VVIX: 82.12 S&P 30-day realized Vol: 10 VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts) Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total. Crude Oil: Crude bears are starting to show their claws again. OVX 31.67 - OIV 32.18 This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years. Volatility Voicemail: Listener questions and comments Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long

Volatility Viewpoint: Today's guest is Euan Sinclair, Author of Volatility Trading Editions 1 & 2, as well as Options Trading. He discusses: What is driving the pronounced decrease in VIX? What were the primary drivers of the dramatic increase in "Vol-of-Vol" we saw at the end of 2014? CBOE is launching VIX weeklies soon. Does he feel they have the potential to succeed where VXST has failed miserably? A sneak peek of any book he currently has in the works. Volatility Review: A look back at the week from a volatility perspective VIX Cash: Low - 12.10, High - 16.36 VIX Options: Total 6.62m (4.76m Calls, 1.86m Puts) Crude oil: OVX & OIV Volatility Voicemail: Listener questions and comments Question from Mark Brant: Please address how IV chain structure can make a spread more viable or less viable and how liquidity affects such IV structures. Question from AdamVega:Hello I am a big fan, thank you for your great shows. I have been looking for a platform that I use for Backtesting. I currently use thin

Volatility Review: A look back at the week from a volatility point-of-view  VIX Cash: Low: 12.33 - High: 15.29 VIX Options: Another modest volume week. 75k May 20 calls purchased Wednesday for $.40. Paper buying June 23 puts for $.15. June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times. Total 6.14m (4.39m Calls, 1.75m Puts) Options volume slid in first quarter. Volatility cycles and stock trends. International Volatility: India VIX caps monthly advance as futures rollover below average. Crude Oil: OVX - 36.09, OIV - 36.95 Volatility Voicemail: Listener questions and comments Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in? Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a the