Volatility Views

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

Volatility Viewpoint: Today’s guest is Mike Thompson of Typhon Capital. He discusses:  VIX Futures VXST The mainstream acceptance of volatility VXX and VSTOXX Volatility Review: A look back at the week from a vol perspective A groundhog day in volatility. VIX: volume down significantly. VIX Options: Put love later in the week. June 14-18-21 fly spread going up. Gold: GVZ hitting a seven month long, near the 15 handle. Crude Oil: The bulls are back in crude. Volatility Voicemail: Listener comments and questions Question from Tim Engels - Been a lot of ink lately about VIX volume being in the toilet. You guys have touched on it once or twice on the program as well. Why do you think the volume has fallen off a cliff? Question from Theist - Reading about delta neutral strategies. But the profit seems small for each adjustment, commissions seem large for the adjustments, and the values for many of the variables (delta, vega) seem questionable at best. Is this really a viable strategy over the long term or are

Volatility Review: A look back at the week from a volatility perspective.  Greece bringing some volatility back to the table. VIX Cash: Low: 12.50 - High: 14.75 Earnings do not seem to be injecting much Vol into the market. S&P: Skew Index: 120.37 VIX Options: Our friend with the April 13 puts decided that discretion was the better part of valor - sold 90,636 of them on Tuesday for $.05. 800K contracts on Tuesday. Total 4.22m (3.12m Calls, 1.11m Puts) Elizabeth Warren: Tax the banks. Warren called for a transaction tax on firms that use computer-based trading systems to make rapid-fire transactions. She said taxing so-called high-frequency trading would make the market less volatile and give smaller investors a fighting chance. Crude Oil: The bulls are back in crude - OVX: 43.48, OIV: 42.67 Volatility Voicemail: Listener questions and comments Question from K9 - Why does no one in the US talk about VSTOXX as a volatility gauge? I think it does a better job of measuring overall Vol by taking the square

Volatility Review: A look back at the week in volatility  VIX Options: April 50 calls still open - someone made a massive play in May calls. A ton of new volume in June 17-23 calls, nearing the 1M mark total for just today. Crude oil: Call option trades target return of $100 US crude oil. Other Volatility Topics: Apple Watch - can it bring back the glory days of AAPL? Volatility Voicemail: Listener questions and comments Question from Rahul Tandalkar - Sir. Can you please tell me a website where I can find implied and historical volatility for Indian stocks? Question from J Dog - So VXX is crap! We all know this. Are there any VIX ETFs that you guys like? Question from Tom Snydon - What can I not trade options on OVX? Crystal Ball: Sold to you, and more wild speculation.

Volatility Review: A look back at the week in vol  VIX Cash: Low: 12.89 - High: 17.19 S&P: Skew Index: 122.86 VIX Futures: Stories from the front Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date – it was one day early. Apparently this professional trader had a position of over $100M. Apparently the wrong expiration date had been posted for several months. He won an award for over $2m at a FINRA panel behind closed doors. My questions: What is your reaction? If you are a VIX Futures trader do you typically hold your position over days/months or do you close out at end of day? It seems also possible that if the wrong expiration date was published, a VIX Futures traders could also come out ahead on the positive side of the balance sheet? What is your take on VIX Futures? VIX Options: April 50 calls still open - someone is quite optimistic about April Vol. Total 4.49m (3.03m

Volatility Views 151: The Fix on VIX Volatility Review: A look back at the week from a volatility perspective   VIX Cash: Low: 12.54 - High: 16.37 VIX Settlement seemed somewhat controversial again this month. VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week. S&P: Options contracts that pay off should the S&P 500 lose 10 percent in the next three months, near the time of a potential Federal Reserve rate increase, are by some measures almost seven times more expensive than at the start of the year, the data show. Quadruple witching something of a non-event - with expiration every week now, it seems as though triple and quad witching have lost some of their luster. VIX Options: Big VIX trades this week - customers buying upside calls in April, particularly 22 & 26 strikes. April 50 call still open. Total 3.65m (2.50m Calls, 1.16m Puts) Volatility Index Bracketology: Someone beat Jared to the earnings volatility study - Informed trader

Volatility Views 150: Doing Our VIX Term Structure Homework Volatility Review: A look back at the week in volatility:   VIX Cash: Low: 14.71 - High: 17.19 Skew Index: 121.53 VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon. RVX: 65 Contracts open interest. FTSE volatility products coming soon. VXST: OI just 25 contracts. VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange. International Volatility Review: What can we expect from the Kremlin? Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration. Volatility Voicemail: Listener questions and comments Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long term futures typically

Volatility Views 149: History of Economic Data Volatility Viewpoint: Mark & Bill breakdown the RMC Conference. The most interesting panels and presentations, surprising revelations, and other like or dislikes.     Volatility Review: A look at the week from a volatility perspective VIX Cash: Low: 13.25 - High: 15.33 Skew Index: 127.26 VIX Options: Total 4.97m (3.38m Calls, 1.59m Puts) The extended hours for VIX options began trading on Monday, while the extended hours for SPX options are expected to start on Monday, March 9. International Volatility Review: ECB plans to buy foreign debt. Crude Oil: Expect more volatility in oil says Exxon CEO Crystal Ball: Is vol creeping back in      

Volatility Views 148: What Color Is the Dress?   Volatility Review: A look back in the week from a volatility perspective VIX Cash: Low: 12.86, High: 15.48 Skew Index: 126.20 The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9. VIX Options: Total 4.38m (2.98m Calls, 1.40m Puts) VIX term structure hits CBOE earnings International Volatility Review Crude Oil: Volatility returning to oil. Volatility Voicemail: Listener questions and comments Question from Jordan M. - Do you have any updates on the volatility ETF from Robert Whaley that proposes to eliminate the roll yield issues with VXX? Is it coming to market any time soon? Question from Smile Creators - Hello, big fan. Thanks for the great shows. Is there a study that tracks Implied vol vs Historical vol? I am interested to see when they are following the same pattern or they deviate. Pakapiko. Question from Mr. Bochco - Where do you guys fall on the great 25

Volatility Views 147: Men Cause Volatility Volatility Review: A look back at the week from a volatility perspective   VIX Cash: High - 16.74, Low - 15.10 S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30 VIX Options:  A decent volume week except for 2/19 with only 250k contracts. Total 3.39m (2.33m Calls, 1.06m Puts). Extended VIX Options trading hours start March 2. International Volatility Review: Greece is the word. Oil: The battle for $50 continues - WTI March futures back below $50, OVX at $55.75. Men create volatility? Could more women traders cut volatility? Experimental market sessions show more women traders = smaller and fewer bubbles Volatility Voicemail: Listener questions and comments   Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the “lone market participant” is appreciated. Sorry I set off Jared’s racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice)

Volatility Views 146: Betting on Fed Volatility Volatility Review: A look back in the week from a volatility perspective   VIX Cash: High - 19.28, low - 15.26 S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94 VVIX: Thursday Close - 93.24 VIX Options: 700K contracts on Feb 12, for a strong up day for the market. Total 5.36m (3.28M calls, 2.08M puts). Extended VIX Options trading hours start March 2. Upcoming launch of RealVol SPY Options on BOX - good news for our former co-hosts. VXST: Current open interest: 3 contracts. RVX: Current open interest: 58 contracts. International Volatility Review: RVI - Russian Volatility Index OIL: WTI March futures are back above $50, after dipping below it again. OVX still hovering near $60, 6-month chart of OVX is pretty impressive.   Volatility Voicemail: Listener questions and comments Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the “lone market participant” is appreciated. Sorry I set o

Volatility Views 145: Debating Earnings Skew and Corporate Racism Volatility Review: A look at the week in vol:   VIX Cash: High: 22.81, Low: 16.67 S&P: 30-day IV: 15, 30-day HVOL: 16, Skew Index: 127.54 VVIX: Thursday close: 98.56 VIX Options: Total 4.80m (2.86m Calls, 1.95m Puts) Market now loving CBOE numbers, stock off 5.5% - earnings were up 7.6%, but missed expectations. Extended VIX Options trading hours start March 2. VXST: Another week of anemic volume dispute significant underlying movement. RVX: Still no appreciable volume. OIL: Another crazy week for oil - rallies over 20%, then clipped, the rallied more again. Currently hovering above the $50 strike again.   Volatility Voicemail: Listener questions and comments Reply from Ernitin14 - @OptionsInsider love Vol Views show. Here's my counterargument on remarks on skew shape. If everybody is hedging their short bet, vol squeeze is very likely which is exactly what happened in GOOG post earnings. Yes ATM call spread were the best plays, in case