Volatility Views

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

Volatility Views 144: Talking Earnings Volatility Volatility Review: A look in the week from a volatility perspective   VIX Cash: High: 21.55, Low: 15.52 S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers. VVIX: Thurs close: 100.70, Week range: 91.85-109.99 VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts) VXST: Another week of anemic volume despite significant underlying movement. RVX: Still no appreciable volume. OIL: Another crazy week for oil. Saudi prince reiterates that "we will never see $100 oil again." OPEC Chief says this may be the bottom for oil.   Volatility Voicemail: Listener questions and comments   Question from NINC - Hey Volatility Views guys. I know you have discussed the topic of earnings studies in the past, particularly as it relates to earnings straddles. You said there was not much research on the topic. Has the situation changed since that conversation? Has there been any new research on the topic? I know you discussed the possibili

Volatility Views 143: The Great Fed Debate Volatility Review: The week in volatility ECB takes all of the vol out of the market in one fell swoop. S&P 500 volatility streak longest since '12 as 1% moves multiply. The S&P 500 Index rose 0.5 per cent yesterday and moved 1.3 per cent from its lowest to highest levels. VXST: Another week of crappy volume. (The Mystery of Short-Term Volatility)  FX Volatility: Another crazy week following the Swiss Franc crisis. Crude Oil: Crude continues to take it on the chin. Domestic crude supplies at near record levels. Iraq increasing production to offset declining revenues. Death of the Saudi King adding to the confusion. Here’s the chart that Mark was referring to from Daily FX:       Volatility Voicemail: Listener questions and comments Question from Marcus N - You discussed the retracement from backwardation to contango in VIX Futures on the last episode. If I thought the retracement would be rapid and I wanted to play that retracement, would the near-term fut

Volatility Views 142: The Swiss Franc Black Swan Volatility Review: A look at the week that was: Swiss Franc: Deutsche Bank AG suffered about $150 million in losses Thursday after the Swiss National Bank abruptly removed the cap on the Swiss franc’s value, sparking a massive rally. Meanwhile, a major U.S. currency broker warned its equity was wiped out, a U.K. retail broker entered insolvency and a New Zealand foreign-exchange trading house collapsed. Crude Oil: Oil prices fell on Thursday after weak U.S. economic data spurred worries over crude oil demand. U.S. crude declined $2.23, or 4.6 percent, to settle at $46.25 a barrel. Brent crude was last down $1 to trade around $48 a barrel. Volatility Voicemail: Listener questions and comments Question from Mark Brant - @Options How long does VIX backwardation normally last and are the reversions to contango sharp or mild? Question from Analygos - I have heard you discuss previously buying options prior to earnings to capitalize on free gamma with no decay. My

Volatility Views 141: The Return of Euan Sinclair Volatility Viewpoint: Euan Sinclair, author of Volatility Trading Editions 1 and 2 and Options Trading,is back.  Euan is an option trader with over eighteen years of professional trading experience. He currently works on strategy design and is the risk manager at Bluefin Trading. He holds a PhD in theoretical physics from the University of Bristol.   He discusses:   The major volatility takeaways/lessons from 2014? The dramatic increase in "vol-of-vol" at the end of the year, and the primary drivers of that? Did the flight of institutional liquidity from the markets contribute to the increase in "vol-of-vol", or is the lack of liquidity overplayed? His take on what we are seeing from a commodity vol perspective right now, particularly crude oil? His opinion of VXST, and why it has not gained more traction His opinion on the two VIX competitors in the works - Voldex and the Whaley Project A sneak peek at his new book and what he is looking out for in 2015    

Volatility Views 139: Getting Angry About Volatility Volatility Review: The week in volatility: VIX Cash: Low - 12.55, High - 21.09 VIX Options: Total 6.66M (4.35M calls, 2.31M puts) VXST: Total 7,746 (5,185 calls, 2,561 puts) Oil Volatility: USO vs. XLE - Traders hedge oil ETF while energy stocks lure buyers. Volatility Voicemail: Questions and comments from our loyal listeners Question from CPunk - Hello Volatility Gurus! Long time, first time. Love your discussions of all things volatility, particularly your breakdowns of the different products. I listened to your episode with Scott Nations recently and it got me thinking about how most volatility products appear to be very flawed. VIX has obvious issues and the Voldex product does not appear to solve many of them beyond eliminating skew. The various ETPs all have very well-known issues as well. If I had to think of an ideal volatility product, it would probably be something along the lines of what your former sponsors VolX promoted - a product that esse

Volatility Views 138: The Action Is In Oil Volatility Review: The week in vol   VIX Cash: High: 14.75 - Low: 12.09 VIX Options: Total 5.71M (3.84M Calls, 1.86M Puts). VIX shunned as few bumps seen for S&P 500 at years end. International Vol review: Its official - America is now No. 2 Oil Volatility: Oil futures slide on Saudi price cut to U.S. Gold Volatility: Hard to be a bull in this gold market.   Listener Mail: Listener questions and comments Question from Michael Roberts - I came across your program while looking for new diversification options for my clients. I find your suggestions about collars and protective puts very interesting. I have also been reading new research about volatility itself being positioned as an alternative asset class. This leads me to two questions: 1. Do you agree that volatility is an asset class? 2. What is the best process to gain exposure to that asset class for my clients? Is simply buying an options with a substantial vega component sufficient, or must I purchase a

Volatility Views 137: Crying Wolf in Volatility ETPs Volatility Review: The week in vol: Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high. VIX Cash: High - 15.74, Low - 13.13 VIX Options: Total 4.34M (2.89M Calls, 1.46M Puts) VXST: Another weird volume week - 300 to 3,000 contracts on various days. Total 11k (8305 Calls, 2801 Puts) A Review of Jared's Vol ETP Report - Crying Wolf: What the VIX alarmists are missing. Crude Vol: Nat Gas and Oil Volatility Voicemail: Listener questions and comments Question from IndyJoe - I saw Marks tweet about buying high VIX/selling low VIX this week. Can he clarify what he meant by that? Seems counterintuitive. Question from Pat Cummins - I think the pounding the VIX has taken lately is overdone. I am bullish volatility in the long term. Question: What is the best way for me to express that view? You have already dissuaded me from buying VXX as that is clearly the road t

Volatility Views 136: Oil Volatility and VXST Volume Volatility Review: The week in vol   VIX Cash: VIX rallies - the market rallies has been a big story of this week. A lot of outlets have been jumping on the train. VIX Options: 2.3/1 call/put VXST: A decent week from a volume perspective. OI now at 10,244 (8,015 Calls/2,229 Puts) Introducing the launch of Treasury VIX futures. Crude Vol: XLE, Brent and WTI Listener Mail: Listener questions and comments   Question from Timinc - Hello volatility views hosts. I appreciate your fine program although much of it exceeds my expertise. My question involves the Black-Scholes formula. I’m a student studying quantitative finance and we’re learning about this formula now. My professor stresses the value of this formula but is it still widely used in industry? Do I need to study Black-Scholes in order to get a derivatives quant or modeling job after I graduate? Question from Alan Baxter - What is the best source for data on trading activity in the volatility swaps ma

Volatility Views 135: Under-the-Radar Swiss Gold Volatility Review: Vol premium over the past week. Implied volatility vs. realized volatility. Vol Commodities: Oil, currencies, etc. Russell 2000 - RVX   VXTYN - introducing the new 10-year volatility product.     Crystal Ball: What are we looking forward to in the coming weeks?