Volatility Views

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?

Volatility Views 134: Earnings Surprises and Greenspan Gold Fades Volatility Review: Big surprises from an earnings vol/straddle perspective this quarter. AMZN - Sold off about $30. LNKD - Closed at $202.50. TSLA next week. CBOE this morning. VIX Cash: 17.87 - 14.04 VIX Options: Total 6.53m (4.46m Calls, 2.08m Puts) VXST: Total 4927 (4918 Calls, 9 Puts)   Volatility Voicemail: Listener questions and comments   Question from Phillipono - Are there any good tools out there for comparing realized to implied volatility and determining the best times to sell premium?                                                               

Volatility Views 133: Skew Inversions and Dynamic Hedges Volatility Review: The week in vol VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56. VIX Options: A whopping 6.14M contracts total. OTC Volatility: Volker rule and its impact on liquidity. VXST: When is it going to catch fire? Oil/Energy: Strong investment skew, heavy puts activity. Metals: An outlook on gold/silver volatility. Volatility Voicemail: Return of the Don Comment from Don S regarding this listener question - "Let me leave you with this question: Long term which do you think will outperform - dynamically hedged SPY ATM straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not." Not sure anyone addressed this in a satisfactory manner.  When you dynamically hedge an ATM straddle (meaning keeping it reasonably delta-neutral throughout), you are making a bet that the implied vol at which you buy or sell the options will turn out to be lower/hig

Volatility Views 132: Wearing Tin Foil Hats in Crude Oil Volatility Review: A week in volatility VIX Cash: Quite a week for VIX cash. VIX Options: Again, serious volume in VIX options this week. Top OI Positions: 367,046 VIX Nov-14 20 calls, 354,540 VIX Oct-14 17 calls, 244,354 VIX Jan-15 20 calls. VXST: Another wild market day - another mild volume day for VXST, only 858 contracts traded on Thursday. Energy: Saudi Arabia keeps the oil market guessing.   Volatility Voicemail: Listener Questions and Comments Question from Neal Max - Sounded like you guys were a little skeptical regarding the VolDex product. What do you think of this products chances of actually making it to market? Do you think it has a shot against VIX?   Crystal Ball: Insane, compliance-offending predictions regarding volatility.

Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex Volatility Viewpoint: Today’s guest is Scott Nations, president and chief investment officer NationsShares. NationsShares and ISE have partnered on a new volatility product – Voldex. He discusses: Why is this methodology superior to the current VIX methodology? How would Voldex have performed over this crazy week period compared to VIX? Why do we need this product? Does he expect traders to abandon VIX for this or instead using it as a spreading tool? An overview of two new planned additional products, Skewdex and Taildex.   Volatility Review VIX Cash: Insane realized and implied volatility this week. Range: 14.05-19.38. VIX Futures: VIX cash trading at a premium to all futures except April 2015. VIX Options: Nearly 1 million contracts on Thursday.      Crystal Ball: Jared and Andrew guess vol recklessly.

Volatility Views 130: Talking Volatility Skew Volatility Review: What happened last week in vol? VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market. VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls. Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 54,997 VIX Nov 23 calls at $.94. Gold vol: GVZ ticking up over the past few weeks - futures options still put heavy.  Oil vol: Continued put love in crude as well.  Volatility Voicemail: Listener questions Question from Crazyhorse - Can some of the roll yield problems suffered by VXX and others be solved by either 1) rebalancing on a less frequent basis or 2) trading a basked of futures as opposed to simply buying the same long term contracts every time? Question from Chris Hanks, Toledo, OH - Hola volatility gang and perhaps special guest. I am a frequent listener and wanted to write in to say thanks for putti

Volatility Views 129: Juicing Up BuyWrites Volatility Viewpoint: Today’s guest is Russell Rhoads, who is a senior instructor at CBOE’s Options Institute.  He’s on to discuss a new white paper, A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index. Summary: Historically, the CBOE S&P 500 2% OTM BuyWrite Index has outperformed the total return that would be expected from passively holding a market portfolio. This outperformance occurred on both an absolute and risk-adjusted basis. Additionally, a leveraged strategy that matches 120% of the expected performance of BXY may enhance this performance with a similar risk profile to the market portfolio. Volatility Review: The week that was VIX Cash - A relatively quiet week until an enormous pop on Thursday. VIX Futures - further developments in VIX Futures term structure. VIX Options - Hot Strikes: 326,209 VIX Oct-14 20 Calls, 296,305 VIX Oct-14 17 Calls & 290,453 VIX Nov-14 20.0 Calls. VXST Options - On a day when VI

Volatility Views 128: Gold Skew Palooza Vol Review:  An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range. VIX options- hot strikes: 281480 VIX Oct-14 16.0 Calls 253852 VIX Oct-14 17.0 Calls 248014 VIX Oct-14 20.0 Calls Top trades: 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times for $0.18. Paper buys 5k DEC 25 calls for $0.67. VXST Top OI Positions: 1000 VXST 10/1 12.0 Puts 800 VXST 10/1 25.0 Calls 500 VXST 9/24 14.0 Calls Gold/metals vol: Gold skew looking somewhat steep to the downside. Volatility Voicemail: Listener questions and comments   Question from John King ‏@jking321 - Could you do a show with an in-depth discussion on LiveVol vs IVolatility vs? Costs/benefits over std broker data etc. Thanks! Question from Indy04 - This might be a strange question but does implied volatility always exist? Are there options out there that essentially trade at their realized volatility level o

Volatility Views 127: Diving Into Treasury Volatility   Volatility Review: VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike. VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio - 3.8/1 VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol VXTYN) beginning on Thursday, November 13, pending regulatory review. Metals, Energy and International vol.   Volatility Voicemail: Listener questions and comments Question from Victor C - Do you think the failure of VXST has to do with the product being too much vol of vol for most people? Is it just too wild of a product for the mostly institutional VIX crowd? Question from Señor Pablo - Thanks for the show Mark, and please say Hi to Jared and Andrew for me. You guys have mentioned some of the VIX competitors in the past. It lo

Volatility Views 126: A Big VIX Shakeup Vol Review: VIX Cash - A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire.  Non-farms a non-event.  Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6. Question from Spreadjunkie - CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer? VIX Options - 4.1 Call/put. VXST. RVX - Not much going on, only 504 OI. Gold/metals volatility. Scottish independence? Volatility Voicemail: Question from Nick Valenti - I am glad to see you are adding more volatility products to the show including the new Russell VIX. I trade RUT and IWM options very actively and I have been watching this product with great interest. I have yet to pull the trigger on a contract, but I have been close a few times. Like a lot of people, I am still waiting for other traders to join me before I dive into the deep end of the pool. What do you think it will take to kickstart this product? What will the

Volatility Views 125: The Holiday Fear Premium Volatility Review: A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend. Trader taking time delay/Vol out of the market ahead of the weekend? VIX Cash. Trading in the 11.24-12.73 range. VIX Options. 4.2/1 - Call/Put. Top OI Positions: VIX Sep-14 19 C, VIX Sep-14 20 C, VIX Sep-14 16 C. VXST Options. RVX Options. Metals Vol - GVZ down about a point this week. Energy Vol - Oct WTI realized vs. ICE heating oil implied intersecting. Volatility Voicemail: Question from Silas - Congrats to the Vol Crew on such an excellent program. I enjoy all of your analysis, particularly the addition of volatility breakdowns in other asset classes, including crude oil. Ia, starting to dabble more into these asset classes, but I am somewhat dismayed at the overall lack of tools for analyzing these products. What software do you typically use when breaking down volatility in products like curve oil? Thank you again for the fine program. Question

Volatility Views 124: Volatility Pairs Trading Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month. VIX options:  Top Strikes: Sept 19 calls, Sept 20 calls, Sept 16 calls. VXST options: A lot of activity in VXST: Aug 17 calls 1,500 contracts. RVX options. Volatility Voicemail: Listener questions and comments. Question from Vizible ‏@VizibleApp - What happened to Don S.? Sorry if we missed something, but loved him on the show. Great #podcast btw! Question from NOVIX -  I have read some material related to pairs trading for equities and I understand the process of finding non-stationary pairs price series that can be co-integrated to form a stationary series. The basic idea being to trade on the oscillations about the equilibrium value of the spread. While I understand how this is accomplished with equities, I am not sure how suitable implied volatility pairs on equity options are