Volatility Views

Volatility Views 123: VIX Roars but VXST Whimpers Volatility Review: The week in vol VIX: Russia sends tanks into Ukraine and volatility skyrockets Volatility plummeted after US involvement in the Middle East. CBOE stock as a hedge. VXST: Big moves in only 24 contracts. Why is this product not catching fire? VIX options: Settlements coming up soon. Metals: GVZ dropping earlier this week, but taking a spike recently.     Volatility Voicemail: Listener questions and comments Question from Lawrence - You were discussing if straddle prices exceeded earnings moves on your last show. I use software called "LiveVol” that has data for the trailing eight quarters, that shows this data for every company for the first and second expiration. It also shows implied vol crush for the first and second expiration. Their software is amazing. I like to sell iron condors before earnings to get short Vol. I usually use unbalanced condors with a short delta. I feel the underlying moves down for often and more violent. If t

Volatility Views 122: Goldman Straddles and Buffett Puts Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions: 273,733 .VIX Aug-14 16.0 C, chg +7148 262,146 .VIX Sep-14 19.0 C, chg +1029 221,559 .VIX Sep-14 21.0 C, chg +24 VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio RVX OI: 591 Goldman analyst events study http://www.docstoc.com/docs/158693818/Goldman-Sachs from Trading-Events-Analyst-days. Studied 3,700 analyst days from 2002 to 2012. Twice as positive for stocks vs average day. Analyst days are more significant if held far after earnings. Checking in on Warren Buffett’s equity index put trade by Russell Rhoads, CFA. Volatility Voicemail: Listener questions and comments Question from Rueben Brooks -Listened a while back to a show you and Jared did talking about N. N. Taleb and how you were surprised that, given his long-gamma leanings, he would short the ATM straddle. I found this interview

Volatility Views 121: Something Is Odd with Volatility Skew Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this week.     Volatility Voicemail: Listener questions and comments. Question from TiklenIvory: What is the best way to short VIX? Straight up VIX puts, or go long XIV? Question from James Forrest: I liked the conversation regarding straddle volatility going into earnings. I agree that there should be more research into this area. Jared, I would happily add my $5 to the mix, if that will spur you into action. If you had to guess right now, what percentage of Fortune 500 names do you think outperform their straddle in any given quarter? Question from Eligo: RE: Straddle debate from episode 120. Should any straddle research into earnings incorporate dynamic hedging into the results? For example: If the underlying does not net outperform the straddle, but there are multiple opportunities to dyn

Volatility Views 120: Breaking down Earnings Straddles Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions   245,725 .VIX Aug-14 15.0 calls 241,232 .VIX Aug-14 16.0 calls 238,364 .VIX Sep-14 19.0 calls Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable following recent volatility hovering around 14%.     Volatility Voicemail: Listener questions and comments Question from Nick Snow - Figured this would be a good place or at least the right place for this question. What is implied vol? I mean to ask for a stock we just get one number but every strike has a different IV so when we get one is that the average of the smile or is it the ATM straddle vol? Seems like I should know this if I am trading it. Question from Mr. Higgins - Dear volatility viewers - the Proshares Ultrashort VIX (UVXY) hit a low in June. I though the spread between VIX cash and UVXY would continue to

Volatility Views 119: Craziest Week Ever Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX takes big jump on Ukraine, Middle East worries. Set against another Malaysian Airlines crash and rising Middle East tensions, the VIX had its greatest jump in more than a year on Thursday, closing at 14.54, up 32.18%, this represented the VIX's greatest rise since April 2013, reported Bloomberg. Gold jumps 1.5% after plane crash. GLD options breakdown: 2.1 calls to puts, Aug IV - 14%. Has been mostly hovering around 12% recently. Malaysian crash wreaks havoc on wheat futures market.  Volatility Voicemail: Listener questions and comments Question from George: I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF can be better indicator to make sure where the SPY, so the most assets, head. How do you use these indica

Volatility Views 118: The VIXFather Turns on His Creation Volatility Review: VIX Cash: the week’s range was 11.01-13.23. Thanks to concerns about Portugal's banks repaying debt, Europe's VStoxx Index and the VIX jumped on Thursday. Will earnings season usher in volatility? VIX Options. VXST Options. SPX Skew. Robert Whaley, the inventor of the CBOE Volatility Index, or VIX, warned that investors are not getting what they pay for when they buy volatility-linked products. Mr. Whaley, now a professor at the Vanderbilt University Owen Graduate School of Management, addressed the issue of their effectiveness on Thursday at ETF.com’s Global Macro ETF Strategist Conference in New York. Volatility Voicemail: Listener questions and comments Question from Morgan Shebanek - Owwwwww!!! Just downloaded the mobile app. Pretty nifty even if it is redundant as all pertinent episodes are automatically put into my Podcast Que. Enjoyed the latest episode and yes I can attest as to the accuracy and timeliness of your "Vol Call"

Volatility Views 117: Getting Your Face Ripped Off By Vol   Volatility review: VIX cash had a range of 10.92 - 12.51 last week and has been on an uptrend for most of the week. A look at VIX futures. A riddle from Don. VXST, RVX options. Gold/metals vol: GVZ range of 12.64-13 last week. General downtrend in gold vol after sharp spike the prior week   Volatility Voicemail: Listener questions and comments Question from One of the Men ‏@optionideamen: @Options VXX going to collapse into the 4th of July holiday. Buy the 7/11 28p.  Winner.  U can thank me later.  Freebie. Question from Atlantan - I find the topic of volatility ETPs and their net impact on volume in the primary products very interesting. When products like VIX futures were conceived the notion of retail trading those products was inconceivable. To say nothing of retail oriented VIX products like VXX and others. But it seems like these products are the big drivers of volume these days. I might even go so far as to say they are essential. Do you agre

Volatility Views 116: The Mystery of Gold Volatility Futures   Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew predicted this not too long ago. Top OI Strikes: July 13 Put - 416K, July 16 Call - 385K, July 20 Call - 371K & Sep 19 Call - 261K.  RVX: OI still hovering around 5K contracts. Janet Yellen torpedoed a key catalyst for market volatility, characterizing the recent inflation data as "noisy".  GVZ jumps 20% in one session. Oil volatility returns on Iraq fears. Currency volatility plummets.   Volatility Voicemail: Listener questions and comments Question from J. Ingraham: loved the discussion of GVZ on the network this week. I’m very intrigued by this product. Like Mark said, GLD and VIX should be two great tastes that taste great together. Yet this product does no appreciable volume. I’ve tried to trade this several times but the lack of volume and terrible spreads kept me ou

Volatility Views 115: VIX Says Poo to You Volatility Review: VIX cash broke the 11-handle last week while we were recording, but it has since rebounded over concerns in Iraq. VIX futures started to see some backwardation creeping into the curve last week. Is that still the case this week? The death of volatility forces traders to get creative. The Economist asks "Is this the calm before the storm? Bank of America's market risk index falls to lowest level since 2000. Iraq concerns spike crude price and volatility.   Volatility Voicemail: Question from Indigo Blue - What’s up with gold volatility? The contract is selling off like mad and yet volatility is at near record lows. I have been taking advantage of this opportunity to load up on some GLD premium, primarily verticals. I have also been think about ratio/repair trades in the gold futures options. Thought on this crazy gold volatility environment? Question from VIXinator - Do you think this is a good environment for a cheap VIX vertical - maybe Jul 16/20 C

Volatility Views114: The VIX Is Dead. Long Live the VIX. Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap? VIX and VXST options. New volatility ETFs launch. Gold volatility hits 14-month low.   Volatility Voicemail: Listener comments and questions. Comment from Angelthorn - Great show last week guys! Finally people not afraid to stand up to the "VIX is cheap" hype machine and back it up with some data. I am join to sell some Vol in your honor. Question from George - I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF is a better indicator to make sure where the SPY and indeed most assets are headed. How do you use these indicators together for your work? I would use other indicators too, such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George Qu

Volatility Views 113: Fighting Low VIX Hysteria Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine CBOE indexes.   Volatility Voicemail: Listener questions and comments Question from Jim Charles, Lexington, KY - I know your recent guest Euan Sinclair downplayed the VIX call/put ratio as being due to systemic issues with the products, but that indicator has only risen since that episode. Leading me to believe there is something to it. Where do you guys stand now on VIX call/put? Are we poised for a pop or is this just the result of the CBOE beating the mean reversion drum back to 20? Question from Annabelle Schmidt - Your guys profiled a sizable VIX vertical call spread in the September expiration cycle. Mark mentioned that it might be tied to an OTC variance trade. Is there any way for customer to get more information on that dark portion of the volatility market?

Volatility Views 112: How Low Will It Go? Volatility Review: VIX cash broke the 12 handle - drifted to a low of 11.68. Is the VIX in a deep sleep? Or has it permanently changed? Is low volatility here to stay? India VIX slumps post-election. Volatility Voicemail: What do you want to know?   Question from CNans - Gamma vs. Vega scalping - You have discussed gamma scalping on early episodes, as a way to pay for long volatility positions. Is it not also possible to scalp vega by legging into spreads intraday? Or is scalping a particular activity linked to gamma trading? Would it be possible to do a show entirely devoted to listener questions? That is my favorite part of the program because I always learn so much from your answers. Comment from Sly @sportsmentalist: Hey Mark, really enjoyed the Vol views episode with Sinclair. You should do more quant oriented episodes

Volatility Views 111: Volatility Trading   Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading.   Volatility Voicemail: Reader questions and comments Question from SoloHan - Great show! Just discovered it and I am working through the back catalog as we speak. I just have one question so far, and I apologize if you have covered this in the past. I am an avid VXX trader. It’s a core component of my portfolio along with SPY and FB. I have heard Mark dismiss TVIX in the past as only for very short- term trades and if you by-and-hold VXX, you will lose money. Can you explain this please? What am I doing wrong by investing in VXX? Thanks again for this insightful program. Question from Sea Shanty - Can you please explain the difference between RVX options and IWM options? Are they not both ways to trade Russell volatility? Luv the show. Mark is a great host and Jared brings that rural Virginia sensibility to volatility. Keep ‘em com

Volatility Views 110: Is Volatility Dying?   Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility. Volatility review in other asset classes including: ags, metals and fixed income.   Volatility Voicemail: So many questions! Question from Allan S - I hear a lot about gamma scalping on the network.  But what about volatility scalping. Isn't that really what you're doing?  Aren't most options traders really volatility traders? Thank you for clarifying.  Question from Jim Thompson, New Mexico - What does the volatility panel think of flash boys - particularly as it pertains to Volatility.  Are these same players active in derivatives and, if so, are they causing our exacerbating volatility?  Great show Mark.  Jared has been an excellent addition to the team.      Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.

Volatility Views 108: VIX & More with Bill Luby   Volatility Review:  Today’s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today. An aggressive selloff boosted volatility across the board. VIX Futures are catching bids as well. VIX options activity today: 4/1 calls over puts. Is there any sign of life in VXST? India VIX reaches record highs. Kospi 200 volatility index hits record lows last week.   Volatility Voicemail: Panels for advisors, volatility re: valuations, earnings, scanning tools, and more. Question from Sanjay Patel - I have to agree with the hosts regarding the discussion from episode 104 regarding VIX ETPs and RIAs or family offices. I have been active in the advisor community for several decades, following all of the latest research and attending many industry conferences. I have never encountered a single study or panel devoted to this issue or a fellow advisor who utilizes these products.

Volatility Views 107: Another Day, Another Selloff Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol preview.   Volatility Viewpoint: What was Russell’s take on RMC this year?   Volatility Voicemail: International VIX? Question from Vegaman - Great podcast. Love the recent rundown of RMC since I’m never able to attend the show. My question - do you know if any international versions of the VIX are in the offing? You’ve discussed the India VIX on previous shows but that seems to be the only non-U.S. version that gets mentioned. Thanks to the folks at Russell for making this great show possible. Oh - and I’m streaming the show while submitting this question from the mobile app. Very cool.   Crystal Ball:  An outlook of VIX

Volatility Views 106: HFT and Volatility Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared to the first quarter of 2013.   Volatility Voicemail: You direct the conversation Question from George - Big fan of the show - been listening for years. I think Jared is a great addition to the panel. There is a lot of talk about HFT firms manipulating stock markets in the wake of the Michael Lewis book Flash Boys. I have seen lots of talk about price manipulation, but I keep coming back to all of your discussions on Volatility Views, and it makes me wonder - why is no one talking about volatility as it relates to HFT? Are the firms adding volatility to the marketplace? Could these firms be responsible for a lot of t

Volatility Views 105: Happy Anniversary, VIX! Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility. Volatility Voicemail: Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you have provided, so for that I thank you. I am confused however about a situation I am seeing. I have a position in the VIX, where I bought the Nov 15 put for $0.80, with the underlying at the time of purchase listed at around 1,650. Today the underlying has dropped to around 1,300+, but the option is only trading around $1.30. It seems that the option should be worth more than that because it has about $2 of intrinsic value. So in theory, could someone with a large account just buy a few contracts, exercise them immediately, and sell the underlying on the open market for a huge profit? Thanks for clearing this up for m

Volatility Views 104: Revisiting Risk Management Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper.   Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend.     Crystal Ball: An outlook for VIX, RVX and VIX ETPS.

Volatility Views 103: The Russian Ripple Effect Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours.  Volatility Voicemail: What do you want to know? Question from Charles Engel - Is there any way to buy and hold VXX without paying the inherent roll risk? Comment from IfThen - Bitcoin cut in half after Mt. Gox - talk about volatility! Question from C-Bug - Are there any products on the horizon that you think can dethrone VIX from the volatility throne? Vol Dex? Question from Tom Wills, Eugene, OR - I remember you discussing a VIX call strategy that could out-perform direct SPX put spreads on an older episode, but I'm not sure which of your 100 episodes it was. Please help!  Crystal Ball:  An outlook for VIX, RVX, and other VIX ETPs.