Volatility Views

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.

Volatility Views 102: What Is a VIX Covered Call   Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week.  May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hit record heights. More "showshine boys" from Chris Cole.   Volatility Voicemail: Question from Bryan Tong - When will we get VXST options? Soon? Question from Enten - If I buy and write VIX calls against it, is it technically a covered calls? Will my broker recognize it as a covered position? Question from Declan Smith, Dublin - Why do so many people buy VIX calls to hedge their long premium SPX-SPY positions? Do they not know that they are already long the implied volatility of the S&P - aka VIX? If anything they should be selling those calls or buying puts. Question from Tim J. - What is the settlement process

Volatility Views 101: Buying Vol at Any Price Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options.   He gives an overview of the Vol Tracker and global map of implied volatility. Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price". Discusses his your take on what we have been seeing recently out there in the world of natural gas volatility What he’s been seeing in the realm of currency. Reviews how the premium levels in different emerging markets have changed since he wrote your piece "Emerging Market Confusion". Volatility Review: Vol in the 20 range. Is this a long-term average? Will realized volatility catch another tail wind? The plethora of VIX products - Is it still a reliable index?   Crystal Ball: An outlook of VIX, RVX and other vol products/indexes.   

Volatility Views 100: Volatility Tourists and Shoe Shine Boys   Volatility Viewpoint:  This week’s guest is Chris Cole, Managing Director at Artemis Capital Management.   They discuss: How he incorporates vol into his trading? How he defines a low vol market? His feelings about VXST? Volatility Review: The first week of VXST. The long term Jan 30-40 put spread that went up this week. Was that risky? Playing the wait and see game with RVX.   Volatility Voicemail: Question from Neil Higgins, Birmingham, UK   What impact, if any, do you think the entrance of China into the options market will have on volatility? Will it spawn a whole nation of VIX call buyers? Also, what is your view on the performance of the India VIX vs. S&P 500 VIX? Is it a better barometer of market volatility since it does not have all of the ETP baggage that bogs down the US VIX? Mark if you ever take the show on the road to England, let me be the first to offer to buy you a pint. Great stuff all around. Crystal Ball: What is there o

Volatility Views 99: Debunking BXM vs. PUT Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index.  They discuss: How he got involved in creating the put-write index with he CBOE  What the response has been to the put-write index Why he thinks the Put-Write remains in the shadow of BXM Why he thinks commodity-based volatility products like GVZ, etc. have failed to take off in the marketplace His take on the recent move in nat gas and the volatility levels out there Volatility Review:  VIX options are on fire lately, with an ADV of nearly 700k contracts recently. Still heavy interest in calls (2.4/1 calls to puts), but nowhere near as strong as it was a few weeks ago when it hit nearly 3 to 1. Realized vol is still beating implied vol, but the gap is closing.  As with VIX, the bulk of open interest in RVX is in the calls. Volatility Voicemail: The vol experts will take you

Volatility Views 98: The Rise of Short-Term Volatility Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course.  Volatility Viewpoint: Our guest today is Jay Caauwe - CBOE Futures Exchange. Hot on the heels of two new records: 2013 was a record year and January was another record month. Are you still on-track for a Feb 13 launch for VXST? What about the options? What has the response been to the extended VIX hours? What has the customer response been to RVX so far? What use cases are you seeing for it? Any other Russell volatility products on the horizon? Crystal Ball: An Outlook for VIX options/futures, RVX & ETPs. 

Volatility View 97: Consulting Volatility Volatility Review: So much for single digit VIX cash in Q1. VIX options call/put nearly 3 to 1 right now, hovering at record size. People still loving VIX upside - size open interest all the easy up to the Feb 60 strike. Current RVX open interest at 2700 contracts, traded 250 lot yesterday, the zealots are out in RVX. Volatility Voicemail: Comment from Jason Ungar - Hi, Mark: I hope you are well. I just heard your (latest, I think) podcast which included a question about the PUTs consistent outperformance of the BXM.  I know you wanted to look into this, and I think I may be able to help.  While it is tempting to ascribe the differential to the PUTs puts carrying a higher IV than the BXMs calls, there is almost invariably only a 5 point spread between the two option's strikes, and this is too narrow to capture any significant amount of skew.  The actual reason for the difference is a bit more complicated and has to do with the indexes' settlement methodologies. As I

Volatility Views 96: Harvesting Volatility Risk Premium Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse? Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments. They discuss: Short volatility strategies & framework An update on the call overriding portfolio Why does a volatility risk premium exist? Is volatility an asset class? What are alternatives for managing portfolio volatility? Strategy construction techniques for harvesting volatility risk premium Will implied volatility underperform realized volatility in the coming months? What are some favorite tools/products/techniques for capturing implied vs. realized? How does the volatility premium in products like RVX differ from traditional S&P volatility products? The ideal use case for a volatility product like VIX/RVX? Crystal Ball: Weak China, Argen

Volatility Views 95: When the Crazies Emerge Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February. The 2013 numbers are in: VIX futures 2013 annual ADV - 159K - Up 67% from 2012. VIX options 2013 annual ADV - 567K - Up 28% from 2012. SPX options 2013 annual ADV - 823K - Up 18% from 2012. Volatility Voicemail: What questions do you have for us? Comment from nrlbuild: Great to have Volatility Views back on the air...but what about Don Schlesinger? Breakin' my heart man! Keep up the good work, Ned Question from Greg: I'd been looking at the CBOE's Put-write vs. Buy-write strategy that rolls the ATM monthly options short. On the surface it appears the PW outperformed with less volatility over the last 25 years. It appears the PW outperforms over longer periods because any or all of the following: 1)    Investors have overestimated future dividend payments 2)    Investors have overestimated future interest ra

Volatility Views 94: We Are Back! Volatility Views is back from hiatus and in this episode, Mark is joined by Mark Sebastian and Pat Fay, Director of Listed Derivatives, Russell Indexes Volatility Review: RVX options and futures are back.  Why bring them back? What’s unique to the RVX relative to the VIX? An overview/analysis of all the recent trading activity in VIX options and futures as well as VIX-related ETPs. Volatility Voicemail: What Do You Want to Know? Comment from Mr. Inc.: @Options Great to see that Volatility Views is returning to the schedule. My fav show. Cannot wait to hear it again. Question from Joseph Hill, Spokane, WA: Great episode with Russell Rhoads from the CBOE. I hope Vol Views will be back on a more regular basis going forward. I also have a question about vol trading. I like the idea of VIX options, but I am not heavily invested in S&P 500 stocks. I think something like the NASDAQ VIX for my tech portfolio and Russell VIX for my small cap. My question is - Are these products

Volatility Views 93: Returning in Style Volatility Viewpoint: Mark’s guest is Russell Rhoads, Senior Instructor, Options Institute.  What does The Options Institute do? What is your opinion on the massive influx of retail traders into sophisticated institutional products like VIX options? What is your opinion on this new shorter-duration VIX products? Volatility Review:  Last-minute hedging activity in the broad indices ahead of the shutdown attributed to a short squeeze in volatility. Did the aggressive selling activity prior to the deadline a surprise to you? We are seeing some backwardation in the near-end of the VIX curve right now - a rare occurrence. How will weekly VIX change the marketplace? Listener Mail: What do you want to know? Question from Endzone - Will the sing name VIX products ever see the light of day Question from George Santiago, San Diego, CA - I love the volatility views program and am looking forward to its return. Mark, Don and the gang put on a very informative program. I wold like

Volatility Views 92: Zero Sum Game? Volatility Viewpoint: We shake it up a bit and discuss the biggest news of the week first, namely the New York Times article, "Growth in Options Trading Helps Brokers but not Small Investors." The Crystal Ball: We discuss the future of Vol Views itself. A short summer hiatus will cover the rest of June, but we're hoping to be back in July with a new and improved format, more voices, new segments, but the same Vol Views you know and love.