Volatility Views

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.

Volatility Views 91: Historical Lows Volatility Review: Realized volatility plummeted. NASDAQ sits at 12.06 and S&P is even lower at 10.01. Don and Mark Sebastian called it. Listener Mail: We answer listener questions. Question from Jackson Engles, Garden City, NY: When you are analyzing historical volatility, what time frame is most relevant?  The past 30 days? The past three months, six months, etc.? What do you focus on in your analysis Question from Timothy VanAllen, Baltimore, MD: I hope Mark didn't lose "the Voice of Options" at his unusual activity event. I couldn't make that one, but if you guys end up doing a Vol Views 100 live, I hope to be able to attend. My question has to do with vol skew. We hear a lot about the vol smile, but nothing really exhibits it. Can you guys think of any underlyings that really spike from a volatility perspective once they move away from the ATM in either direction? Question from ATL16: Dollar/Yen is crazy lately. What's a good source for FX vol info or analysis?

Volatility Views 90: Sell or Sell Not, There is no Buy. Volatility Review: The dollar hit a historic level with the Yen last week, and this has had an effect on the currencies Vol. The inversion of realized volatility, where it's higher than VIX, continues -- a rather unusual occurrence.  Volatility Viewpoints: Dennis Chen. He is the co-author, along with Vol Views's own Mark Sebastian, of The Options Trader's Hedge Fund.  Listener Mail: Comment from Hawkeye: In honor of May the 4th, "Buy not, sell or sell not, there is no buy." - from Don "Yoda" Schlesinger. Thanks to all the volatility masters for such a great podcast! Question from Mr. Todd: I found Mark L's comment about VXX being the #3 exchange traded product quite surprising. You guys have slammed that product frequently on this program. Why do you think it has succeeded among the entire universe of VIX ETPs? Thanks for the greats shows - when Mark "The Voice of Options" speaks I listen! The Crystal Ball: This curious situation with VIX really th

Volatility Views 89: Moving in Lockstep Volatility Review: Market up 1% after some surprise news from the non-farms report -- better than expected. We had a unique week where the market was up and VIX was up as well, for 4 days in a row! Listener Mail: Mark and Don take your questions. Comment by AsymmetricRisk on the Value of Gamma episode: Best Vol Views ever, by far, full of actionable insight. A whole new level for Vol Views. Keep up the good work. Question from Hawkeye: I just picked up Mark Sebastian's book The Option Trader's Hedge Fund. I am looking at the example where he uses a double diagonal, then "weights the vega." I understand why he wants to weight them, but I don't understand where he got the actual weight values he used from. Can anyone help? Thanks. Question from Tom B, Houston, TX: Hey Vol Viewers - My question is for Don and Bob from the Volatility Exchange. With the recent crash at the CBOE, are you guys at VolX at all concerned about putting all of your eggs in one basket when it

Volatility Views 88: Reestablishing the Norm Volatility Review: Vol has spiked in the last week, going nearly as high as during the Italian elections. CBOE computers go down. How does the inability to trade VIX affect the overall markets? Listener Mail: Mark and Don will take your questions now. Question from Phil Z. - Mark, love the show! Could you explain what you, Don, and Mark S. mean when you say VIX has "roll risk"? Question from Tom S. - Do you agree with the theory of your guest that near-term S&P OTM puts are the most resilient to time decay? The Crystal Ball: VIX should stay high for a while, but will not go above 14%.  

Volatility Views 87: It All Comes Down to Timing Volatility Review: The VIX shot up at the beginning of the week, but was selling off by the end of the week. There was a broad vol story happening this week, particularly in the commodities with gold vol spiking 500% over two weeks.   Volatility Viewpoint: Bob Krause discusses the RealVol Index, available at VolX, which features nine daily indexes. Bob also talks about how a real-time value can be calculated from a daily value.   Listener Mail: Tell us what you want to know. Question from Blake M, Troy, NY: If I trade bullish risk reversals, does the volatility premium give me an inherent advantage over collar/bearish risk reversal trades?  Question from Mitten, Toronto, ON: When does VolX plan to launch a RealVol contract on commodities? I think a metals contract would be very popular and profitable for the exchange. Question from Mike P: Mark, are you aware of any research, or can you bring on any guest to discuss to the performance of at-the-money s

Volatility Views: The Value of Gamma Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver.  Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as money flows in from Asia. Lowest realized vol in Gold was charted in early April, with vol spiking ever since. Vol of vol is around 170, and is likely going over 200.  Volatility Viewpoint: Today guest is Shreyas Chari, Principal at Satwic Capital Partners. He discusses gamma and its relative value in the marketplace, as well as other aspects of volatility. The Crystal Ball: Weekly options are becoming more efficiently priced.

Volatility Views 85:  Responding to Great Listener Questions Volatility Review: It is somewhat surprising to see how little the recent European crisis has impacted the VIX. Perhaps the market over-reacted to the news in Cypress. NASDAQ 21-day realized volatility is below that of the S&P. Listener Mail: Keep those questions coming in. Question from Jim Petchi: I have been listening to Volatility Views for a while, but I still do not understand how the volatility of a specific option relates to the probability of the change in stock price. Does the implied vol of a specific option (like AAPL today at 443, with a April vol of 29%) mean that AAPL has a 29% chance of making a one standard day deviation move, which is 67%, in that time frame? If not, is there some way of relating the implied vol with probability? Question from A Heiner: (in reference to "Risk Reversals Trade BPI" an unusual activity article) What does this mean? I apologize but I do not understand the market and what this says about the futur

Volatility Views 84: May You Live in Interesting Times Volatility Review: We are back after a short break last weekend. Most major indexes have reached near-record lows highs.  As a consequence, because of the inverse relationship, volatilities are extremely low.  Could this be the norm going forward? Is there a line drawn in the sand with options' implied volatilities? Listener Mail: Our team tackles your questions. Question from Phil Fan: Do you ever plan to host a live recording of Volatility Views? If so, when and where? Please put me on the list. Question from Tim Moore: The host frequently says that vol traders don't understand basic math. What does he mean by that? Question from X64: Are there any good tools out there that show up-to-the-minute, even intraday, realized volatility? Question from Aston Meyer, Brooklyn, NY: I enjoyed your recent show with Randy Swan. However, do you really think it is realistic for a client to expect his financial advisor to have a working understanding of volatility,

Volatility Views 83: Check Your Levels Volatility Review: We had quite a roller coaster week in terms of implied and realized vol. The importance of vol of vol has been showcased. Listener Mail: We have a huge mail bag today. Question from Big Ned: Is it possible for an options trader to ever truly be flat, aside from closing his positions? Question from Alex Gumble: How do market makers manage their volatility exposure when everyone else in the pit (or bin) has the same position? That seems like a difficult prospect. Question from Mikhail, Ukraine: Why do I need to worry about Vega? I only sell strangles and iron condors. The risk is clearly defined. If price is good, I sell. I price is not good, I don't sell. It’s very simple. Question from Nix01: I liked Mark's article "VIX Activity - Hedge or Sign" from 2/27. Can he elaborate on the show? Comment from Rich@PinProjects: Rule of 16, nice one! Thanks @Options #Volatility. Question from Talos_A: Insider trading has been making many headlines. Do you feel su