Volatility Views

Volatility Views 82: Scalp Gamma, Trade Vega Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect. The Mail Bag: So many questions! Question from Tim Ross: I’ve heard the hosts refer to "scalping gamma" before on the program. What does that mean and should I be doing that in my own trading account? Question from Nitin Gulati: Mark, Volatility Views is the best educational show in world of options trading and education. No one could have assembled such a great team of hosts. Don often refers to “vol of vol” in his comments, but how can this serve as a useful tool in a retail trader’s arsenal? On second thought, we often use vol cones to understand how realized vol is at lower levels on some individual names, as well as indexes. If implied vol is priced in lower further out, doesn't that mean the market is pricing a muted move in the future? How would a trader differentiate if he only wants vega, since gamma might not be cheap? Question/com

Volatility Views 81: Capturing Volatility Premium Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so.  If there is any edge, it’s in March VIX futures. Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses: His paper, Capturing Volatility Premium through Call Overwriting (http://www.russell.com/US/insights-research/capturing-the-volatility-premium.aspx) The ways to capture the volatility differential between realized and implied Quantifying the term “overwriting” Findings that overwriting can outperform the S&P 500 in the long-term How the message is being received by the retail audience How the paper quantifies the impact of the roll on weekly options and when the best time is to do so  Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.

Volatility Views 80: The Listeners Take Over Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else.  Listener Mail: Our listeners are keeping us busy with questions. Question from JoJo - I love the show! Have you thought about bringing on a CTA? Question from Justin Deveroe - Can you walk me through a few potential use-cases for a NASDAQ vol contract? I like the show and I'm intrigued by the idea, I'm just not sure how to trade a product like that. Question from Little Tim - Why do you think GLD is "underperforming" right now from a volatility perspective? SLV seems to be stealing all of the thunder in the volatility realm these days.Question from Theodore Grey - I enjoyed your recent shows featuring financial advisors, but I found the reticence of many advisors to even implement basic hedges very troubling. Why do you think so many advisors and asset managers lack even basic knowledge of vola

Volatility Views 79: Derivatives Strategy ConsultingVolatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low?  Will VIX have an 11-handle by next week?Volatility Viewpoint: Today's guest is Mark Shepherd, Founder of DSC, Derivatives Strategy Consultants. He discusses what types of structured products his firm offers, how he advises clients in a low volatility environment, and how he hedges his clients.   The Crystal Ball: What will juice volatility in the coming weeks? The metals remain the last bastion of volatility in this market.

Volatility Views 78: Making Money in Spite of Yourself Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Implied vols, as measured by VIX, are currently at the same level as 21-day realized S&P vol, but are still overpriced with respect to shorter, 10-day realized. Listener Mail: Don, Mark, and Mark dive into the listener mailbag. Email question from Neil Ducat: I like the discussion of commodity volatility on your recent episodes. Are there any plans to include a regular commodity vol update in your Vol Review segment? Email question from Tim S.: The commodity discussion on your recent episode was illuminating. I would like to ask your opinion on this: Given the success of commodity options and futures, why haven't commodity volatility products (like gold VIX, etc.) really taken off and captured the imagination of the investing public? Twitter question from Mr. Auto: With Apple and other recent names blowing through their straddles post-earning

Volatility Views 77: Volatility from a Wealth Advisor Perspective Volatility Review:  Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a very long-term historical viewpoint. NASDAQ volatility has been moving roughly the same as S&P. Volatility Viewpoint: Today's guest is: Randy Swan, Co-founder of Swan Wealth Advisors. He discusses: Overlays How, as a wealth advisor, he tailors strategies How he incorporates volatility and volatility levels into his strategies How he hedges the S&P 500 How he feels about some advisors still clinging to outmoded traditions And more Crystal Ball:NASDAQ and S&P outlook. It seems like the one thing we were looking for to juice the market and give us some vol in the near future has been taken away from us -- hence the massive selloff.  

Volatility Views 76: Commodity Futures and Volatility Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review. Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of Trade. He discusses strategies to use going into crop reports, skew, volatility arbitrage, the impact of one commodity on another, the impact of weather, and more. Crystal Ball: NASDAQ and S&P outlook. It looks like it might be more of the same with little vol movement. We're stuck in the mid-winter summer doldrums.

Volatility Views 75: New Year, New Questions Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review. Mail Bag: Keep those questions coming. ·       Tweet from Southbay Trader: I especially like Volatility Views! ·       Tweet from Billmoo: OIR - Top Financial Podcast of 2012! ·       Email from Allen Jacobs - Danbury, CT: Can you guys talk about dispersion trading? I've heard that term quite a bit recently. I think it has to do with volatility trading, but I'm not sure how or why, but I think I've turned to the right people for help. Thanks for your show Mark, it's a big help to people like me, who aspire to one day be volatility pros like you guys. ·       Tweet from Leroy: Why weren't people aggressively shorting vol pre-cliff deal like the debt deal? ·       Email from Anonymous: I run the vol book at a local shop. I found your show about Mr. Black Swan very illuminating.

Volatility Views 74: Digging Deep into the Listener Mailbag Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff." Listener Mail: So many questions for us to answer. Tweet from Doc Hudson: What is your pick for volatility trade/product/development of the year? Tweet from Man of Steel: What do people mean by “selling or buying skew”? What are those trades? Tweet from VIXen - Why are iron condors so hot right now? Seems like everyone is selling them these days no matter the vol landscape. Email from Sam Felis: Why are the front-month VIX futures trading above the cash right now? I need the Vol Views pros to explain this to me. Tweet from Sam Dash: Don -- sell or don't sell vol in 2013? Give me your thoughts? The Crystal Ball: What can we expect to see in 2013?

Volatility Views 73: Once More unto the Black Swan Breach Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol. Listener Mail: Back to Black Swans. Comment from Asymmetric Risk: According to Don, Nassim will lose money over the long run because the out of the money options he buys have a higher implied volatility than the close to the money options he sells. Since he is paying a spread, Don thinks this is a bad strategy. Far be it for me to disagree with Don, but speaking for Nassim (and I feel confident speaking for Nassim because I've had dozens of conversations with him on this exact topic) Nassim would agree he is paying a spread but the spread between ATM and OTM options is systemically underpriced. Nassim's strategy is based on his belief that asset prices are not normally distributed -- the bell is flatter and the tails are fatter. So options markets overprice one standard deviation ri

Volatility Views 72: Closing the Book on Black Swans Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week.   Listener Mail: Mark, Andrew, and Don answer listener questions. Comment from Teddy: This is a great article. I really hope you guys discuss this on the next episode of Volatility Views. I'm curious about this new low vol VIX. What is the point of it? Comment from Oscar (about Woodard's article): This is a good article, and given the last episode of Vol Views, this is very timely. When are you going to have Condors Options on the show? It seems like they would fit nicely with Mark, Don and Mark. Comment from Asymmetric Risk: I've never read any of Nassim's books, much less his research. However I've probably traded more options with him than any of his counterparties, going back to the 80's when we were the two most active currency options traders globally. I would des

Volatility Views 71: Condor Options Takes on Black Swans Volatility Review: Near-term vol of vol has been extremely low of late. NASDAQ and S&P vol review: over the past two weeks vol has been almost unchanged. How has our frame of reference for vol changed?    Volatility Viewpoint: Today's guest is Jared Woodard, the founder of Condor Options. He discusses his recent article about volatility and black swan events. What was the response from Taleb? A major bombshell is dropped. Plus, Jared also gives his take on volatility risk premium.  The Crystal Ball: The fear of the weekend. What could happen with "the fiscal cliff"? Here is the link to the article on Condor Options' website.

Volatility Views 70: Stop Worrying about Black Swans Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol. Volatility Viewpoint: Some interesting topics emerged from this week's global derivatives conference:  Is vol cheap? When VIX cash hit 13.5 this year, the cost of the six-month hedge was the same as the day after Lehman defaulted. VIX ETPs are problematic, part 1: They are not very adaptable to new volatility regimes. VIX ETPs are problematic, part 2: In the last 15 minutes of the trading day, VIX futures are far more volatile than VIX or SPX themselves, indicating the impact of these structured products on seeking alpha and roll yield. Is too much tail risk priced into the market? S&P puts and VIX calls are priced as though black swan events are imminent and occur with alarming regularity, as opposed to being the rare events that they truly are. Implied vs. realized volatility premium: Implied volati

Volatility Views 69: Unlocking the Secrets of the Vol SurfaceVolatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol.Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed products.Crystal Ball: We are hoping for a major announcement, any day now, concerning VolX.  Stay tuned. Assets with inelastic demand and sensitivity to the US dollar will rally.

Volatility Views 68: The Dark Art of Futures OptionsVolatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol.Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels.The Crystal Ball: NASDAQ vol going into the big numbers tonight ahead of AAPL earnings. How will earnings affect realized vol? All the big tech names are outperforming. Looking ahead to S&P vol.

Volatility Views 67: VolContract Futures Overlays: The Holy Grail? Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th. Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of VolContracts in conjunction with an equity portfolio.  The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.

Volatility Views 66: A Week without VolatilityVolatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week.Listener Mail: Our listeners drive the bus for a while Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER) Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX is underperforming? (Via Tweet from @XZTON) Does VolX have any plans to launch any realized volatility products on commodities such as ags, metals, etc.? Thanks and keep up the great work. (Via Email from Sid K., Des Moines, IA) What do you guys think of Apple call verticals here? Does Apple skew make buying them more attractive going into earnings? (Via Tweet from @Duncan6) Why is NASDAQ historically a more volatile index than the S&P500? Is it simply because it contains more tech stocks, so that generates more volatili

Volatility Views 65: Contango Tango   Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ.  Volatility Viewpoint:  Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more.  Crystal Ball: Don't expect much to happen in the next week or so. Non-farms and the VP debate upcoming.

Volatility Views 64:  Missing the Fat, Juicy Puts of YoreVolatility Review:  Looking back at a four-day time horizon.  At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 13.Volatility Mailbag:  The team lets the listeners steer the conversation. Email from Michael: "Does volatility play a role in dividend exercise/assignment? Is Vega a major factor in most dividend scenarios?" Tweet from Ian K: "Can you talk a little about commodity volatility skew? Why is it so different than equity skew?" Facebook question from Christian Garcia: "Is it worth it to be stuck on the screen all day with regard to gamma scalping? Does Mark Sebastian's formula (pay-to-the-decay) work on futures options?"

Volatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fighting a losing battle because our head tells us we are right when everything else is telling you otherwise. It really highlights the need to follow a plan, stick to you risk reward no matter what happens and act like a robot with no emotion when trading. Regards, Lee" Facebook Question from Tom Sevens: “You guys are always talking about the implied volatility premium vs. realized. But it seems like implied vol is always priced at a premium to realized, so is there ever a reason why anyone would want to do the opposite trade