Volatility Views

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

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.