Volatility Views

Volatility Views 35: Aggressively Selling Volatility in the New Year Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures--how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year. Mailbag: Best method of volatility measurement? "I've just found this show on iTunes and I find it very enlightening. Thank you for producing a quality show on this topic. I'm relatively new to options and I'm looking to do some basic modeling to get a better handle on options pricing and performance, but I'm hung up on which volatility measurement to use in my model. Close to close volatility certainly seems easiest but I'm not sure if it would be accurate enough for my needs. Should I try for somet

Volatility Views 34: A Break from the Insanity Volatility Review: This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX--general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro VolContract updates--December one-month went out at 11.12, three-month at 12.84. Volatility Viewpoint: Mark and Don discuss volatility with Stephen Figlewski, Professor of Finance at NYU's Stern School of Business, founding editor of the Journal of Derivatives, and Director at the Nasdaq OMX Derivatives Research Project. Crystal Ball: VIX at a much more tolerable level, but Mark thinks it will vascillate in this "new mean" for quite a while. January Euro VolContract is fairly new, but volatility is forecasted to be lower going out. Click here to access the Salomon Center that Prof. Figlewski spoke about in Volatility Viewpoint. Prof. Figlewski's pe

Volatility Views 33: The Art of Managing Volatility Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract futures, with the front one-month and the December three-month going out. Volatility Viewpoint: Today's guest, Chris Cole, Managing Director at Artimus Capital Management, sits down to discuss VIX options and futures, volatility doldrums, and the trading approach at Artimus.  Crystal Ball: VIX is a coin flip with regard to both the long-term and short-term mean. The gang looks at the January one-month and March quarterly Euro VolContracts and their implied volatilities versus potential realized vol.

Volatility Views 32: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma? Seasonal drain to volatility. Euro VolContract update--one week left to go in the front-month contract. Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio. Discussing the fine art of gamma scalping. Crystal Ball: Wild prognosticating from the panel. The market will have trouble supporting current vol levels. Sebastian likes buy-write opportunities in gold right now. Larry still has a bullish bias to the market. With expiration week for the front month upon us, Don sees Euro vol sett

Volatility Views 31: Live from Las VegasVolatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-month VolContract?Volatility Viewpoints: Bob talks about the long-term future of volatility, the volatility of volatility, and how efficiency affects the market. Also, Bob discusses his initial thoughts of the article in Futures magazine written last week. Volatility Interview: Dan Cook, Director of Business Development at the Nadex Exchange, joins Mark and Bob in the interview segment.Crystal Ball: With the VIX at 33, we need the market to move 2% per day to pay for VIX. Is that possible, or are we looking at a potential meltdown? If we see the VolContract fall anywhere below 13%, should we be looking to get long FX v

Volatility Views 30: Epithet Etymology Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today. Volatility Viewpoint: This segment was kicked off by an article in Futures Magazine, "Stock Market Trends and the Volatility Premium by Marco Erling. We felt the article would be right up the alley of Volatility Views listeners. Mailbag/Crystal Ball: WHERE ARE WE ON THE EURO VOL CONE? I know the guys over at VolX are big fans of the vol cones. I'd like to know where the Euro VolContracts currently fall on the vol cones spectrum. It sounds like they would be a screaming sell at these levels. Am I correct, and do the hosts agree? Until the VIX proves it can hold 30 and lower, it may be a good time to hold premium – good for gamma scalping.

Volatility Views 29: Other Volatility Indices Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro VolContract. Volatility Viewpoint: Don discusses some of the hedging aspects of using VolContracts against options positions or equity portfolios, and some general logistical issues for listeners who are looking to add VolContracts into to their portfolio for the first time. Mailbag: Volatility on Other Indices. Hello Vol Views Crew: Love the show. Keep up the good work. My question concerns the viability of volatility products on indices other than the S&P. For whatever reason, none of those products have managed to attract volume or attention like the VIX, even when the ones that were created by the CBOE. To what do you attribute their failure? Is

Volatility Views 28: Day-Trading VolContractsVolatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down.Volatility Viewpoint: Trading VolContracts intra-day, and some of the opportunities and mathematical applications inherent in this type of trading.Listener Mail: How Would You Update VIX?Hello:  Since VIX is still the brand name for volatility with much of the investing public, I would like to know what tweaks/upgrades you would suggest for future iterations of the VIX.Crystal Ball: Euro vol outlook -- will we move lower from here? Also, Mark Sebastian looks into his crystal ball.

Volatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review. Volatility Viewpoint: A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a better hedge for options traders. Listener Mailbag: Volatility Trading for RetailHi Guys: I imagine I am one of the many retail options traders who regularly tune into your program, even though much of it is way over my head. I've heard you guys discuss delta neutral trading in the past. My question is whether you think this is an appropriate strategy for retail options traders to adopt. Is it viable to trade delta neutral with a regular online brokerage account these days? Also, I know Mark Longo has said on previous pro

Volatility Views 26: Live from FIA Chicago   Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds.  If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.

Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove the mean for vol calculations. Plus, explaining negative market skew-ness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating. Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility i

Volatility Views 24: Precious Metals Volatility ExplosionVolatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little while. Euro vol review. Mailbag: "I've been listening to the show for some time and have become intrigued by the concept of VolContracts. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade VolContracts? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with VolContracts? Also, since they are listed by the CME and tra

Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility. Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion. Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?

Volatility Views 22: Bringing Don to the Dark SideVolatility Review: A broad market volatility review – it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review – where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com's Mark Sebastian gives his review of the week. Volatility Viewpoint: In this combo Volatility Viewpoint/Listener Mail segment, Mark and Don answer a question from the Options Insider Forum: "I enjoyed the conversation last week between Mark and Bob about the Volatility Feedback Effect. They mentioned that Don is not a fan of this theory and that Bob and Don have had many fights on the subject. I'm curious what Don's issues are with this concept and what he feels is the truth on the matter." Indeed, Don gets his rebuttal, and gives his two cents about the volatility feedback effect. Crystal Ball: Mark Sebastian's outlook for the coming week, as well as an outlook of S&am

Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from OptionPit.com's Mark Sebastian. Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks inverse correlation - is this specifically to address the VIX negative correlation perception? How can we tell if the market is bullish or bearish? Skew and the somewhat controversial topic of the volatility feedback effect are also on the docket. Is the market trying to forecast future returns? As volatility rises, the market must fall, but does it work the other way as well? Listener Questions: Mark and Bob reach into the dark recesses of the mailbag. Why exactly is selling a three-month VolContract not the same as selling three consecutive one-month VolContracts? Is it analogous to the difference between writing a three-month option vs. three consecutive front-mo

Volatility Views 20: Divergence & Convergence Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener questions. 1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball f

Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his volatility review. Volatility Viewpoints: Special guest Euan Sinclair author of several books including "Option Trading" and "Volatility Trading" and risk manager at Blue Fin Trading discusses measuring volatility. Euan's concept of barrier method or first exit time method vs. the standard close-to-close method.Crystal Ball: An outlook on the Euro vol; Mark Sebastian looks into the crystal ball for the coming week.

Volatility Views 18: The Chicago WayVolatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review.  Volatility Viewpoint:  Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders.  Commodities - the sexy world of ags and metals. Delta neutral vs. realized vol. The Crystal Ball:  An outlook on the Euro Vol. Also Mark Sebastian looks into the crystal ball for the coming week.

Volatility Views 17: Busting Volatility Skew MythsVOLATILITY REVIEW:  The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME. VOLATILITY VIEWPOINT:  Busting Skew Myths!!!! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew. CRYSTAL BALL:   An outlook on the weekend risk- What could happen?  PLUS:  Mark Sebastian gives his forecast for the coming week.

Volatility Views 16: Risk PremiumVolatility Review:  Interesting week with the market not doing much, but volatility increased anyway.  The market's "in a pickle" until the debt issue is resolved.  July 8 was the fifth expiration for the Euro VolContract, which showed greater than 29% movement in the price during the life of the contract.  The August contract has provided 16% vol movement in the first three days of the contract.Listener Mail: Mark and Don answer questions from listeners, including: Why did an option price drop as the stock price went up, and; what is a sellers' premium in options?Crystal Ball:  Mark foresees no debt deal over the weekend.  If anything can push VIX to 30, will this be the event that does it?  Front month Euro vol likely to go lower.