Volatility Views

Originally posted July 20th, 2015 Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally! VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts) Oil: After some brief signs of life, oil volatility continues to erode. Volatility Voicemail: Listener questions and comments Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product? Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.

Volatility Review: Welcome to the Post-Fed era. VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show. VIX Options: Heavy volume early this week. 1.2M Monday, 860K Tuesday. Oil: Who is the bear driving up the price of U.S. stock options? Volatility Voicemail: Listener questions and comments Question from NJ42 - Where do you think the next big development will come from in volatility research or trading? Question from Alistair - Why are the volatility offerings effectively limited to the S&P 500? Why are there not any real offerings for commodity volatility? People active in those markets also want to hedge their volatility risk? Crystal Ball: What is left after the Fed?

Volatility Voicemail: It's time for listener questions Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility? Question from Charles M. - How has the dwindling number of options specialists impacted volatility? I believe volatility has increased as a result with days like 8/24 being glaring examples. Please discuss. Question from A. Melendez - Any updates on VSTOXX? Is it coming to the U.S. anytime soon? Question from Zack06 - Can you recommend the definitive study on VIX calls vs. S&P puts? Is there an ultimate winner? Question from AL33T - looking over the Voldex info recently and I cannot figure it out. Why would I want to remove skew from VIX? Is that not valuable trading info? Question from Avery - Why do you guys take such a dim view of TVIX? Am I missing something? Question from Vin C. - What is the correct duration to purchase VXX puts in my retirement account? I would like the best chance at capturing the most erosion over time. Crystal Ball: Fed still on the horizon in December.

Volatility Viewpoint: Today's guest is Chris Cole, Managing Partner at Artemis Capital Management. They discuss Chris's now "infamous" letter to his investors, "Volatility and the Allegory of the Prisoner's Dilemma." Volatility Review: A look back at the week from a volatility perspective, plus a review from RMC Asia. VIX Cash: Volatility surges after sell-off and heading into Non-Farm Payrolls. VIX Cash: 18.11, VVIX: 101.80 What is the Fed impact on Vol? SPX CBOE Skew Index back to boring - This week: 135.26 VIX: A heavier volume week in VIX Options. Total 6.24m (4.57m Calls, 1.68m Puts) Crystal Ball: Earnings season is winding down. FED on the horizon in December.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend VVIX: 96.18 CBOE Skew Index back to boring - This week: 139.16 VIX Options: Heavy volume early in the week. 1M contracts on Monday, 800k contracts on Tuesday. Light volume the rest of the week. Total 5.19m (3.77m calls, 1.42m puts) Gold: GVZ this week: 17.57 Crude oil: OIV: 42.30, OVX: 43.75 Volatility Voicemail: Listener qquestions and comments Question from Hawkeye - Love seeing Russell as the new addition to the Vol Views cast of characters. You mentioned you wanted a nickname for him. Since he is going for his Phd (but has not quite gotten it yet), he teaches classes for the OIC, and he literally wrote the book on VIX, how about calling him "Professor VIX" (and maybe moving to "Dr. VIX" once he gets his diploma). I also wanted to say that it was great hearing Don "Palms out" Schlessinger a couple shows back. You need to get him on as a guest host more often, and see if the Viceroy can guest host once in a while, too. Lastly, I love hearing from those Typhon guys. Any time you can get them on, please do so. Anybody with the comedic sense to name their trades "mullet" and "tellum" is good in my book. Wit with Wisdom is the best mix. Thanks and keep the great shows coming. Question from TiffanyL1 - Is it possible to simply buy VIX cash without messing with the futures? Question from George T. - Can I buy still buy VIX on the old calculation without the skew? Crystal Ball: Meandering VIX. Earnings season winding down. Fed on horizon in December.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19 VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\ VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts) Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5% Gold - GVZ this week: 18.47, GVZ last week: 17.69 Crude Oil - OIV: 43.14, OVX: 43.93 Volatility Voicemail: Listeners have their day Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so why are the spreads so wide? Do you think it is worth the approximately 33% increase in cost to trade a weekly vs. a standard monthly? Thanks for the show. Keep up the good work sirs and welcome aboard to russell. Question from Pick6 - When a takeover is announced does the volatility (time value) of farther out options erode or go away? Crystal Ball: Earnings season is in full swing. Fed on the horizon in December.

Today, Mark is joined by: Mark Sebastian, from Option Pit Russell Rhoads, Senior Instructor, the Options Institute Kevin Nichols, Director, CBOE LiveVol Volatility Review: A look back at the week from a volatility perspective, including: Non-farm numbers and the resulting market reaction Bifurcated earnings season A less volatile VIX? SKEW index Earnings crush VIX weekly options Is there a new 12 for VIX? Put love in VIX-land Mark S. extrapolates VIX weekly trading for the past seven years Earnings! The force is strong with DIS. Crude: WTI Skew Volatility Voicemail: Listener questions and comments Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse? Question from Pick6: Are there too many VIX-related products? Have any of them ever failed? Crystal Ball: Earnings season! What will the Fed do in December?

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses: CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days: 64. ADV: 5.25M, Total Trading Volume: 335.7M. Update on TYVIX & RVX. VIX Cash: VIX cash remains south of 15 handle. VIX Futures: Dramatic movements in CBOE Skew Index. Two weeks ago: 151.22, last week: 121.02, this week: 134.63. Previous high around 140 last year. VIX Weeklies - Week 4: Another robust volume week for weeklies VIX Options: Total 6.76m (4.80m calls, 1.95m puts) Gold: Fed squeezing gold yet again. GVZ: 15.77 Crude Oil: OIV: 43.16, OVX: 43.63 Crystal Ball: Earnings season in full swing. Nonfarms next Friday.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days. Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02 VIX Weeklies: Another robust volume week for weeklies. VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts) Now that Google is Alphabet, options suggest another big stock move. Gold: GVZ: 15.59 Crude Oil: OIV: 40.18, OVX: 40.22 Volatility Voicemail: What do our listeners have to say? Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics. Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfoil hat territory. Surprised to hear that coming out of Artemis. Comment from mark brant ‏- What a relief! Btw fantastic story of the Vol skew big bang by Herr Doktor Schlesinger! A perfect collar is a work of art! Thanks!… Cool thing about selling VIX options spreads is no theta, a pure Vol play at all tenors! Question from Ironc - So Taleb and the 1x2 guy both love backspreads. Are backspreads pretty much the ideal volatility trading position? They have little or no net outlay and let you stay in the game long enough to profit from the big moves. I have to say I am becoming a fan. Are there any secret downsides that I am missing? Question from Varz - Any good recommendations for variance swap volume data? Question from Dan D. - Can you please explain the CBOE skew index? What is it and what does it measure? Thank you Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?