Volatility Views

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...

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:...

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...

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 C...

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: Pa...

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer VIX Weeklies: Another robust volume week. VIX Options: VIX Nov 25-30 Call spre...

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: The streak is done - VIX firmly below 20! VIX Weeklies finally join the party - decent volume for the first day. A theory of why the VIX sputtered on Aug 24. VIX Options: Some early call selling during the rallies - but primarily more VIX upside call buying. Gold: GLD continues to dive. Crude Oil: OIV - 43.98, OVX...

Volatility Review: A look back at the week from a volatility perspective. Moving up the list - 28 days over 20 in the VIX Cash. VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back! VIX: Total 7.77m (4.80m Calls, 2.97m Puts) SPX: Spot Price = 1920.70. Puts/Calls = 2.53. GLD: Spot Price = 108.90. Puts/Calls = 0.40. Crude Oil: OIV - 44.81, O...

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil. Volatility Voicemail: Listener questions and comments Iron flies Getting tchotchkes Tick-by-tick calculator What drives the VIX? Crystal Ball: The challenges of prognosticating.

Volatility Review: A look back on the week from a volatility perspective. What happened post-Fed? VIX remained elevated going into Fed announcement VIX, VVIX Advice offered to the Fed Irrational exuberance abides VIX Cash making waves, VIX options, not so much Weekly VIX options can’t come soon enough The madness that is VXUP and VXDN RVX and VIX still within spitting distance of each other Mark h...

Volatility Review: A look back on the week from a volatility perspective, which includes: VIX Cash RVX VIX Options VXUP VXDN And the Fed Volatility Voicemail: In which listeners have their say Question from Mr. Rose - On 8/21/15, S&P lost 3.19% and VIX is up 8.89 points. Following Tuesday S&P down 2.96%, VIX up only up 2.38 points. Next Wednesday S&P up1.83%, VIX drops 5.31 points. Please explain....

Volatility Review: A look back at the week in volatility VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession. VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places. VIX Options: Sept. 1...

Volatility Review: Black Monday Redux The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever. VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic. AAPL hit low of $92 before rebounding. VVIX: Hit a high of 212 on Monday 8/24. VXUP/VXDN: VXUP did 813k shares on Monday - VXDN 650k. Crude Oil: OVX - 51.80, OIV -...

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options. Volatility Viewpoint: How to structure a trading strategy around this kind of market? Should you look at volatility products in a vacuum? When will the Fed actually pull the trigger on rates? Crystal Ball: What is the driver that...

Volatility Review: A look back at the week from a volatility perspective China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day. AAPL a utility? What's the Fed going to do? The week in VIX options. Strong volume for the week: 1.6m contracts Monday 8/10 1.4m contracts on Wednesday...

Volatility Review: A review of the week from a volatility perspective. Volatility continues through earnings season - Disney and Tesla hit hard. VIX Cash: 14.13 - Some juice coming back into the balloon. VIX Futures: 12.16 - not as controversial as main VIX settlement. VIX Options: Decent volume week - 770k contracts Monday. Total 7.95m (5.89m Calls, 2.05m Puts). Crude Oil: WTI term structure - We...

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants. VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week. VIX Futures: New weeklies listed this week. VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts) Gold: GVZ: 19.39 - Spik...

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: A...

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments. He discusses: His viewpoint on current volatility landscape VIX spot level - Did VIX cash perform as expected? What are volatility strategies? How to talk about volatility mechanics and characteristics with clients? Updates on current and pending Russell volatility products Volatility Review: A l...

Volatility Review: A look back at the week from a volatility perspective VIX Cash: VIX poised to start moving aggressively again? VVIX: Hovering around 85 - near the low end of its 1-year range. VIX Options: Back to light volume - all sessions below 500k. 3.8/1 Calls over puts. RVX: OI 62 contracts. VXUP / VXDN: Light week here as well - VXUP most days well under 30k shares, VXDN under 5k shares....

Volatility Review: A look back at the week from a volatility perspective June VIX settles at 14.67 VIX Futures: Front month down to 15.15 VIX Options: VIX call/put = 3.9 - getting more attention again. RVX: OI 61 Contracts VXUP / VXDN VSTOXX: Hit 5-month high of 27.75 on Monday ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread widened this week with VIX crisis. Crude Oil: OVX: 30.60;...

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend. VIX Cash: High of 15.74 on June 9. VIX trending lower throughout the week finally breaking the 13 handle on Thursday. VIX Options: Call love - a heavy volume week, averaging 500k contracts. A massiv...

Volatility Review: An action packed week on the market - shrugging off the non-farms. VIX Cash: Major indexes selling off over 1% Thursday. VIX Options: A big call stupid going up in June/July 20s. VXUP/VXDN: VXDN not catching fire like the VXUP Crude Oil: OIV & OVX IMF: The Mark-Jared bets continues. Volatility Voicemail: Listener questions and comments Skew: What is it? Should it exist? Why does...

Volatility Review: The week in review, from a volatility perspective Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle. VIX Futures: Front month future flirted with 15 during the selloff. VIX Options: Anemic volume week post-holiday - only 63k contracts through 11am. Still mostly call buyer in June - primarily VIX. Total 6.06m (4.73m Calls, 1.33m Puts) VXX: Puts...

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back. VIX Cash: Low: 12.09, High: 13.27 S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent range. Skew Index: 121.11 - also on the low end of recent range. Put vs SPX White Paper: A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrit...