Volatility Views

Volatility Views 158: Is VIX Without Contango Even Possible? Volatility Review: A look back at the week in vol VIX Cash: High: 15.13 - Low: 12.41 VVIX: 82.12 S&P 30-day realized Vol: 10 VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts) Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rol...

Volatility Viewpoint: Today's guest is Euan Sinclair, Author of Volatility Trading Editions 1 & 2, as well as Options Trading. He discusses: What is driving the pronounced decrease in VIX? What were the primary drivers of the dramatic increase in "Vol-of-Vol" we saw at the end of 2014? CBOE is launching VIX weeklies soon. Does he feel they have the potential to succeed where VXST has failed misera...

Volatility Review: A look back at the week from a volatility point-of-view  VIX Cash: Low: 12.33 - High: 15.29 VIX Options: Another modest volume week. 75k May 20 calls purchased Wednesday for $.40. Paper buying June 23 puts for $.15. June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times. Total 6.14m (4.39m Calls, 1.75m Puts) Options volume slid...

Volatility Viewpoint: Today’s guest is Mike Thompson of Typhon Capital. He discusses:  VIX Futures VXST The mainstream acceptance of volatility VXX and VSTOXX Volatility Review: A look back at the week from a vol perspective A groundhog day in volatility. VIX: volume down significantly. VIX Options: Put love later in the week. June 14-18-21 fly spread going up. Gold: GVZ hitting a seven month long...

Volatility Review: A look back at the week from a volatility perspective.  Greece bringing some volatility back to the table. VIX Cash: Low: 12.50 - High: 14.75 Earnings do not seem to be injecting much Vol into the market. S&P: Skew Index: 120.37 VIX Options: Our friend with the April 13 puts decided that discretion was the better part of valor - sold 90,636 of them on Tuesday for $.05. 800K cont...

Volatility Review: A look back at the week in volatility  VIX Options: April 50 calls still open - someone made a massive play in May calls. A ton of new volume in June 17-23 calls, nearing the 1M mark total for just today. Crude oil: Call option trades target return of $100 US crude oil. Other Volatility Topics: Apple Watch - can it bring back the glory days of AAPL? Volatility Voicemail: Listene...

Volatility Review: A look back at the week in vol  VIX Cash: Low: 12.89 - High: 17.19 S&P: Skew Index: 122.86 VIX Futures: Stories from the front Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date – it was one day early. Apparently this professional trader had a pos...

Volatility Views 151: The Fix on VIX Volatility Review: A look back at the week from a volatility perspective   VIX Cash: Low: 12.54 - High: 16.37 VIX Settlement seemed somewhat controversial again this month. VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week. S&P: Options contracts that pay off should the S&P 500 lose 10 percent in t...

Volatility Views 150: Doing Our VIX Term Structure Homework Volatility Review: A look back at the week in volatility:   VIX Cash: Low: 14.71 - High: 17.19 Skew Index: 121.53 VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon. RVX: 65 Contracts open interest. FTSE v...

Volatility Views 149: History of Economic Data Volatility Viewpoint: Mark & Bill breakdown the RMC Conference. The most interesting panels and presentations, surprising revelations, and other like or dislikes.     Volatility Review: A look at the week from a volatility perspective VIX Cash: Low: 13.25 - High: 15.33 Skew Index: 127.26 VIX Options: Total 4.97m (3.38m Calls, 1.59m Puts) The extended...

Volatility Views 148: What Color Is the Dress?   Volatility Review: A look back in the week from a volatility perspective VIX Cash: Low: 12.86, High: 15.48 Skew Index: 126.20 The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9. VIX Options: Total 4.38m (2.98m Calls, 1.40m Puts) VIX term structure hit...

Volatility Views 147: Men Cause Volatility Volatility Review: A look back at the week from a volatility perspective   VIX Cash: High - 16.74, Low - 15.10 S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30 VIX Options:  A decent volume week except for 2/19 with only 250k contracts. Total 3.39m (2.33m Calls, 1.06m Puts). Extended VIX Options trading hours start March 2. International Volatilit...

Volatility Views 146: Betting on Fed Volatility Volatility Review: A look back in the week from a volatility perspective   VIX Cash: High - 19.28, low - 15.26 S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94 VVIX: Thursday Close - 93.24 VIX Options: 700K contracts on Feb 12, for a strong up day for the market. Total 5.36m (3.28M calls, 2.08M puts). Extended VIX Options trading...

Volatility Views 145: Debating Earnings Skew and Corporate Racism Volatility Review: A look at the week in vol:   VIX Cash: High: 22.81, Low: 16.67 S&P: 30-day IV: 15, 30-day HVOL: 16, Skew Index: 127.54 VVIX: Thursday close: 98.56 VIX Options: Total 4.80m (2.86m Calls, 1.95m Puts) Market now loving CBOE numbers, stock off 5.5% - earnings were up 7.6%, but missed expectations. Extended VIX Options...

Volatility Views 144: Talking Earnings Volatility Volatility Review: A look in the week from a volatility perspective   VIX Cash: High: 21.55, Low: 15.52 S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers. VVIX: Thurs close: 100.70, Week range: 91.85-109.99 VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts) VXST: Another week of anemic volume despite sig...

Volatility Views 143: The Great Fed Debate Volatility Review: The week in volatility ECB takes all of the vol out of the market in one fell swoop. S&P 500 volatility streak longest since '12 as 1% moves multiply. The S&P 500 Index rose 0.5 per cent yesterday and moved 1.3 per cent from its lowest to highest levels. VXST: Another week of crappy volume. ( The Mystery of Short-Term Volatility )  FX V...

Volatility Views 142: The Swiss Franc Black Swan Volatility Review: A look at the week that was: Swiss Franc: Deutsche Bank AG suffered about $150 million in losses Thursday after the Swiss National Bank abruptly removed the cap on the Swiss franc’s value, sparking a massive rally. Meanwhile, a major U.S. currency broker warned its equity was wiped out, a U.K. retail broker entered insolvency and...

Volatility Views 141: The Return of Euan Sinclair Volatility Viewpoint: Euan Sinclair , author of Volatility Trading Editions 1 and 2 and Options Trading ,is back.  Euan is an option trader with over eighteen years of professional trading experience. He currently works on strategy design and is the risk manager at Bluefin Trading. He holds a PhD in theoretical physics from the University of Bristo...

Volatility Views 139: Getting Angry About Volatility Volatility Review: The week in volatility: VIX Cash: Low - 12.55, High - 21.09 VIX Options: Total 6.66M (4.35M calls, 2.31M puts) VXST: Total 7,746 (5,185 calls, 2,561 puts) Oil Volatility: USO vs. XLE - Traders hedge oil ETF while energy stocks lure buyers. Volatility Voicemail: Questions and comments from our loyal listeners Question from CPun...

Volatility Views 138: The Action Is In Oil Volatility Review: The week in vol   VIX Cash: High: 14.75 - Low: 12.09 VIX Options: Total 5.71M (3.84M Calls, 1.86M Puts). VIX shunned as few bumps seen for S&P 500 at years end. International Vol review: Its official - America is now No. 2 Oil Volatility: Oil futures slide on Saudi price cut to U.S. Gold Volatility: Hard to be a bull in this gold market...

Volatility Views 137: Crying Wolf in Volatility ETPs Volatility Review: The week in vol: Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high. VIX Cash: High - 15.74, Low - 13.13 VIX Options: Total 4.34M (2.89M Calls, 1.46M Puts) VXST: Another weird volume week - 300 to 3,000 contracts on various day...

Volatility Views 136: Oil Volatility and VXST Volume Volatility Review: The week in vol   VIX Cash: VIX rallies - the market rallies has been a big story of this week. A lot of outlets have been jumping on the train. VIX Options: 2.3/1 call/put VXST: A decent week from a volume perspective. OI now at 10,244 (8,015 Calls/2,229 Puts) Introducing the launch of Treasury VIX futures. Crude Vol: XLE, Br...

Volatility Views 135: Under-the-Radar Swiss Gold Volatility Review: Vol premium over the past week. Implied volatility vs. realized volatility. Vol Commodities: Oil, currencies, etc. Russell 2000 - RVX   VXTYN - introducing the new 10-year volatility product.     Crystal Ball: What are we looking forward to in the coming weeks?

Volatility Views 134: Earnings Surprises and Greenspan Gold Fades Volatility Review: Big surprises from an earnings vol/straddle perspective this quarter. AMZN - Sold off about $30. LNKD - Closed at $202.50. TSLA next week. CBOE this morning. VIX Cash: 17.87 - 14.04 VIX Options: Total 6.53m (4.46m Calls, 2.08m Puts) VXST: Total 4927 (4918 Calls, 9 Puts)   Volatility Voicemail: Listener questions a...

Volatility Views 133: Skew Inversions and Dynamic Hedges Volatility Review: The week in vol VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56. VIX Options: A whopping 6.14M contracts total. OTC Volatility: Volker rule and its impact on liquidity. VXST: When is it going to catch fire? Oil/Energy: Strong investment skew, heavy puts activity. Met...