Volatility Views

Volatility Views 132: Wearing Tin Foil Hats in Crude Oil Volatility Review: A week in volatility VIX Cash: Quite a week for VIX cash. VIX Options: Again, serious volume in VIX options this week. Top OI Positions: 367,046 VIX Nov-14 20 calls, 354,540 VIX Oct-14 17 calls, 244,354 VIX Jan-15 20 calls. VXST: Another wild market day - another mild volume day for VXST, only 858 contracts traded on Thurs...

Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex Volatility Viewpoint: Today’s guest is Scott Nations, president and chief investment officer NationsShares. NationsShares and ISE have partnered on a new volatility product – Voldex. He discusses: Why is this methodology superior to the current VIX methodology? How would Voldex have performed over this crazy week period compared to VI...

Volatility Views 130: Talking Volatility Skew Volatility Review: What happened last week in vol? VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market. VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls. Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 5...

Volatility Views 129: Juicing Up BuyWrites Volatility Viewpoint: Today’s guest is Russell Rhoads, who is a senior instructor at CBOE’s Options Institute.  He’s on to discuss a new white paper, A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index. Summary: Historically, the CBOE S&P 500 2% OTM BuyWrite Index has outperformed the total return that would be expect...

Volatility Views 128: Gold Skew Palooza Vol Review:  An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range. VIX options- hot strikes: 281480 VIX Oct-14 16.0 Calls 253852 VIX Oct-14 17.0 Calls 248014 VIX Oct-14 20.0 Calls Top trades: 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times fo...

Volatility Views 127: Diving Into Treasury Volatility   Volatility Review: VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike. VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio - 3.8/1 VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch future...

Volatility Views 126: A Big VIX Shakeup Vol Review: VIX Cash -  A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire.   Non-farms a non-event.   Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6. Question from Spreadjunkie -  CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer? VIX Options -...

Volatility Views 125: The Holiday Fear Premium Volatility Review: A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend.  Trader taking time delay/Vol out of the market ahead of the weekend?  VIX Cash.  Trading in the 11.24-12.73 range .  VIX Options.  4.2/1 - Call/Put.  Top OI Positions:  VIX Sep-14 19 C,  VIX Sep-14 20 C,  VIX Sep-14 16 C.  VXST Options.  RVX...

Volatility Views 124: Volatility Pairs Trading Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month.  VIX options:  Top Strikes: Sept 19 calls, Sept 20 calls, Sept 16 calls. VXST options: A lot of activity in VXST: Aug 17 calls 1,500 contracts. RVX options. Volatility...

Volatility Views 123: VIX Roars but VXST Whimpers Volatility Review: The week in vol VIX: Russia sends tanks into Ukraine and volatility skyrockets Volatility plummeted after US involvement in the Middle East. CBOE stock as a hedge. VXST: Big moves in only 24 contracts. Why is this product not catching fire? VIX options: Settlements coming up soon. Metals: GVZ dropping earlier this week, but takin...

Volatility Views 122: Goldman Straddles and Buffett Puts Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions: 273,733 .VIX Aug-14 16.0 C, chg +7148 262,146 .VIX Sep-14 19.0 C, chg +1029 221,559 .VIX Sep-14 21.0 C, chg +24 VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio RVX OI: 591 Gold...

Volatility Views 121: Something Is Odd with Volatility Skew Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this week.     Volatility Voicemail: Listener questions and comments. Question from TiklenIvory: What is the best way to short VIX? Straight up VIX puts, or go long XIV? Question f...

Volatility Views 120: Breaking down Earnings Straddles Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions   245,725 .VIX Aug-14 15.0 calls 241,232 .VIX Aug-14 16.0 calls 238,364 .VIX Sep-14 19.0 calls Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable follo...

Volatility Views 119: Craziest Week Ever Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX takes big jump on Ukraine, Middle East worries. Set against another Malaysian Airlines crash and rising Middle East tensions, the VIX had its greatest...

Volatility Views 118: The VIXFather Turns on His Creation Volatility Review: VIX Cash: the week’s range was 11.01-13.23. Thanks to concerns about Portugal's banks repaying debt, Europe's VStoxx Index and the VIX jumped on Thursday.  Will earnings season usher in volatility? VIX Options. VXST Options. SPX Skew. Robert Whaley, the inventor of the CBOE Volatility Index, or VIX, warned that investors...

Volatility Views 117: Getting Your Face Ripped Off By Vol   Volatility review: VIX cash had a range of 10.92 - 12.51 last week and has been on an uptrend for most of the week. A look at VIX futures. A riddle from Don. VXST, RVX options. Gold/metals vol: GVZ range of 12.64-13 last week. General downtrend in gold vol after sharp spike the prior week   Volatility Voicemail: Listener questions and com...

Volatility Views 116: The Mystery of Gold Volatility Futures   Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew predicted this not too long ago. Top OI Strikes: July 13 Put - 416K, July 16 Call - 385K, July 20 Call - 371K & Sep 19 Call - 261K.  RVX: OI still hovering around 5...

Volatility Views 115: VIX Says Poo to You Volatility Review: VIX cash broke the 11-handle last week while we were recording, but it has since rebounded over concerns in Iraq. VIX futures started to see some backwardation creeping into the curve last week. Is that still the case this week? The death of volatility forces traders to get creative. The Economist asks "Is this the calm before the storm?...

Volatility Views114: The VIX Is Dead. Long Live the VIX. Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap? VIX and VXST options. New volatility ETFs launch. Gold volatility hits 14-month low.   Volatility Voicemail: Listener comments and questions. Comment from Angelthorn - Great...

Volatility Views 113: Fighting Low VIX Hysteria Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine CBOE indexes.   Volatility Voicemail: Listener questions and comments Question from Jim Charles, Lexington, KY - I know your recent guest Euan Sinclair d...

Volatility Views 112: How Low Will It Go? Volatility Review: VIX cash broke the 12 handle - drifted to a low of 11.68. Is the VIX in a deep sleep? Or has it permanently changed? Is low volatility here to stay? India VIX slumps post-election. Volatility Voicemail: What do you want to know?   Question from CNans - Gamma vs. Vega scalping - You have discussed gamma scalping on early episodes, as a wa...

Volatility Views 111: Volatility Trading   Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading .   Volatility Voicemail: Reader questions and comments Question from SoloHan - Great show! Just discovered it and I am working through the back catalog as we speak. I just have one question so far, and I apologize if you...

Volatility Views 110: Is Volatility Dying?   Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility. Volatility review in other asset classes including: ags, metals and fixed income.   Volatility Voicemail: So many questions! Question from Allan S - I hear a l...

Volatility Views 108: VIX & More with Bill Luby   Volatility Review:  Today’s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today. An aggressive selloff boosted volatility across the board. VIX Futures are catching bids as well. VIX options activity today: 4/1 calls over puts. Is there any sign of lif...

Volatility Views 107: Another Day, Another Selloff Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol previ...