Volatility Views

Volatility Views 81: Capturing Volatility Premium Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so.  If there is any edge, it’s in March VIX futures. Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses: His paper, Capturing Volatility Premium throu...

Volatility Views 80: The Listeners Take Over Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else.  Listener Mail: Our listeners are keeping us busy with questions. Question from JoJo - I love the show! Have you thought about bringing on a CTA? Question from Justin Deveroe - Can you walk...

Volatility Views 79: Derivatives Strategy Consulting Volatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low?  Will VIX have an 11-handle by next week? Volatility Viewpoint: Today's guest is Mark Shepherd, Founder of DSC, Derivatives Strategy Consultants. He discusses what types of structured products his firm offers, how he advises clients in a low vola...

Volatility Views 78: Making Money in Spite of Yourself Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Implied vols, as measured by VIX, are currently at the same level as 21-day realized S&P vol, but are still overpriced with respect to shorter, 10-day realized. Listener Mail: Don, Mark, and Mark dive into the listener mailbag. Email qu...

Volatility Views 77: Volatility from a Wealth Advisor Perspective Volatility Review:  Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a very long-term historical viewpoint. NASDAQ volatility has been moving roughly the same as S&P. Volatility Viewpoint: Today's guest is: Randy Swan, Co-founde...

Volatility Views 76: Commodity Futures and Volatility Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review. Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of Trade. He discusses strategies to use going into crop reports, skew, volatility arbitrage, the impact of one commodity on another, the impact of weat...

Volatility Views 75: New Year, New Questions Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review. Mail Bag: Keep those questions coming. ·        Tweet from Southbay Trader: I especially like Volatility Views! ·        Tweet from Billmoo: OIR - Top Financial Podcast...

Volatility Views 74: Digging Deep into the Listener Mailbag Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff." Listener Mail: So many questions for us to answer. Tweet from Doc Hudson: What is your pick for volatility trade/product/development of the year? Tweet from Man of Steel: What do people mean by “sellin...

Volatility Views 73: Once More unto the Black Swan Breach Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol. Listener Mail: Back to Black Swans. Comment from Asymmetric Risk: According to Don, Nassim will lose money over the long run because the out of the money options he buys have a...

Volatility Views 72: Closing the Book on Black Swans Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week.   Listener Mail: Mark, Andrew, and Don answer listener questions. Comment from Teddy: This is a great article. I really hope you guys discuss this on the next epis...

Volatility Views 71: Condor Options Takes on Black Swans Volatility Review: Near-term vol of vol has been extremely low of late. NASDAQ and S&P vol review: over the past two weeks vol has been almost unchanged. How has our frame of reference for vol changed?    Volatility Viewpoint: Today's guest is Jared Woodard, the founder of Condor Options. He discusses his recent article about volatility and...

Volatility Views 70: Stop Worrying about Black Swans Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol. Volatility Viewpoint: Some interesting topics emerged from this week's global derivatives conference:  Is vol cheap? When VIX cash hit 13.5 this year, the cost of the six-month hedge was the same as the day...

Volatility Views 69: Unlocking the Secrets of the Vol Surface Volatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol. Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed pr...

Volatility Views 68: The Dark Art of Futures Options Volatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol. Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels. The Crystal Ball: NASDAQ vol...

Volatility Views 67: VolContract Futures Overlays: The Holy Grail? Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th. Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio,"...

Volatility Views 66: A Week without Volatility Volatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week. Listener Mail: Our listeners drive the bus for a while Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER) Do y...

Volatility Views 65: Contango Tango   Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ.  Volatility Viewpoint:   Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock por...

Volatility Views 64:  Missing the Fat, Juicy Puts of Yore Volatility Review:  Looking back at a four-day time horizon.  At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the Europea...

Volatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the...

Volatility Views 62: Bad Money Managers Volatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch. Listener Mail: Letting the listeners take control of the conversation. I loved last week's show. I'm very glad to have Vol Views back in the saddle! My financial adv...

Volatility Views 61: A Short Straddle for Cowards Volatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows.   Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring.  Dan discusses Market Taker and how he approaches volatility with a new client.  He also talks about mentoring students who want to di...

Volatility Views 60:  Jackass Investing: Don't Do It. Profit From It. Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyers opportunity.  Volatility Viewpoint: Today's guest is Mike Dever, Founder and CEO of Brandywine Asset Management, and author of Jackass Investing: Don't Do It. Profit From It. He starts with his unique approach to volatil...

Best of Volatility Views: Busting Skew Myths 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.

Volatility Views 59:  A Deep Dive into Variance Swaps Volatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected.  Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexit...

Best of Volatility Views:  Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. 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...