Volatility Views

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...

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...