Volatility Views

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...

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...