Volatility Views

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...

Volatility Views 106: HFT and Volatility Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared t...

Volatility Views 105: Happy Anniversary, VIX! Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility. Volatility Voicemail: Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you ha...

Volatility Views 104: Revisiting Risk Management Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper.   Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend.     Crystal Ball: An outlook for VIX...

Volatility Views 103: The Russian Ripple Effect Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours.  Volatility Voicemail: What do you want to know? Question from Charles Engel - Is there any way...

Volatility Views 102: What Is a VIX Covered Call   Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week.  May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hi...

Volatility Views 101: Buying Vol at Any Price Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options.   He gives an overview of the Vol Tracker and global map of implied volatility. Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price". Discusses his your take on what we have be...

Volatility Views 100: Volatility Tourists and Shoe Shine Boys   Volatility Viewpoint:  This week’s guest is Chris Cole, Managing Director at Artemis Capital Management.   They discuss: How he incorporates vol into his trading? How he defines a low vol market? His feelings about VXST? Volatility Review: The first week of VXST. The long term Jan 30-40 put spread that went up this week. Was that risk...

Volatility Views 99: Debunking BXM vs. PUT Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index.  They discuss: How he got involved in creating the put-write index with he CBOE  What the response has been to the put-write index Why he thinks the Put-Write rema...

Volatility Views 98: The Rise of Short-Term Volatility Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course.  Volatility Viewpoint: Our guest today is Jay Caauwe - CBOE Futures Exchange. Hot on the heels of two new records: 2013 was a record year and January was another record month...

Volatility View 97: Consulting Volatility Volatility Review:  So much for single digit VIX cash in Q1. VIX options call/put nearly 3 to 1 right now, hovering at record size. People still loving VIX upside - size open interest all the easy up to the Feb 60 strike. Current RVX open interest at 2700 contracts, traded 250 lot yesterday, the zealots are out in RVX. Volatility Voicemail: Comment from Ja...

Volatility Views 96: Harvesting Volatility Risk Premium Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse? Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments. They discuss: Short volatility strategies & fr...

Volatility Views 95: When the Crazies Emerge Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February. The 2013 numbers are in: VIX futures 2013 annual ADV - 159K - Up 67% from 2012. VIX options 2013 annual ADV - 567K - Up 28% from 2012. SPX options 2013 annual ADV - 823K - Up 18% from 2012. Volati...

Volatility Views 94: We Are Back! Volatility Views is back from hiatus and in this episode, Mark is joined by Mark Sebastian and Pat Fay, Director of Listed Derivatives, Russell Indexes Volatility Review: RVX options and futures are back.  Why bring them back? What’s unique to the RVX relative to the VIX? An overview/analysis of all the recent trading activity in VIX options and futures as well as...

Volatility Views 93: Returning in Style Volatility Viewpoint: Mark’s guest is Russell Rhoads, Senior Instructor, Options Institute.  What does The Options Institute do? What is your opinion on the massive influx of retail traders into sophisticated institutional products like VIX options? What is your opinion on this new shorter-duration VIX products? Volatility Review:  Last-minute hedging activi...