Volatility Views

Volatility Views 22: Bringing Don to the Dark Side Volatility Review: A broad market volatility review – it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review – where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com 's Mark Sebastian gives his review of the week. Volat...

Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from OptionPit.com 's Mark Sebastian. Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks inverse correlation - is this specifically to address...

Volatility Views 20: Divergence & Convergence Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener que...

Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his volatility review. Volatility Viewpoints: Special guest Euan Sinclair author of several books including "Option Trading" and "Volatility Trading" and risk man...

Volatility Views 18: The Chicago Way Volatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review.  Volatility Viewpoint:   Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders.  Commodities - the sexy world...

Volatility Views 17: Busting Volatility Skew Myths VOLATILITY REVIEW:   The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME. VOLATILITY VIEWPOINT:  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 psych...

Volatility Views 16: Risk Premium Volatility Review:  Interesting week with the market not doing much, but volatility increased anyway.  The market's "in a pickle" until the debt issue is resolved.  July 8 was the fifth expiration for the Euro VolContract, which showed greater than 29% movement in the price during the life of the contract.  The August contract has provided 16% vol movement in the...

Volatility Views 15: Know Your Volatility Volatility Review:   Vol gets demolished. Volatility modeling is not accurate. Range-bound volatility.  Euro vol at expiration looking calmer than previous expirations. Volatility Viewpoint: Featuring Mike Cavanaugh from Know Your Options, Inc.  The gang discusses the role of volatility in their collar strategies, the great VIX disconnect, self-directed tr...

Volatility Views 14: The Unknown World of Volatility Technical Analysis Volatility Review:  Much ado about nothing? Big steps forward and back, but where is vol going? Will the long holiday weekend pull the vigor out of the markets?  Euro VolContracts see higher than usual levels of volatility. Volatility Viewpoint:  Mark and Don interview Kirk Northington, author of Volatility-Based Technical Ana...

Volatility Views 13: VIX and More Volatility Review:   Mark, Don, and special guest Bill Luby talk about the roller coaster week of volatility and if premium sellers were artificially keeping the VIX down.  They also explore whether the VIX has underperformed given recent market conditions, as well as whether the product should even be promoted as a hedging tool. Euro vol update with an inversion...

Volatility Views 12: Tasty Vol Volatility Review:   Euro vol update.  Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month VolContracts will be in the mid 10 range.  Is the market finally starting to respect volatility? Volatility Viewpoint:   Mark and Don talk to Tom Sosnoff, CEO of Tastytrade, a...

Volatility Views 11: Good Sources of Volatility Volatility Review:   Divergence between realized and implied volatility.   Expiration day for the June 1- and 3-month VolContracts.  Don't write off the last trading day; every data point matters. Volatility Viewpoint:  Mark and Don discuss their resources for volatility news and information. Crystal Ball:   Will the S&P 500 hit a critical psychologi...

Volatility Views 10: Options Die A Little Every Day Volatility Review:   Hit the bids and then hit the road?  Significant fear uptick.  Should VIX skew exist?  Commodities adjustments set volatility running.  Euro vol: simultaneous expiration of the June 1- and June 3-month VolContracts on Friday.  When do remaining time frames open the door for arbitrage opportunities? Strategy Session:   If real...

Volatility Views 9: Managing Ratio and Calendar Spreads   Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April.  What will June bring?  Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity.   Strategy Session:   1x2 ratio spread.  Don discloses that he sold premium.  Spread m...

Volatility Views 8: Live From OIC 2011 Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange. Volatility Review:  Euro vol contract update: stable, but at a high level, hanging out at the 12.50 range.  Bob gives a detailed overview of how the product works. Crystal Ball:  The news makes it reasonable to think that volatility will stay high.  What is comin...

Volatility Views Episode 7: Venturing Into The Volatility Mailbag Week In Review:   Market and IV both rally, crushing call spreads.  Euro vol has surprising pop, with May settlement significantly higher than March or April.   Listener Mail:  Selling ITM Covered Calls To Capture Skew; What is the time frame for new VolX Products? Will there be realized volatility contracts on AAPL? SPY? Volatility...

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert Engle Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH models, and how the ARCH model was born The Volatility Institute Vlab SoFiE Professor Engle's work with the SEC's Flash Crash Advisory Committee The Profes...

Volatility Views 5: The Thwack of Volatility Volatility Review:  Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday.  Euro VolContract update.  Sebastian talks about the thwack of volatility. Strategy Session:  Dynamic vs. static hedging for professional traders.  Don recommends two articles: Volatility Hedging - Turn Up the Static! Volatility Exposure for...

Volatility Views 4: The Many Flavors of Volatility Cones Volatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract.  "Sell" was the word in vol last week.  Contango craziness. Strategy Session: Contango - a basic introduction; Mean reversion - beyond basic introduction; Volatility cones as a trading signal: they come in many flavors...

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year.  Ten-day realized vol is near two-year lows.  Is this the eye of the hurricane or the calm after the storm?  Implied vol really low, although IV ended up on the week in the S&P 500.  Market doesn't completely trust the low vol levels. Strategy Session:  Continuing last week'...

Volatility Views Episode Two: The Shadowy World of Volatility Swaps Mark and Don are joined by Mark Sebastian from Option Pit.  There is no shortage of opinions on volatility this week. Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro VolContracts (TM) show a sharp volatility decline over March; VolX adds RSJ as a market mak...

Volatility Views Premiere Episode: Can Delta Neutral Capture Pure Volatility? In the debut episode, Mark and Don are joined by Dan Passarelli from Market Taker Mentoring. Volatility Week In Review: Volatility taking a steep downturn as concerns lessen; Skew Index - Can it predict Black Swans?; why has volatility dropped; the phenomenon of markets dropping precipitously and rising more steadily; Eu...

Volatility Views: Preview Two In this second sneak preview of Volatility View, Mark and Don record live from the croquet fields in Boca Raton. Topics discussed include:     Japanese devastation spikes volatility     How the volatility smile turned into a smirk     A brief history of portfolio protection     VolX contracts on the Euro move 32% in the first month In the Volatility Viewpoint segment,...

Volatility Views Sneak Preview Welcome to Volatility Views, the latest addition to The Options Insider Radio Network.  Volatility Views is brought to you in collaboration with VolX - The Volatility Exchange. In this preview episode, Mark introduces the audience to Don Schlesinger, Chief Strategy Officer & Vice Chairman for VolX.  Learn about Don's diverse history from school teacher, to Morgan Sta...