Volatility Views

Volatility Review: A look back at the week from a volatility perspective.

Black Monday. Happy 30th Birthday to Volatility Skew!

The numbers:

• VIX - 93.33
• CBOE Skew Index - 146
• VXN - 14.64

Russell's Weekly Rundown:

• VIX ADV - 876k
• VIX call/put - 4.1
• VXX - 34.39
• XIV - 105.87

Volatility Voicemail: Options question of the week

Earnings Season is here! Which name do you plan to trade most actively this cycle?

• 27% - Tesla - $TSLA
• 34% - Amazon - $AMZN
• 23% - Apple - $AAPL
• 16% - Alphabet - $GOOGL

Listener questions and comments:

Comment form MoneyEngine X3.5 - Buying CVS calls.

• Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 9.55
• Mark S. - 10.25
• Ghost of Russell - 28
• Kevin - 10

This week:

• Mark L. - 9.65
• Mark S. - 10.16
• Russell - 9.87

Volatility Review: A look back at the week from a volatility perspective

• Sell-offs appear to be slowing down
• Tech earnings weighing things down
• Facebook: did they or didn't they?
• Are we in a trade war?
• VIX cash: 19.17
• VVIX: 106 - up from last show
• VIX futures keeping pace or outpacing the index
• Blow out in nat gas options
• NVDA, AMAT earnings

Volatility Voicemail: Listeners take over

• Comment from Ninny - I think VIX will touch your kids.
• Question from LLAX: How come you guys don't talk $SVXY or $TVIX on your show?
• Question From TAX8T: New listener and first time writer. Awesome program. Love the vol trading breakdowns and the fun guests. Is there any way you can include a rundown of large OTC var and volatility prints on your show each week. Keep 'em coming.

Crystal Ball: Really reckless prognostication

Last week:

• Mark L. - 17.65
• Mark S. - 16.49

Two weeks from now:

• Mark L. - 18.15
• Mark S. - 15.25

Volatility Review: Earnings Highlights for the Week

• Tuesday - GE, Sony, BP, FB, eBay, Pfizer, Coca-Cola
• Wednesday - GM
• Thursday - Apple, Starbucks, Weight Watchers, Spotify, Cigna, Dow/DuPont
• Friday - ExxonMobil, Cboe, Alibaba, Chevron, Berkshire Hathaway

Volatility indicators:

• VIX Cash - 17.75, 2.75-points lower than last show
• VVIX - 100, unchanged from last show
• VIX Options - ADV: 618k, VIX call/put: 2.1/1, Total 9.40m (6.29m Calls, 3.11m Puts)
• VXX - 37.5, 3-points lower than last show

Volatility Voicemail: Options question of the week

We always like to take the pulse of our audience. This week we're checking in on your favorite strategies. What is your go-to #options strategy?

• Butterflies
• Covered Call/Short Put
• Verticals, call or put
• Calendars/Diagonals

Listener questions and comments

• Question from Mina - Why is VIX so weird?
• Question from Holan - That Meatball guy says he gets paid to buy $VXX puts. How?
• Question from BD3 - Why no Nasdaq VIX futures? Why no options? Why can't I trade VIX on Nasdaq?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 18.35
• Mark S. - 16.5

This week:

• Mark L. - 17.65
• Mark S. - 16.49

Volatility Review: A look back at the week from a volatility perspective. Apple and Non-farms are on the radar today.

A rough month for equities:

• 9% Drop - the largest monthly Nasdaq drop since Nov 2008.
• 7% Drop - largest S&P monthly drop since Sept 2011.

Apple screwed the pooch:

• Apple tumbles 7% after earnings on light guidance.
• Market cap back below $1T

Earnings Highlights from Last Week:

• Tuesday - GE, Sony, BP, FB, eBay, Pfizer, Coca-Cola
• Wednesday - GM
• Thursday - Apple, Starbucks, Weight Watchers, Spotify, Cigna, Dow/DuPont
• Friday - ExxonMobil, Cboe, Alibaba, Chevron, Berkshire Hathaway

Volatility indexes:

• VIX Cash - 20.5, 6.5-points lower than last show.
• VVIX - 99, 21-handles lower than last show.
• VIX Options - ADV: 609k, VIX call/put: 2.4/1, Total 8.24m (5.84m Calls, 2.40m Puts)
• VXX - 37.5, 3-points lower than last show

Volatility Voicemail: Options question of the week:

Volatility is all over the place these days. Some say it's too cheap, others say it's too expensive. Either way they want to trade it. What's your weapon of choice when trading the wacky world of volatility?

• VIX options/futures
• VXX options/ shares
• TVIX shares
• SPX / SPY options

Listener questions and comments:

• Question from Alan Jackson -You guys say to close or roll ahead of VIX expiration to avoid the settlement flimflammery. So when should I do it? The day before settlement? The last hour of the day? A few days before? What's the ideal closing scenario?
• Question from Numrr - What's your preferred ratio of puts to underlying when trading VXX. Obviously you have to overweight with puts but how much? I like to keep 3 OTM puts on for every share of VXX. That way I'm biased short but also have something in my back pocket for weeks like this. What are your thoughts on that ratio?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 18.15
• Mark S. - 17.25
• Guest - 18.50

This week:

• Mark L. - 18.35
• Mark S. - 16.50

Volatility Review: A look back at the week from a volatility perspective.

• VIX Cash - 26.9, 6.8 points higher than last show
• VVIX - 120, 4 handles higher than last show
• A Listless VIX Says This Sell-Off Reeks of 'Dumb Money' by Luke Kawa - Bloomberg
• VIX Options - ADV: 574k, VIX call/put: 2.8/1, Total 7.47m (5.53m Calls, 1.95m Puts)
• VXX - 40.75, 6 points higher than last show
• Bitcoin Price Volatility Falls to Lowest Of 2018
• The Dollar Is the New VIX, And the Bitcoin Connection by Brian Kelly - Forbes

Volatility Voicemail: Options question of the week

Earnings are back with big tech names on the docket. Which of the following will be lighting up your #Options trading this week? Bonus points for your preferred strategies - e.g. call vertical, straddle, etc.

• 28% - Microsoft $MSFT
• 34% - Amazon $AMZN
• 10% - Alphabet $GOOGL
• 28% - Twitter $TWTR

Listener questions and comments:

• Question from Cube Finance - Do we smell the distinct odor of feedback loops about to take off? #risk #volatility
• Question from Darren Hom - VXX and the index it's based on provided a statistically significant exposure to shorting straddles. This was not the case for VIX, presumably because of volatility drag. Is it that bad that XIV is gone?
• Question from PRGR0 - SPY or SPX better for straight vol plays like straddles?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 17.75
• Mark S. - 16.25

This week:

• Mark L. - 18.15
• Mark S. - 17.25
• Guest - 18.50

Volatility Viewpoint: Featuring special guest Bob Krause of Demand Derivatives.

He discusses:

• What is Demand Derivatives?
• What happened to VolX?
• What's new from Demand Derivatives?
• Limited-risk futures contracts
• Taking a cue from Buffett
• Converting the skeptics

Volatility Review: A look back at the week from a volatility perspective

• VIX cash: 2.5 points lower than last show
• VIX range this week: 17.06 - 22.89
• VVIX 10 handles lower than last show
• VIX futures curve: super backward again
• Vol is expensive

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark: 17.65
• Andrew: 26.01

This week:

• Mark L.: 17.75
• Mark S.: 16.25

Volatility Review: VIX Cash - 22.35, 6 point from last show, up nearly 10 points from two weeks ago. VVIX - 126, 15 handles higher than last show, 34 higher than two weeks ago. VIX Options - ADV: 541k, VIX call/put: 2.7/1, Total 9.53m (6.93m Calls, 2.60m Puts), VXX - 35.65, 9 points higher than last show.

Volatility Voicemail: Listener questions and comments

• Comment from DelVecchio - Dude WTF #VIX.
• Comment from XXX - "THERE IS A SPECIAL PLACE IN HELL FOR PEOPLE WHO QUOTE VIX AS A PERCENT."
• Comment from Martin Ryan - XIV imploded. TVIX is alive and kicking - I've used it for years. The other options have their advantages and disadvantages too - good luck trying to get a reasonable fill from options traders in a fast market. At least with an ETF or ETN I have liquidity...
• Question from Grigs - Why would shorting volatility during VIX futures contango fail?
• Question from JasonNolk - Suggestions on how to be best net neutral here?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 12.55
• Andrew - 13.25

This week:

• Mark L. - 17.65
• Andrew - 26.01

Volatility Review: A look back at the week from a volatility perspective

• Non-farms come in lower than expected
• Unemployment drops to 3.7%, the lowest since 1969
• Bitcoin vol falls to lowest levels this year
• VIX up 4.3 from last week
• VVIX up 19 from last week
• VXX nearly unchanged from last week

Volatility Voicemail: Volatility Flash Poll

What is your weapon of choice when trading volatility? VIX VXX SPX SPY

• VIX
• VXX
• SPY/ SPX options
• Other

Listener questions and comments:

• Comment from Martin Ryan - TVIX, UVXY, SVXY.I've given you three good alternatives (one an inverse). There is nothing little about either TVIX or UVXY - both have good liquidity, tight spreads and good trading price action. The VIX imploded, but the aforementioned are doing well as effective alternatives to options.
• Comment from Ryan - ETF - SQQQ
• Question from Alacor - Like the show. Tried my hand at crystal ball. Not good. Heard you talk about straddle runs in SPX. Are there any products that package hedged ATM straddles as a product? Maybe they offer to delta hedge as well?
• Question from Telly0 - Are there any long VIX vehicles that don't erode to zero?
• Question from T Dog - Is it better to only take the short volatility trades and ignore the long volatility trades?
• Question from one0761 - Are we in the midst of a major correction.

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 11.75
• Mark S. - 12.15
• Bill - 13

This week:

• Mark L. - 12.55
• Andrew - 13.25

Volatility Review: A look back at the week from a volatility perspective

This week, featuring guest co-host Bill Valentine from Valentine Ventures.

• The old VIX call vs SPX put debate continues
• VIX Cash - 12.5, up 0.3 from last show
• RVX - 14.6, up 0.7 from last week
• VVIX - 89, 2 handles higher than last show
• Size "hedge" in SPX puts this week
• VIX Options - ADV, 452K, VIX call/put: 2.8/1, Total 7.77m (5.74m Calls, 2.03m Puts)
• VXX - 26.65, almost unchanged from last show

Volatility Voicemail: Volatility Flash Poll

The CBOE Skew Index alarmed many when it soared above 150. Of course, every index tells its own skew story. Which index do you think has the steepest skew right now (aka 25D put vol vs. 25D Call vol)?

• Russell 2000
• S&P 500
• Nasdaq
• Other

Listener questions and comments:

• Question from Leans - Do you think SVXY will ever go back to its pre-Feb structure?
• Question from Tim - Is there really such a thing as a "covered call" in VIX since the options don't expire into futures? If I'm long a future and sell a XIV call against it what is that called?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 11.25
• Mark S. - 12.14

This week:

• Mark L. - 11.75
• Mark S. - 12.15
• Bill - 13.00

Volatility Review: A look at the week from a volatility perspective

VIX Cash - 12.2, down 2.2 points from last show

• RVX - 13.9, down 2 points from last week
• VVIX - 91, nine handles lower than last show
• Cboe SKEW Index Tops 150 for Record Four Straight Trading Days; Some Cite Surge in Black-Swan Hedging
• VIX Options - ADV: 467k, VIX call/put: 2.8/1, Total 6.86m (5.04m Calls, 1.82m Puts)
• More size Oct/Nov risk reversal on Weds - over 50k on the tape.
• VXX - 26.65, over 1 point lower than last show.

Volatility Voicemail: Options question of the week

Some people look to analysts for their market outlook. We prefer to analyze actual options positions. This week we're looking at SPY. In a nutshell - what do you think is the largest options position in SPY right now? No cheating - what does your gut tell you?

• 16% - SPY Mar 255.0 P
• 32% - SPY Oct 272.0 P
• 34% - SPY Dec 31st 320.0 C
• 18% - SPY Sep 300.0 C

Listener questions and comments:

• Question from Godfr3y - I'm long VXX from 28.30 and long Jan 25 puts from $.55. Today I sold the Oct05 29.50 call for $.56. Thoughts? Should I just scrap the shares?
• Question from Piers - I'm long a bunch of VXX puts. I'm wondering if it is cheaper to buy VXX stock rather than the OTM calls to hedge against vol spikes over short periods like weekends or a few days. The underlying isn't going to suffer the same theta as the options and you get more deltas.

Crystal Ball: Wild prognostication

Last week:

• Mark L. - 11.67
• Mark S. - 12.15

Next week:

• Mark L. - 11.25
• Mark S. - 12.14