Volatility Views

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

• VIX Cash - 12.2, down 2.2 from last show
• RVX - 13.9, down 2 points from last week
• VVIX - 91, nine handles lower than last show
• VIX Options - ADV: 459k, VIX call/put: 3/1, Total 8.66m (6.48m Calls, 2.18m Puts)
• Why go 1x2 when you can go 1x4!?
• VXX - 27.80, nearly 3 points lower than last show

Volatility Voicemail: Volatility Flash Poll

VIX is threatening 15 and VXX is back above 30. Is this the return of volatility or just a blip? Quite simply - where will we be at the end of next week?

• 14% - Here: VIX=14, VXX=30
• 32% - Low: VIX=
• 15% - Lower: VIX=
• 39% - Higher: VIX=

Listnener Questions and Comments:

• Question from Eleva7 - Since VXX erodes so aggressively is the best bet for long players to overwrite calls aggressively? Slight OTM, ATM or perhaps even ITM? Has anyone researched this to see if that outperforms long only?
• Comment from Louis Pena - Insider should create its own indicator. Some sort of VXX erosion indicator. The Erosionator?

Crystal Ball: Wild prognostication

Last week:

• Mark L. - 13.75
• Mark S. - 13.00

This week:

• Mark L. - 11.67
• Mark S. - 12.75

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

VIX Cash - 14.4, up 2.4 from two weeks ago

• RVX - 15.90
• VVIX - 100 - 7 handles higher than last show
• VIX Options - ADV: 459k, VIX call/put: 3.3/1, Total 7.62m (5.82m Calls, 1.80m Puts)
• VXX - 30.40, nearly 2-points higher than last show

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. 11.55
• Mark S. - 11.95

This week:

• Mark L. - 13.75
• Mark S. - 13.00

This episode was originally posted on August 28th, 2017.

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

The numbers:

• VIX Cash - 12.33, a high of 14.45 on Monday.
• VVIX - 100
• CBOE Skew Index - 130

Russell's Weekly Rundown

• VIX Options: ADV - 764k, VIX Call/Put - 3.4, Total 11.5m (8.88m Calls, 2.66m Puts)
• VXX reverse split trade

Volatility Voicemail: Listener questions and comments

Comment from JLC - That $VIX 60 guy is just nuts. He's just trying to make a name for himself with that prediction. $SPX wld need to drop over 10% to be right.

Question from FContangotrader - What is your thought on $VIXH? Maybe every episode you can give an intro into various Vol ETN and ETF. Thanks and keep with good work

Comment from FContangotrader - Mark Sebastian, so how do you hedge your gamma and your mother in law?

Crystal Ball: Wild and reckless prognostication

Last week

• Mark L. - 13.55
• Mark S. - 12
• Kevin - 18.25
• Guest - 14.30

This week

• Mark L. - 11.75
• Mark S. - 11.00
• Russell - 10.80

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

• VIX Cash - 12, down one point from last week.
• VVIX - 93, ten handles lower than last week.
• VIX OPTIONS - ADV: 462k, VIX call/put: 3.3/1, Total 6.31m (4.83m Calls, 1.48m Puts)
• Return of the 1x2?
• VXX - 28.65, one and a half points lower than last week.
• Earnings Volatility: NVDA - ATM straddle: $16.50, approx. 6%
• VIX lawsuit press release - Kessler Topaz chosen as co-lead counsel overseeing national antitrust case alleging manipulation of CBOE's Volatility Index

Volatility Voicemail: Options question of the week

We're talking about crypto derivatives at the @BlockchainVoice Conference. So this week we want to know which crypto product you'd like to see listed on a major venue next?

• Bitcoin Options
• Ripple Options/Futures
• Ether Options/Futures
• Litecoin Options/Futures

Listener questions and comments

• Comment from Vixologist: VolTwits should listen to @ScottNations on latest installment of Volatility Views from @Options https://tinyurl.com/yb9uebww Scott talks about the alt volatility measures he has developed.
• Comment from Middling Radical: I have his thinkorswim indices up but confess I find the VIX complex and certain ratios just as helpful.
• Comment from FearMerchant: I have them on my screen and I was tracking a ratio of VIX/VOLI for a while to see when they diverge/converge. It proved to be of little value.
• Comment from David Lincoln : They have some good people on that show....... ;)
• Comment from FContangotrader: VIX at 12.28 and the market at ATH says everyone are hedged with puts SPX,VVIX over 100 says lot of VIX calls buying as a hedge also, market will break to the upside.
• Comment from Nathan L.: All these people buying VIX puts have me confused. How low can this vol bear trend really get - maybe 9? So the downside is quite limited. I definitely prefer bull call spreads in this environment with potentially selling OTM puts as a financing tool.

Crystal BallL Your prognostication headquarters

Last week:

• Mark L.: 12.25
• Mark S.: 11.95

Next week:

• Mark L.: 11.55
• Mark S.: 11.95

Volatility Review, featuring special guest Scott Nations, CNBC Contributor & Creator of VolDex.

He discusses:

• An update on SkewDex/VolDex.
• Will Nasdaq list it soon?
• Does the current debate over VIX manipulation create an opportunity for VolDex, or does it muddy the waters for all volatility products?
• Is he hearing more clients and customers who are interested in a skew-less VIX?

A look back at the week from a volatility perspective

• We 've had a volatility whipsaw recently - we 're up, then we 're down.
• VIX Cash - 13, slightly up from last week.
• VVIX - 103.5, higher than last week.
• VIX Options - ADV: 451k, VIX call/put: 2.9/1, Total 8.79m (6.56m Calls, 2.22m Puts)
• VXX - 30.25, slightly higher than last week.

Volatility Voicemail: Listeners weigh in

• Question from B Bort - Why does skew exist in VIX options?
• Question from Lisl - I looked at VXX Jan 10 puts then ended up moving up the chain to the 20s. Got some ranging from $.65-$.82. So a little bit more but I think my odds are better. Although I could get 60-80 of the other puts for every one of these. Do you hate?

Volatility flash poll: Play along with the Volatility Views crew and make your own guess for the Crystal Ball segment. Where will VIX be at 1pm Central on Friday (aka the end of the show).

• 12.5-12.99
• 13-13.49
• 13.5-13.99
• 14-14.5

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 12.25
• Andrew - 11.01
• Guest - 13.05

This week:

• Mark L. - 12.25
• Mark S. - 11.95

Volatility Review with very special guest co-host Russell Rhoads, Head of Derivatives Research at the Tabb Group.

• Volatility and selloffs return briefly during earning season.
• VIX Cash - 11.83, down slightly from last week.
• VVIX - 88, unchanged from last week.
• VIX Options - ADV: 440k, VIX call/put: 3/1, Total 7.95m (5.96m Calls, 1.99m Puts)
• VXX - 28.5, 2 points lower than last week.

Volatility options question of the week: VXX has finally broken through the 30 handle. Many of you are fascinated with the ongoing saga of the VXX Jan 10 Puts. OI is over 200k and thousands continue to trade for $.01. Our question: Would you trade these puts?

• 57% - Yes: Buy for $.01
• 14% - Yes: Sell for $.01
• 23% - No. It's Just Gambling
• 6% - I have enough VXX Puts

Volatility Voicemail: Listeners have their say

• Question from VolBug - When it's all said and done, is the bottom line that all inverse VIX products, whether short term or mid-term, can be subject to an acceleration event like SVXY given a high enough spike in the VIX? Thanks!
• Question from LL09 - Are you guys still trading these things? Saw 1k go up yesterday. Was that meatball?
• Comment from LVAC2 - Etrade wants to charge me $159.95 to buy 200 of those VXX Jan 10 puts. That's highway robbery!

Crystal Ball: Getting our prognosticating on

Last week:

• Mark L. -11.45
• Mark S. -12.76
• Guest - 12.05

This week:

• Mark L. -12.25
• Andrew -11.01
• Russell - 13.05

Volatility Review: A review of the week from a volatility point of view, featuring guest co-host David Lincoln of The Short Vol Show.

• VIX Cash - 11.83, down slightly from last week.
• VVIX - 88, three-points lower than last week.
• VIX Options - ADV: 440k, VIX call/put: 2.9/1, Total 6.44m (4.79m Calls, 1.64m Puts)
• VXX - 30.5, half a point lower than last week.
• Earnings Volatility: Apple, Tesla, Activision/Blizzard, Shake Shack, Blue Apron, Go Pro and Cboe

Volatility Voicemail: Listners take over

Options question of the week: Earnings season is still in full swing. Which names will dominate your #Options trading this week?

• 46% - Apple, $AAPL
• 40% - Tesla, $TSLA
• 8% - GoPro, $GPRO
• 6% - CBOE, $CBOE

Listener questions and comments:

• Question from Nils - You guys buying any more of those VXX puts?
• Question from Roxy -Explain to me again how buying thousands of worthless January puts in VXX is a good trade?
• Question from Elan - My broker doesn't list the $VIX futures alongside the options. It's damn confusing! Why don't they all just post them so I can see what I'm trading my options on? Instead I have to pull up a separate platform with the futures quotes so I can make sense of it all.

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -12.45
• Andrew -13.25

This week:

• Mark L. -11.45
• Mark S. -12.76
• David - 12.05

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

• Trump threatens $500B more tariffs, the market still shrugs.
• VIX Cash - 12.14
• VVIX - 91, nine points lower than last week.
• VIX Options - ADV: 460k, VIX call/put: 3.1/1, Total 6.44m (4.79m Calls, 1.64m Puts)
• VXX - 30.5, ADV: 248k, Total 2.49m (1.20m Calls, 1.30m Puts)

Earnings:

• Monday - Google
• Tuesday - AT&T, Verizon
• Wednesday - UPS, Boeing, Coca Cola, GM, FB, PayPal, Qualcomm
• Thursday - Amazon, McDonalds, Comcast, Starbucks, Nokia
• Friday - Twitter, Merck

Volatility Voicemail: Listener questions and comments?

• Question from Vizinator - Are there $VXX equivalents for Nasdaq, Dow and Russell?
• Comment from Paul F. - Andrew should change his VIX zones to go negative to indicate when VIX is in drawdown mode. Also, shame on him for nickeling Longo on Crystal Ball. He should lose just for that.
• Question from Dawiz - Gun to head, best VIX options strategy? No dawdling. Top of your head.

Crystal Ball: Your prognostication headquarters

Last week's guesses:

• Mark L. - 12.23
• Andrew - 12.22

This week's guesses:

• Mark L. - 12.45
• Andrew - 13.25

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

• More trade war! Trump threatens $500B more tariffs, the market shrugs.
• VIX Cash - 12.50
• VVIX - 100
• VIX Options - ADV: 460k, VIX call/put: 3.1/1, Total 5.42m (4.09m Calls, 1.34m Puts)
• VXX - 31, ADV: 255k
• Earnings: Netflix and Microsoft

Volatility Voicemail: Listeners have their say

QOTW: Trading Options during earnings season can be challenging. Some live for it while others avoid it. Do you hold Options positions through Earnings announcements? If so, what is your approach? Or do you prefer to trade just before/after the event? Or is it all too risky?

• 28% - Yes, Short Premium
• 20% - Yes, Long Premium
• 25% - No, Too Risky
• 27% - I trade around the event

QOTW, part deux: Yup it's earnings season once again. Options traders are gearing up for a busy season. Which names do you think will dominate your options trading this season?

• NFLX
• AMZN
• TSLA
• GOOGL

Listener questions and comments:

• Question from BigDawg - Are there any of the proprietary vol indicators out there that you guys follow regularly?
• Question from Lil Vig - Is VXX the greatest trading vehicle ever created? So much sweet erosion.

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. -12.20
• Andrew -12.25
• Guest - 11.99

Next week:

• Mark L. - 12.23
• Andrew - 12.22

Volatility Review: Today's guest is David Lincoln, ex-CBOE Market Maker and Host of The Short Vol Show on YouTube.

A look back at the week from a volatility perspective:

• What trade war? The market has rallied almost non-stop post Trump trade war
• VIX Cash - 12.50, 1.25 point lower than last week.
• VVIX - 101, almost unchanged from last week.
• VIX Option - ADV: 496k, VIX call/put: 2.8/1, Total 7.89m (5.82m Calls, 2.07m Puts)
• Risk reversals keep popping up.
• VXX - 31.6, 3 points lower than last week.
• VIX ETF love affair endures as volatility falls

Volatility Voicemail: Options question of the week, part one.

Traders generally fade volatility going into holidays (today notwithstanding). What's your favorite vehicle when you want to wager on the dark side of volatility? Short-term or Long-term - that's up to you.

• 27% - Short VIX Futures
• 17% - Long $VIX Puts/Spread
• 33% - Long $VXX Puts/Spread
• 23% - Short $VIX Calls/Spreads

Options question of the week, part two.

Trading options during earnings season can be challenging. Some live for it while others avoid it. Do you hold options positions through earnings announcements? If so, what is your approach? Or do you prefer to trade just before/after the event? Or is it all too risky?

• Yes, Short Premium
• Yes, Long Premium
• No, Too Risky
• I trade around the event

Listener questions and comments:

• Question from Vixland -Why would these puts gain value? $VXX never crashes down. Please explain. Love the shows. KEEP IT UP!
• Comment from Beachlot - With on the story from Bloomberg last week. They should be embarrassed writing a story on a 70k vol trade.
• Question from BT Burg - What is the best way to trade these inverse VIX ETFs going forward? If I'm long XIV does it make sense to always have some VIX calls in my back pocket just in case? Doesn't that get expensive really quick? What about spy puts? Or should I just have puts on the inverse ETF in case the counterparties get cold feet?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -12.50
• Mark S. -12.90
• Guest -13.63

This week:

• Mark L. - 12.20
• Andrew - 12.25
• Guest - 11.99