Volatility Views

Volatility Review: What trade war? The market rallies despite the fact that the trade war has begun.

Market review:

• VIX Cash - 13.75, 1.25-points lower than last week.
• VVIX - 103, almost unchanged from last week.
• VIX Options - ADV: 496K, VIX call/put: 2.7/1, Total 7.04m (5.16m Calls, 1.88m Puts)
• A lot of VIX risk reversals hitting the tape today.
• VXX - 34.6,0.5-points lower than last week.

Volatility Voicemail: Flash poll

Which product or complex will experience the greatest #Volatility going forward as a result of this trade war? Gold? Crude Oil? Equities? Soybeans?

• Soybeans
• Gold
• Crude Oil
• Equities

Options question of the week: 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.

• Short VIX Futures
• Long VIX Puts/Spread
• Long VXX Puts/Spread
• Short VIX Calls/Spreads

Listener questions and comments

• Question from LVist - Are you guys as surprised as me by VXX's stubbornness? It refuses to break the 30 handle.
• Question from Casey - Is it me or is the vol space much more boring after VIX/SVXY? Those were my two favs. Seems like there's not much to take their place. What's the new short vol play?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. -12.55
• Mark S. -12.95

This week:

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

Volatility Review: Looking back at the week from a volatility perspective

• VIX Cash - 15
• VVIX - 104
• VIX Options - ADV: 496k, VIX call/put: 2.7/1, Total 6.78m (4.96m Calls, 1.81m Puts)
• VXX - was 40, now 35.
• Hedge Fund That Made 6,000% on VIX Jump Bets on Next Blow-Up - What is UVXY?
• UVXY: Big ETF Outflows

Options Questions of the Week: We ask, you answer

This Week's Question: Crude Oil has been on a tear this week. We know that many of you are trading options on this hot commodity. Quite simply - which options product are you using to slake your thirst for Crude Oil? WTI? USO? XLE?

• WTI
• USO
• XLE
• Other

Last Week's Question: Let's have some fun. These "entertainment" stocks are pricing in big moves. Gun to your head: Which July ATM straddle would you rather own in your portfolio? WWE? DIS? WYNN? SEAS?

• WWE July ATM Strad: 7
• WYNN July ATM Strad: 12
• SEAS July ATM Strad: 2
• DIS July ATM Strad: 5

Listener questions and comments:

• Question from Btburg: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?
• Question from BFolk - I like the suggestion of a short 30 or 60-day call 1x2 in VXX to hedge my longer term puts. How did that strat work out this week? Something like sell near OTM buy 2 farther OTM same month. May help motivate me to put some on this week.
• Question from Folfox - @Options Do you prefer iron condor vs. iron butterfly? (I know 1 strategy won't work every time, but what scenario is preferred).
• Question from RevTimTom - What's your favorite way to trade skew?
• Question from Gglee - Buying collars means buying skew and paying up. So does it stand that the best spy trade is selling skew by selling 25 delta puts and buying 25 delta calls? Maybe add a cheap hedge with 5 or 10 delta put in case worst comes to pass? Right now I can sell the SPY Oct 25D put for .55, buy the Oct 25D call for .55 and then buy put hedge for about .20 net outlay. Thoughts?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. -12.05
• Mark S. -11.55

This week:

• Mark L. - 12.55
• Mark S. - 12.95

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

• Fiddy cent returns
• Seagull spread?
• VIX cash: 14.64
• Tweaks to VIX
• VVIX: 107.50
• Google interest: Top five states with the most interest in volatility (Mark S. got 2/5)
• Google interest: Top five states with the most interest in VIX
• VIX options
• Big call and put strips
• The VXX whiff of weirdness

Volatility Voicemail: Listeners have their say

Options Question of the Week: Let's have some fun. These "entertainment" stocks are pricing in big moves. Gun to your head: Which July ATM straddle would you rather own in your portfolio? WWE? DIS? WYNN? SEAS? #DegeneratePremiumBuyers #PalmsIn #FearNoTheta

• WWE July ATM Strad: $7
• WYNN July ATM Strad: $12
• SEAS July ATM Strad: $2
• DIS July ATM Strad: $5

Listener questions and comments:

• Question from Rick S.: What exactly does it mean to roll positions the week of expiration?
• Question fro Telly0: Are there any long VIX vehicles that don't erode to zero?
• Comment from JTack: Looks like call front spreads (short 1 near OTM, long 2 farther OTM) in VXX are the best way to hedge long term VXX puts. That way you're covered against a blowup but you're not shelling out a ton for straight up calls or verticals.

Crystal Ball: Wild and reckless prognostication

Last guess:

• Mark L. 11.85
• Andrew: 11.80
• Mark S. 11.55

This week:

• Mark S. 11.55
• Mark L. 12.05

This episode was recorded live at the Option Pit Pro Trader Summit. Andrew, Mark and Mark take the show on the road. Analysis, wit, and wisdom ensued.

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

• VIX Cash: 12.21 and as high as 13.30.
• VVIX - 93
• VIX Options - ADV: 535k, VIX call/put: 2.6/1, Total 7.95m (5.78m Calls, 2.17m Puts)
• The return of the 1x2?
• Plenty of call love yesterday
• Paper sells call June vertical yesterday

Volatility Voicemail: Flash poll!

Let's stick with our Volatility theme to round out the week. Quite simply - which product do you think has the highest 30-day implied Volatility? No cheating (or checking with your broker)! What does your gut tell you? VIX? Bitcoin? TSLA? RUSSELL2000? RUT? IWM?

• 34% - Tesla, TSLA
• 21% - VIX
• 35% - Bitcoin
• 10% - Russell 2000: Emini, RUT

Listener questions and comments

• Question from Lisag - I'm confused. Why would someone by such an outlandish vertical in a product that essentially rots to zero?
• Comment from Kaijan - I would sell that VXX July call spread all day long. In fact I did! Thx for giving me the idea on your last show. Keep up the vol fun!
• Question from Deville - Great show. How do I get my volatility fund profiled on Volatility Views?
• Question from FNews2 - Do you think eliminating the traditional earning call would be a bad move for vol traders? I kind of take the view that it would smooth things out and make it a little less likely to get run over. Crazy?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. -12.95
• Mark S. - 12.50

This week:

• Mark L. - 11.85
• Andrew - 11.55

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

• VIX Cash - 15.43, 3 points higher than last week.
• VVIX - 95, 5 points higher than last week.
• VIX Options - ADV: 557k (substantially lower than last show), VIX call/put: 2.8/1, Total 7.00m (5.14m Calls, 1.85m Puts)
• What about the roll from June to July 37.5?
• VXX - 35, 1 point lower than last week.
• Paper buys buys size VXX July call spread.
• VIX-mageddon revisited: it's the buyers who disappeared

Volatility Voicemail: Options question of the week

Holiday Weekends are notoriously tough for VIX traders. The markets love to crush Volatility going into these events. So we thought we'd poll the savvy VIX traders in our audience - where do you think VIX will OPEN on Tues 5/29?

• 39% - Here: 12-14
• 30% - Higher: 14-16
• 18% - Lower: 10.5-12
• 13% - Much Higher: >16

Flash Poll: Let's stick with our Volatility theme to round out the week. Quite simply - which product do you think has the highest 30-day implied Volatility? No cheating (or checking with your broker)! What does your gut tell you? VIX? Bitcoin? TSLA? RUSSELL2000? RUT? IWM?

• Tesla, TSLA
• VIX
• Bitcoin
• Russell 2000: Emini, RUT

Listener questions and comments:

• Comment from Charles Montgomery Burns releasethehounds -I enjoyed listening to the broadcast today. Excellent
• Question from Ned Brown - I wish it was made clear in these articles that the problem seems to be around settlement in the VIX. A good idea on orders to bring more liquidity into the settlement. I assumed the big volatility was the reason crypto options weren't being pushed. Has anyone asked the SEC about them?
• Question from Bellat - What do you think of crypto Vol at these levels particularly bitcoin? Are you guys doing any trading even though there aren't really any true options available yet?
• Question from Pilz - Did we ever uncover the mystery behind 50 cent?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. -12.95
• Mark S. -13.50

This week:

• Mark L. -12.95
• Mark S. - 12.50

Volatility Viewpoint: Today's guest is Tom Lee, Managing Director at Investment Strategy and Research at Parametric.

He discusses:

• What is Parametric?
• Who are their customers?
• What do they trade?
• Harvesting risk premium
• VIX: Is it rigged?

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

• VIX Cash - 12.53
• VVIX - 90.5
• VIX Options - ADV: 592k, VIX call/put: 2.8/1, Total 6.67m (4.94m Calls, 1.72m Puts)
• VXX - 33.81

Volatility Voicemail: Options question of the week

Holiday Weekends are notoriously tough for VIX traders. The markets love to crush Volatility going into these events. So we thought we'd poll the savvy VIX traders in our audience - where do you think VIX will OPEN on Tues 5/29?

• Here: 12-14
• Higher: 14-16
• Lower: 10.5-12
• Much Higher: >16

Listener questions and comments:

• Comment from James1 - I took a flyer on a couple hundred VXX Jan 10 puts for .03 after learning about them on your shows. Seems like I'm not alone as a few hundred thousand others appear to have joined the party. It's a fairly cheap roll of the dice on long term VIX erosion without massive risk or expense.
• Question from Malik - VXX puts to spec on contango in VIX futures makes sense to me. Do you think it's worth it to have a few VXX OTM call spreads in the back pocket as well to help protect or spec on a few reversals that buck the long-term trend? Or is it just wasted money on anything bullish VXX?
• Question from TGeek -Thx for the show. Can you include a breakdown of OTC variance swaps on an upcoming episode?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -13.25
• Mark S. - 12.75

This week:

• Mark L. - 12.95
• Mark S. - 13.50

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

• VIX Cash - 13.43, almost unchanged from last week.
• VVIX - 93
• VIX Options - ADV: 592k, VIX call/put: 2.7/1, Total 5.86m (4.26m Calls, 1.59m Puts)
• VXX - 34.87

Volatility Voicemail: Listener questions and comments

• Question from Trevor Salsman - Why no love for ZIV on volatility views?
• Comment from Tom Frank - Not sure I agree with your consensus that covered calls are better for novice options traders. Puts typically have higher implied volatility and should generate higher returns than covered calls over time and have a better risk/reward. The novices would probably appreciate the higher returns.
• Question from OliveTrader2 - What kind of volatility reaction should we expect if trade talks are successful or unsuccessful?
• Question from Bruce Stern - I know that contango in VIX futures is the best scenario to foster VXX erosion. But is there a particular degree of slope or term structure that is optimal for maximum roll decay in the VXX product? Or is it just a question of the steeper the term structure slope the better?
• Question from NMZ56 - Not sure my fav vol product has been invented yet. Outside of a truly tradable cash VIX, maybe we need some sort of cool earnings volatility product. Maybe something that allows you to trade the straddle without actually having to trade it? I think that would open the strategy up to more people.
• Question from MTimes - What do you guys think of UPRO? Does the levered nature of this product make it a decent stand-in for some of the other vol products out there that have been defanged recently like SVXY or delisted like XIV?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 13.55
• Mark S. - 12.75

This week:

• Mark L. - 13.25
• Mark S. - 12.75

Volatility Viewpoint: Today's special guest is Shelly Brown, EVP, MIAX

He discusses:

• SPIKES volatility index
• What is it?
• And more...

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

• VIX Cash - 13.25
• VVIX – 93
• VXX - 36.50
• VIX Options - ADV: 671k, VIX call/put: 2.7/1, Total 8.31m (6.02m Calls, 2.30m Puts)
• Goldman: Retail volume 'leapt to the highest levels in at least a decade' in early 2018

Volatility Voicemail: Listeners have their say

• Question from James Emmett - What's your take on the new Spikes volatility product?
• Question from Union J. - Will we ever have a VIX index product that we can actually buy and sell?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -16.05
• Mark S. -14.25
• Guest - 15.25

This week:

• Mark L. -13.55
• Mark S. -12.75

Originally Posted February 8th, 2016

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX).

• VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts)
• Earnings Volatility: LNKD after the bell: ATM straddle = $22, approx. 11.5%, after-hours move approx. $50.
• Crude Oil: Wall St. fluctuates as equities track oil prices. Is oil driving the stock market? And should traders care?

Volatility Voicemail: Listener questions and comments

• Question from GBL - Stock splits are seen to be greatly beneficial to options volume. But do they also decrease volatility, which should hurt options trading?

Around the Block: Prognosticating. Wild and reckless prognosticating.