Volatility Review: VIX Cash - 13.45, Where is the Vol coming from?

• VVIX: 89
• VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week.

Russells Weekly Rundown

• Interesting VIX weekly trades
• VIX Options ADV: 550k
• A very light volume week. 79k contracts on 12/27, lightest of the year. Total 5.25M (3.95m Calls, 1.3m Puts)
• Oil Volatility: OIV/OVX: 29

Volatility Voicemail/End of Year Volatility Pop Quiz.

$VIX is currently 13.71. Where will $VIX close for 2016?

• Between 13.75-14
• Over 14
• Between 13.5 - 13.75
• Below 13.50

Listener questions:

• Question from Tadoom: Biggest volatility surprise of 2016? Mine was Brexit.
• Question from RealRX: Hey fellas! When Vol is this low and heavy volume in Jan SPY puts of late, what long Vol delta range do you prefer to use in these super cheap premium times?
• Question from Andrew P.: Which president oversaw the period of greatest volatility?

Crystal Ball: Year-end prognosticating

Last week:

• Mark S - 11.25
• Russell - 12

Bonus Round - Next year:

• Russell - low: 12.50, high: 37.37, avg. 17.50
• Mark S. - low: 10.50, high: 25.00, avg. 15
• Mark L. - low: 10.00, high: 34.50, avg. 15.5

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

• VIX Cash - 11.75
• VVIX at 89, rebounding slightly off late-November ow of 79.
• VIX Futures: Approx. 2.5 point premium cash vs. Jan future.

Russells Weekly Rundown:

• Watching the Dec 28 strike
• VIX Options: ADV - 550k. A decent volume week, several days over ADV, light volume on Friday. Total 4.80m (3.55m Calls, 1.26m Puts)
• Crude Oil: Crude Vol continues to be crushed, now below 30. OIV/OVX - 29, what is the new floor for crude volatility?

Volatility Voicemail: Listener questions and comments

#QuestionOfTheWeek - Major market indices are pushing record highs. Everyone has protection on the brain. How do you protect your portfolio?

• Just Move to Cash/Bonds
• Protective ATM/OTM Put
• Put Spread/Ratio Put Sprd
• Collar or Collar w/Kicker
• Question from Ian Wagner - I am confused. Are there tradable RVX options? CBOE has microsite, but not seeing them listed on brokers. Thanks!
• Question from Eddy - December for volatility; Is this month always the seasonal low for volatility in the year, or is that still reserved for July/August?

Crytsal Ball: Wild prognostication ensues

Last week:

• Mark L. - 12.25
• Mark S. - 11.5
• Russell - 13.5

This week:

• Mark L. - 11.25
• Russell - 12

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

• VIX Cash: 12.3
• VVIX: 91
• VIX Futures are about 2.5 handle premium between cash & Jan futures.
• VIX Options: 845K contracts on Tuesday lighter volume the rest of the week. Total 7.79m (5.49m Calls, 2.30m Puts)
• Oil: Crude Vol continues to be crushed with OIV/OVX at 30.

Volatility Voicemail: Question and answer time

#QuestionOfTheWeek: Financial advisors represent the last options frontier. What level of options knowledge do you expect from your advisor?

• None - I'll do it myself
• Level 1: Buy Puts/Calls
• Level 2: Income & Vol
• Level 3:Option Specialist
• Question from Hitman - Is the crab priced in yet? What about black swan events? Any options indicators shooing one of those may be on the horizon?
• Question from Vegan - You mention the Fed with regards to equities. Should the Fed really care about what the market is doing?

Crystal Ball: In which the hosts guess the close of next week's VIX

Last Week:

• Mark L. - 12.25
• Mark S. - 11.5
• Russell - 13.5

This Week:

• Mark L. - 11.75
• Andrew - 12.55
• Russell - 13

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

• VIX Cash - 12.3
• VVIX - 91

Russells Weekly Rundown:

• A glimpse into Russells RMC Asia excursion.
• VIX Options: A heavier volume week this week. Total 6.79m (4.75m Calls, 2.04m Puts)
• Earnings Volatility: Block Trade Analysis: A buyer of 250,000 XLF Jan 20th 25 calls
• Oil Vol: Crude Vol gets a smack down. OIV - 32, WTI back over $50 is contributing to the Vol collapse.

Volatility Voicemail: Listener questions and comments

• Comment from JoeSmith78 - Profit taking after FOMC meeting is my guess, why else would they move together?
• Question from Jackobin - Is it possible to buy a basket of commodity volatility? Maybe an ETF?

Crystal Ball: Wild, perhaps reckless prognostication.

Last week:

• Mark L. - 13.5
• Mark S. - 14.25
• Russell - 21.2

This week:

• Mark L. - 12.25
• Mark S. - 11.5
• Russell - 13.5

Volatility Review: The Trump vol selloff seems to have stabilized. VIX Cash: 14. VVIX : 97. VIX Options: Light volume week coming off the holiday, and even mild volume heading into non-farms. Total 5.97m (4.16m Calls, 1.81m Puts). Oil Volatility: OIV: 40. XLE is up 8% since Tuesday, volume 1.5x ADV - calls slight over puts. USO up over 10% Since Tuesday, volume 2x ADV today - calls over put 2-to-1.

Volatility Voicemail: Listener questions and comments

• Comment from Kay Kamra - In regards to Faith in OPEC Deal Turns Options Traders Into Oil Bulls - OVX almost touching July highs...I expect a pullback in OVX and subsequent pop in /CL
• Comment from Mark Brant - Selling SPX IBs daily reveals Vol variance not apparent in VIX. We need an ATM VIX @CBOE!
• Question from RealRK - Speaking of bond volatility, if you have time, what do you guys think of bearish put spreads on HYG/JNK/LQD? With yields increasing, why have the high yield bonds lagged? I assume because of the longer term move more in price because of the lower yields moving more in price with short term yield changes, but I see huge put activity every other day in these high yield bond funds.
• Comment from TJones - VXXLE who knew? Where are those CBOE guys hiding these indexes? Any more up their sleeves?
• Comment from Tulip Futures - Low for VIX is no signal, high of VIX is signal that forces in world will come and calm things down.

Crystal Ball: Prognostication headquarters

Last week:

• Mark L. - 11.75
• Mark S. - 12.25
• Russell - 14

This week:

• Mark L. - 13.5
• Mark S. - 14.25

Volatility Review: The Trumpocalypse is fading. VIX cash is back below 14. VVIX = 87, back below 100.

Russells Weekly Rundown:

• If a Trump Presidency is scary, why is VIX so low?
• VIX Options: A lighter volume week than last week - started strong, pushing 1M contracts on Tuesday, but then fell off. Total 3.88m (2.80m Calls, 1.08m Puts)
• Crude Oil: OIV = 48, elevated compared to recent weeks - spiked to 53 on Wednesday.

Volatility Voicemail/Options #Question of the Week

$TSLA ($182.50, down 3%, IV30:41, HV30:31) Straddle says $8.20 move (4.5%) by Friday close. How much will $TSLA actually move?

• 20% - In line: ($8-$8.50)
• 37% - Beat Straddle: > $8
• 23% - Less than Straddle: < $8
• 20% - Sick of #Musk / $TSLA

Listener questions and comments:

• Question from Alex Devers - What does the future hold in terms of social media sentiment and volatility. Is there a social volatility index out there already? If not is this something the folks at CBOE are cooking up?
• Question from Avec - Has anyone studied the effect of selling weekly options vs monthly options INCLUDING commissions? Seems like that would be a big factor when writing so many contracts.

Crystal Ball: Reckless and wild prognostication.

Last Week:

• Mark L. - 15
• Mark S. - 12
• Russell - 13.5

This Week:

• Mark L. - 11.75
• Mark S. - 12.25
• Russell - 14

Volatility Review: The Trumpocalypse is here! What a week! VVIX: 102. So, about last night...Patient volatility seller ended up winning big. Volatility shorts cash in despite the shock U.S. election. Volume in non-U.S. trading hours set a new daily record.

Russells Weekly Rundown:

• VIX Options - A crazy volume week!
• Mon - 1.05M, Tues - 1.05M, Weds - 1.03M, Thurs - 1.08M
• Total 7.08m (4.62m Calls, 2.46m Puts)

Earnings Volatility:

• Walt Disney Company
• Nvidia
• Nordstrom

Volatility Voicemail/Options #QuestionOfTheWeek

$SPX Weds Weekly straddle says 2% move through election. How much will SPX / $SPY move through Weds 11/9?

• Over 3% - crazy move
• Between 2-3% - big move
• Between 1-2% - mild move
• Less thastockn 1% - meh

Listener questions and comments:

• Question from Brian: Hi Mark, your shows are the best known to me. Congratulations on your success. I have a topic/question for Volatility Views. I am trying to get a sense of how viable XIV will be in the long term. Are there red flags for ETFs/ETNs that would indicate whether or not they will go broke at some point? Are the bigger ETFs/ETNs a safer bet or is it the ETFs/ETNs that deal with future contracts the ones that end up in trouble? I appreciate and value your advise.
• Question from Mike The Bookie: Yeah, the ETF based volatility indexes. Is here a good place to bracket UVXY or VXX?

Crystal Ball: Wild prognosticating

Last week:

• Mark L. - 18.50
• Mark S. - 10.80
• Russell - 23.50

This week:

• Mark L. - 15.00
• Mark S. - 12.00
• Russell - 13.50

Volatility Views Election Special Part Two: Volatility After Dark

The resurgence of Donald Trump in the U.S. election is weighing heavily on markets around the globe. We break down the historic action in VIX, Dow, SPX and more live on this special late-night episode of Volatility Views.

You want a Volatility Views looking at election volatility in real time? Well, Mark, Russell and the greasy meatball got together and did just that.

Volatility Viewpoint: Today we have special guest David Hait, CEO of OptionMetrics.

He discusses:

• What is OptionMetrics?
• An overview of the white paper on VIX Variation OptionMetrics recently released
• What are the key takeaways?
• The methodology for the study
• The upcoming OptionMetrics Research Conference

Volatiltiy Review: VIX surging well north of the 20-handle. VVIX is up to 120.

VIX Options heavy volume week:

• Mon - 397k
• Tues - 731k
• Weds - 602k
• Thurs - 882k
• Total 6.02m (4.52m Calls, 1.50m Puts)

Russell's Weekly Rundown: November 9 VIX futures focus. You will NOT be able to capture (most) election returns with that expiration. SPX weeklies and event risk

Volatility Voicemail/Options #QuestionOfTheWeek:

Special #Earnings, #Election, #WorldSeries edition $FB ATM strd=$7.30 $VIX=17.20. Which outcome is most likely?

• $VIX > 20 before election
• $FB beats ATM Straddle
• @realDonaldTrump wins
• @Cubs win World Series

Crystal Ball: Wild prognosticating

Last week:

• Mark L. - 16
• Mark S. - 17.15
• Andrew - 17.50
• Bill L. - 15.43

This week:

• Mark L - 18.50
• Russell - 10.80