Volatility Views

Volatility Review: This week we are featuring guest co-host Bill Valentine of Valentine Ventures.

The numbers:

• VIX Cash, VVIX - 96, CBOE Skew Index – 131
• VIX Options: ADV - 758k, VIX call/put: 3.6, Total 12.7m (9.95m Calls, 2.79m Puts)
• Bitcoin launching on 12/10.
• Question from Tortega - Not a vol question, but what's the deal with the Bitcoin futures and the Gemini index they are based on?

Volatility Voicemail: Options question of the week

The war for #Bitcoin #Derivatives is heating up again. CME Group is launching futures on 12/18. CBOE just announced a 12/10 launch date. Not enough? Nasdaq also announced futures w/ for a planned Q2 2018 launch. With so many choices-How will you trade #Bitcoin in 2018?

• 52% - CBOE Futures 12/10
• 27% - CME Futures 12/18
• 3% - Nasdaq Futures Q2 2018
• 18% - "Old School" Bitcoin

Listener questions and comments:

• Comment from Mark Clyde Brant - Who is listing options first? Probably CBOE! But Chicago is taking control of BTC exactly as Al Capone took control of booze distribution. He taught the city well!
• Question from NomNom - I was excited about #bitcoin but this is giving me pause.

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 10.25
• Mark S. - 11.25
• Russell - 42.5

This week:

• Mark L.- 9.75
• Mark S. - 9.15
• Bill - 10.0
• Ghost of Russell - 35

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

The numbers:

• VIX Cash - back above 12, briefly
• VVIX - 90
• CBOE Skew Index - 131
• VIX Options: ADV - 725K, VIX call/put: 3.7, Total 11.2m (8.68m Calls, 2.56m Puts)
• VXX - 32
• XIV - 109.58

Volatility Voicemail: Options question of the week

SPY always dominates the Options volume charts. But what do you think people are actually trading in SPY? Take a guess at the Top OI position in SPY right now. No cheating (or checking with your broker) - use your grey matter & your "gut" to pick the right one.

• Jan 262 Call
• Dec 2019 150 Put
• Dec 280 Call
• Jan 240 Put

Listener questions and comments

• Question from FContangotrader - I think we have a winner today in TA of $VIX world.
• Question from CConden - Looks like the winning trade for past few years has been rolling short VIX front month future with a protective call kicker should the worst come to pass. I'm stuck on the call kicker strike. What is the ideal strike/month combo for max gain with protection against apocalypse? Don't want to pay too much for call but also don't want to get run over by the VIX train.
• Question from Mantauk - What is the actual implied volatility of bitcoin?
• Question from VonBaron - Seems like Whaley doesn't think people get his creation like they should.

Whaley: I don't think people understand it as well as they should. The VIX doesn't trade. It's just a number produced from these 250 S&P 500 option prices. But what does trade are the VIX futures and the VIX options, which are related to VIX but in a strange way. Where VIX is the volatility over the next 30 days, VIX futures is the expectation of the volatility 30 days from now. Those two series don't behave like one another, in fact quite differently. VXX is incredibly actively traded. Would I have thought it would be this actively traded? No, but it is. I think the VIX futures index is particularly staggering. It probably trades more shares in a day than Microsoft. If you look at the turnover ratio, you'll find that it's a huge number. If people were just buying and holding, that number would be much lower.

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 9.75
• Mark S. - 9.99
• Russell - 10.59

This week:

• Mark L. - 10.25
• Mark S. - 11.25

Black Friday should not keep you from enjoying your favorite volatility podcast.

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

The numbers:

• VIX Cash - Back above 12, briefly
• Bitcoin vs. VIX - What Has Been More Volatile in 2017?
• VVIX - 100.15
• CBOE Skew Index - 136

Russell's Weekly Rundown

• VIX Options: ADV - 739k, VIX Call/Put - 3.7, Total 9.69m (7.64m Calls, 2.05m Puts)
• FINRA Orders Wells Fargo to Pay $3.4M over Volatility-Linked ETPs

Volatility Voicemail: Stream of consciousness questions and comments

• Question from Andrew Giovinazzi‏ - Why is the rock lobster so handsome?
• Comment from David - $VXX is clearly the worst ETF. It has destroyed pretty much all of the value invested in it since inception. Or does that make it the best if you're short?
• Comment from OphirGottlieb - $VIX hello, friend. I've missed you. You appear to want to stay this time. @Options @RussellRhoads
• Comment from SaqibReports - Shhh. You will scare it away!
• Question from Lonesome - Could you tell us the process of how options market makers mitigate risk/remain delta neutral?

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 9.65
• Mark S. - 9.99
• Russell - 9.15

This week:

• Mark L. - 9.75
• Mark S. - 9.99
• Russell - 10.59

Volatility Views 280: Tapping the Secret Sources of VIX Info

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

• VIX cash: VIX briefly flirted with 12
• VVIX: 98.5 - 7 points higher than last week
• CBOE SKEW Index: 129 - 8 points higher than last week
• VXN: 15.04 - .5 points higher than last week

Russell's Weekly Rundown:

VIX Options:

• ADV - 758k
• Thurs - 1m
• Weds - 632k
• Tues - 899k
• Mon - 442k
• VIX call/put: 3.8 - Russell is nervous

Hot VIX strikes

• 710842 .VIX Dec 20th 25.0 C, chg +67163
• 515136 .VIX Dec 20th 15.0 C, chg -1377
• 400697 .VIX Nov 15th 20.0 C, chg +5029
• 372447 .VIX Dec 20th 12.0 P, chg +829
• 334283 .VIX Nov 15th 21.0 C, chg -5413
• 308546 .VIX Dec 20th 22.0 C, chg +4167
• 263899 .VIX Nov 15th 17.0 C, chg +11157
• 240963 .VIX Dec 20th 20.0 C, chg +7087
• 226612 .VIX Nov 15th 15.0 C, chg -3270
• 222571 .VIX Dec 20th 17.0 C, chg +4591
• Total 12.7m (10.1m Calls, 2.61m Puts)

VXX: 34 - almost unchd from last week

Top VXX positions

• 114719 VXX Jan19 10.0 P, chg +22
• 75429 VXX Jan 10.0 P (Nonstd VXX2), no chg
• 75157 VXX Jan19 5.0 P (Nonstd VXX2), no chg
• 60900 VXX Jan 5.0 P (Nonstd VXX2), no chg
• 55450 VXX Jan 5.0 P (Nonstd VXX1), no chg
• 55150 VXX Mar 24.0 P, chg +408
• 49560 VXX Jan 7.0 P (Nonstd VXX2), no chg
• 46458 VXX Nov 38.0 C, chg -1763
• 43537 VXX Jan 20.0 C (Nonstd VXX2), no chg
• 43457 VXX Jan 8.0 P (Nonstd VXX2), chg +6
• Total 3.88m (1.78m Calls, 2.10m Puts)

Volatility Voicemail: Listener questions and comments

Options question of the week: Trading #Options during #Earnings is a coin flip. But you know you love to do it. What's your #Earnings #Options MO?

• Buy Calls/Call Spreads
• Buy Puts/Put Spreads
• Sell Puts/Put Spreads
• Fly/Iron Fly/ Iron Cond.

Listener questions and comments

• Comment from TMal: Big options sell firm gain AUM as they do well. They are another "natural seller" of options (weekly and monthly).
• Question from Chris Thomas: Hey guys. Trading a long calendar on VIX is a bad idea in that what you pay isn't the max loss. It's possible for the closer expiration to experience a larger move than the back month and thus you can lose more than you make? I believe I understand that correctly so my actual question is, is this true for SVXY and VXX? Thanks for imparting your knowledge so us plebeians can learn.
• Question from Encinoj: Here's my time strangle trade idea for VIX. Buy 1-2 yr VXX 20% OTM puts and also buy approx. 3 mth. 20% OTM VIX calls.

Crystal Ball: Wild prognostication ensues

Last week:

• Andrew: 9.99
• Russell: 8.95
• Mark L: 9.55

This week:

• Mark S.: 9.99
• Russell: 9.15
• Mark L.: 9.65

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

The Numbers:

• VVIX - 91.5
• CBOE Skew Index - 136
• VXN - 14.7

Russell's Weekly Rundown

• VIX Options: ADV - 833k, VIX Call/Put - 3.9, Total 11.7m (9.37m Calls, 2.37m Puts)
• Earnings Volatility: Apple, Facebook, Tesla
• Commodity Volatility: Crude/OIV, Gold/GVZ

Volatility Voicemail: Listener questions and comments

• Comment from Don S: :Ah, if you had called me for the last VV, I would have regaled you with stories from the Morgan Stanley trading desk about Black Monday. But none would have been better than the one of my buddy and colleague, Peter, who in August 1987 decided that the market was overdone and invested $20,000 of his own money in OTM SPX November puts. Those options, which were 1/8 before the crash, went to $50, and his $20,000 turned into 400 times that, or ... wait for it! ... $8 million! Ah, the good ol' days. :-) Don
• Question from Hawkeye - To ye merry band of Magical Voice, grease laden Meatballs, favorite Uncles, and Lobsters with Tubs of butter: I already get that SVXY, XIV, and other short ETF/ETNs can go bust overnight due to the front 2 futures doubling. What would happen if I held long SVXY puts in an IRA and the fund had to close because the SHTF? How would I exercise them if the fund doesn't trade? I can't cover due to underlying frozen, but I can't exercise without covering because that would put me short in an IRA? Or would they still allow it as an exception? How would it all unwind? Thanks for all you guys keeping me learning, laughing, and most of all, thinking. Your longtime listener - Hawkeye

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 9.65
• Mark S. - 10.16
• Ophir - 9.8
• Ghost of Russell - 38.3

This week:

• Mark L. - 9.55
• Andrew - 9.99
• Russell - 8.95

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

• VVIX - 97.73
• CBOE Skew Index - 135
• VIX Options, ADV - 852k, VIX Call/Put - 4
• Total 10.8m (8.65m Calls, 2.19m Puts)
• Earnings: CMG, Twitter, Amazon, Google and Microsoft

Volatility Voicemail: Options question of the week.

It looks like you all REALLY want after-hours #Options trading. The question now - what is the best way to make it happen?

• 24% - Pilot For Earnings Season
• 52% - Top Names Only -$AMZN,etc
• 21% - Basic Limit Order Book
• 3% - Other - Reply/DM w/answer

Listener questions and comments:

• Comment from j3dingle - Dear Mark Longo, Long time listener (at least a year or two, so maybe not that long!), first time emailer. I would guess I'm not the first to suggest this, but have you considered some excerpt of some rendition of "On Top of Spaghetti" for Mark Sebastian's theme song? Looks like the song even has some Chicago heritage: https://en.wikipedia.org/wiki/On_Top_of_Spaghetti In 30 seconds of you-tubing, I found Biondi's version which is pretty "good": https://www.youtube.com/watch?v=Mu4EiTJNP1k Oh, the dreams/nightmares one has on a Sunday night slumber!

Crystal Ball: Wild and reckless prognostication.

Last week:

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

This Week:

• Mark L. - 9.65
• Mark S. - 10.16
• Ophir - 9.80

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

Secrets To The Hottest Trade - Shorting VIX The Numbers:

• VIX - Hit a low of 9.13 on Oct. 5 - still flirting with single digits.
• VVIX - 97.79, CBOE Skew Index - 146, VXN - 14.33

Kevin's Weekly Rundown

• VIX Options: ADV - 868k, VIX Call/Put: 3.8
• Total 13.4m (10.6m Calls, 2.77m Puts)
• VXX - 35.97, XIV - 105.87, UVXY - 17.36

Volatility Voicemail: Options question of the week

Earnings Season is almost upon us! What's your favorite way to trade earnings using #Options? Reply/DM/email with others.

• Sell Strad./Fly/Condor
• Buy Strad./Fly/Condor
• Sell Puts/Put Spreads
• Buy Calls/ Call Spreads

Crystal Ball: Your VIX prognostication headquarters

Last week:

• Mark L. - 9.65
• Mark S. - 10.01
• Russell - 10.31

This week:

• Mark L. - 9.55
• Mark S. - 10.25
• Kevin - 10.00

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

• VIX Cash - A low of 9.13 on Oct. 5
• VVIX - 91.79, CBOE Skew Index - 140

Russell's Weekly Rundown

• Fed Survey on Firm Uses of Equity Volatility, By Russell Rhoads, CFA
• VIX Options - VIX Call/Put: 3.7, Total 12.0m (9.44m Calls, 2.52m Puts)
• VXX - 37.95, XIV - 100.57

Volatility Voicemail: Options question of the week

Break out your #VOLATILITY #CRYSTALBALL: $VIX is at new lows. Is an 8 $VIX looming or is this just a blip? Where will $VIX close Friday 10/6

• Right Here: 9-9.30
• Lower:
• Slightly Higher: 9.3-9.60
• Much Higher: > 9.6

Listener questions and comments: What's on your mind?

• Question from Gunjan Banerji‏ - What were the hot $VIX strikes this past week?
• Question from PBiggers - What strategy will long vix while minimizing contango?
• Comment from FContangotrader - I took personal loan and i bought vxx put spreads long term while I'm long some gamma on $spy, speaking of crazy.
• Question from Lenz - When is the CBOE Asia conference?
• Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 9.7
• Andrew - 9.99
• Russell - 9.42

This week:

• Mark L. - 9.65
• Mark S. - 10.01
• Russell - 10.31