Volatility Views

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

6% IV, all aboard!

The numbers:

• VIX Cash - low of 9.55 on Thursday.
• VVIX - 94
• CBOE Skew Index - 133

Russell's Weekly Rundown:

• VIX Options: ADV - 813k, 2.6M on Monday! VIX call/put, Total 11.4m (8.92m Calls, 2.48m Puts)
• OIV - 26.53

Volatility Voicemail: Listeners have their say

• Question from LL08 - Crazy! Is this true?
• Question from Tech Coleslaw - Can you talk a little bit more about ZIV and mid-term Vol?
• One of our listeners is running for Congress - @RogerBarone @OPTIONS More voices are better than less.

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 9.75
• Mark S. - 11
• Russell - 10.10

This week:

• Mark L. - 9.2
• Andrew - 9.99
• Russell - 9.42

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

The numbers:

• VIX Cash - A low of 9.54 on Thursday
• VVIX - 92
• CBOE Skew Index - 137.87
• 'False Peace' for Markets? A Trader Is Betting Millions on It

Russell's Weekly Rundown:

• VIX Options - ADV: 813k, VIX call/put: 3.5
• Total 9.96m
• OIV - 26.53

Volatility Voicemail: Listeners take over the show

Volatility Views/TWIFO Flash Poll: With $SPX #Volatility -aka $VIX- in single digits where are you getting your index vol fix these days?

• Russell 2000: $RVX, $IWM
• Dow: $DJIA, $VXD, etc.
• NASDAQ: $QQQ, $VXN, etc.
• Buying $VIX for rebound.

Listener questions and comments

• Question from Swatcat - Which instruments are there that are very liquid, if you are going long VIX? I have found one so far, ticker: VIXY / Nordic options trader
• Question from TicTac - You guys said it's not a good time for vix front spreads. Why not?
• Question from LA Town - Your call for worst Vol ETF?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 11.5
• Mark S. - 11.01
• Russell - 12.25

This week:

• Mark L. - 9.8
• Mark S. - 10.5
• Russell - 11.11

Volatility Review: A full overview of CBOE RMC Europe.

The numbers:

• VIX Cash - a high of 11.10 on Monday.
• VVIX - 92
• CBOE Skew Index - 142.74

Russell's Weekly Rundown:

• VIX Options - ADV: 813k, VIX Call/Put 3.1; Total 13.7m (10.4m Calls, 3.28m Puts).
• OIV - 26.34

Volatility Voicemail: Listener Questions and Comments

Options question of the week:

First #Harvey, then #Irma, now #Jose & more. We prep houses/cars/family for #disasters. How do you prep your portfolio?

• Get Long $VIX/$VXX/$UVXY
• Go To Cash/T-bills
• Buy Index/Stock Puts
• "Risk Assets" - Gold, etc.

Listener Questions:

• Question from Volbug: You mentioned on the show that our twins (XIV & SVXY) could go to zero if there is a big enough spike in vol. Would you and the crew be able to take a guess at what level of vol action would result in such a occurrence? Second question is, wouldn't such a spike send equities out the window also? As always, thanks for the show.
• Question from PBiggers - Time to go long VIX? Sell some EFX premium? Some skew in there. IV is at a 52 wk high. Liquidity is sketchy.

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 11.5
• Mark S. - 11.01
• Russell - 12.25

This week:

• Mark L. - 9.8
• Mark S. - 10.5
• Russell - 11.11

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

• Shortened holiday week hit with a never-ending parade of hurricanes
• Don't forget North Korea
• Oh, and the President
• Bonds are screaming
• August options volume is strangely high. So much for vacationing for the month
• VIX up into the 12-handle. Will it hit the low teens?
• VIX Cash: High of 14.06 on Tuesday
• VVIX: 99
• CBOE SKEW Index: 135.39 - 5 points higher than last week

Russell's Weekly Rundown:

• Will people start using weekly options on Monday for the upcoming week's risk?
• CME Fed tool has next potential rate hike at next August, and only 50-50
• Why are people buying vol into the weekend?
• VIX Options on this short week: ADV - 796K; Thurs. - 894K; Weds. - 603K; Tues.- 1.16M; Mon. - Closed.
• VIX Call/Put: 3.4

Hot VIX Strikes:

• 635482 .VIX Oct 18th 25.0 C, chg +4681
• 460502 .VIX Sep 20th 20.0 C, chg -6238
• 414217 .VIX Oct 18th 12.0 P, chg +13048
• 376664 .VIX Oct 18th 15.0 C, chg -70943
• 285530 .VIX Sep 20th 18.0 C, chg +3297
• 268153 .VIX Sep 20th 21.0 C, chg -14404
• 265517 .VIX Sep 20th 23.0 C, chg -1246
• 259376 .VIX Sep 20th 17.0 C, chg -226
• 251586 .VIX Sep 20th 19.0 C, chg +1678
• 249889 .VIX Oct 18th 20.0 C, chg -149520
• Total 12.5m (9.43m Calls, 3.03m Puts)

Volatility Voicemail: Listener Questions and Comments

Options Question of the Week:

As Q4 looms, where are you placing your bullish #Volatility bets? Which has most #Upside by end of 2017? $VIX $AMZN #WTI $GVZ

• Gold Volatility
• Crude Oil Volatility
• S&P 500 Volatility - VIX
• Single Names - $AMZN, etc

Listener Questions:

• Question from Elbu: Seems like everyone is jumping on the short $VIX bandwagon these days. Since when does the NYT cover volatility trading? RE: this article - Day Trading in Wall Street's Complex "Fear Gauge" Proliferates
• Question from Elly: What's the ideal month/strike combo when buying puts on VXX? 6 months / 25% OTM?

Crystal Ball: Wild and reckless prognostication

Where do the hosts think the VIX will close next week?

Last Week

• Mark L.: 10.15
• Mark S.: 10.65
• Russell: 11.11

This Week

• Mark L.: 11.5
• Mark S.: 11.01
• Russell: 12.25

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

The numbers:

• VIX Cash - 10.59, VVIX - 94.86
• CBOE Skew Index - 130.5

Russell's Weekly Rundown:

• VIX Options: ADV - 785k, VIX Call/Put - 3.3
• Total 12.0m (9.24m Calls, 2.76m Puts)
• OIV - 28.29
• OVX - 28.37

Volatility Voicemail: Options Question of the week:

Let's get cheap! If you had to buy "lottery ticket" December calls for $.05 in one name - which would you choose? #HomeRun

• AMZN
• AAPL
• Tesla
• VIX

Listener Questions and Comments:

• Question from JC - What am i missing? If VXX erodes why does anyone buy it?
• Question from Simyan - So I should just short VXX into the dust? Is that the deal?
• Question from Nils - So if the max length between splits is 3 years, and the minimum split price is $10 - aren't the Jan 2019 20 puts for $2 a screaming deal?
• Question from TimTim - Do any other Vol products exhibit this erosion?

Crystal Ball: Wild prognostication

Last week:

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

This week:

• Mark L. - 10.15
• Mark S. - 10.65
• Russell - 11.00

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: Featuring guest co-hosts Kevin Davitt from the CBOE Options Institute and Matt Amberson from ORATS.

The market fear gauge could quintuple by Halloween, strategist warns

The numbers:

• VIX Cash - a high of 15.77 this week, VVIX - 117.77
• CBOE Skew Index - 142.73

Russell's (Kevin's) Weekly Rundown:

• VIX Options - ADV: 706k, VIX Call/Put: 3.6
• Total 10.6m (8.26m Calls, 2.37m Puts)
• OIV - 27.77, OVX - 28.94

Volatility Voicemail/TWIFO Flash Poll:

Which major index has experienced the largest % change in 30-day ATM #Volatility year-to-date?

• S&P 500
• Nasdaq 100
• Dow
• Russell 2000

Listener Questions and Comments:

• Question from Tosaw's client: I have an options question regarding VIX and I cannot seem to find the answer. Is there a way to determine the incremental change in an a SPY option price as the VIX moves? For example, if VIX moves 10% does that mean that the extrinsic value of the SPY option should be 10% more expensive? I checked the 30 day SPY option thinking that the IV of the option would map to VIX in some way, but clearly that is not the case (I could be looking in the wrong spot). I have seen qualitative examples of this, but not quantitative. Is there a formula? (Modified Black-Scholes?) Not sure if you are okay with me sending you questions, I can send this to the Option Block or Volatility Views if that is more appropriate. I would imagine you have many clients to deal with. Thanks
• Question from Richard D - I was wondering if Mark S or Andrew ever tried VXX/UVXY pair type trades, intra-day or longer? Meaning capturing fluctuations in the prices of VXX and UVXY via options by taking some put type spread in one and a call spread in the other when the ratio of the prices look out of whack? Or is this a trade the big financial firms already do thus there is no edge there?

Crystal Ball: Where do the hosts think VIX will close on Friday?

Last week:

• Mark - 12.55
• Andrew - 12.01
• Russell - 13.5
• Guest - 10.5

This week:

• Mark L. - 14.55
• Mark S. - 12.00
• Kevin - 18.25
• Matt - 14.30

Today we feature guest co-host Bill Valentine from Commodore Fund

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

The numbers:

• VIX Cash - 16.17 up over 40%, VVIX - 135.32
• CBOE Skew Index - 136.48, VXN - 14.2
• VIX Options ADV - 676k

Russell's Weekly Rundown:

• Earnings Volatility: DIS, NVDA & SNAP

Volatility Voicemail: Listener feedback

Volatility Flash Poll: $VIX Hit 16.17 Thursday. Is this the end of low #Volatility? Or a temporary blip? Which level will $VIX hit first?

• Serious Vol - 20
• Single Digits - 10
• Heck with It- I'm In Cash

Listener qusetions:

• Question from Jax - What does today's VIX move mean for XIV? Will this blow them out?

Crystal Ball: Wild prognostication

Last week:

• Mark L. - 9.75
• Mark S. - 10.75
• Russell - 10.25

This week:

• Mark L. - 12.55
• Andrew - 12.01
• Russell - 13.50
• Bill - 10.50

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

• VIX Cash & VVIX
• CBOE Skew Index

Russell's Weekly Rundown:

• VIX Options ADV - 661k; Total 11.7m (9.28m Calls, 2.41m Puts)

Earnings Volatilty: AAPL earning after the bell on Tuesday - TSLA earning Wednesday.

Volatility Voicemail: Listener questions and comments

• Question from Market_Maker - If XIV runs out of money do investors lose there investment? Are they insured against this?
• Question from Richard D - Just wondering, as an Italian-American myself, why do so many Italian-Americans seem to end up in the options business?

Crystal Ball: Our VIX predictions

Last week:

• Mark L. - 9.75
• Andrew - 10.25

This week:

• Mark L. - 9.75
• Andrew - 10.75
• Russell - 10.25

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

The Numbers:

• VIX Cash back in double digit territory.
• VVIX - 86.87
• CBOE Skew Index - 130
• VIX Options - ADV: 653k, VIX Call/Put: 3.9/ 1; Total 10.4m (8.23m Calls, 2.13m Puts
• Traders 'Shocked' by VIX Bet That Could Pay $265M.
• Bond Trader's $10 Million Volatility Bet Is Paying Off

Earnings Volatility:

• Monday: Alphabet opened down nearly 2%, Low of 963.
• Tuesday: Chipotle opened up approx. $6.50, then plummeted $15
• Wednesday: Facebook opened up $8.87, traded up as high as $9.88.
• Thursday: Amazon ATM straddle approx. $49

Crystal Ball: What does the future hold for the VIX?

Last week

• Mark L. - 10.25
• Russell - 9.76
• Mark S. - 10.04

This week

• Mark L. - 9.75
• Andrew - 10.25