Volatility Views

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

The Numbers:

• VIX Cash - 9.58, VVIX - 76
• VXN - 14.36, CBOE Skew Index - 130
• VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts)

Russell's Weekly Rundown:

Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread?

• "Hedge" Short OTC Vol
• Bullish Volatility Spec
• Someone had $1.2M to burn
• "Hedge" Equity Portfolio

Volatility Voicemail: Listener questions and comments

• Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short.

Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make?

• 41% - Buy $MSFT Straddle 3.5%
• 28% - Buy $EBAY Straddle 7%
• 21% - Sell $MSFT Straddle 3.5%
• 10% - Sell $EBAY Straddle 7%

More questions and comments:

• Question from Avery Thompkins & HSchwartz - Russell any progress on creating a VIX calc spreadsheet?
• Question from Ballen - What is your take on this article? Time to Stop Calling the VIX the "Fear Index"
• Question from MMouse - Check out this chart. Short volatility for the win! Why would you buy VIX?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 10.25
• Ghost of Russell - 13.74
• Andrew - 9.99
• Guest - 9.75

This week:

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

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

• CML VIZ
• VIX Cash: 9.90, VVIX: 85.68
• VIX Options: ADV - 671k, Total 10.3m (8.28m Calls, 2.06m Puts)
• VIX pop quiz
• Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations.
• A Bond Trader's $10 Million Volatility Bet Is Paying Off

Volatility Voicemail: Listener questions and comments

Comment from Roger Barone: If they did so thru @IBKR their margin is $35,250,000. Anyone else ZERO! @IBKR SUCKS! @CBOE REFUSES to stop their MARGIN ABUSE! @SEC_News...Yes. They charge a MINIMUM OF $150 on ANY VIX SPREAD even if a long one like that. THEY TOTALLY SUCK! I told CBOE at Pinnacle but no action. Read this and this.

Crystal Ball: Wild prognostication

Last week:

• Mark L. - 10.60
• Mark S. - 10.05
• Russell - 11.99

This Week:

• Mark L. - 10.25
• Andrew - 9.99
• Ophir - 9.75

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

• The VIX juice is loose
• OCC cleared futures volume in June reached 13,194,530 contracts, a 16% increase from June 2016.
• One of the most popular - and controversial - trades in the stock market (XIV) is showing no signs of slowing down. MRA attributes the spiking popularity to the participation of mom and pop investors.

Russell's Weekly Rundown:

• VIX Options: ADV - 691k, Total 8.8M (7m calls, 1.8m puts)
• Apple, Facebook Among Techs Facing Huge Volatility
• Volatility Voicemail: Listeners take over

Options question of the week:: Blue Apron $APRN is down over 10% from its #IPO price. Assuming #Options were listed, what trade would you make?

• Buy Dec 10 Call for $1
• Buy Dec 9 Put for $1
• Sell Dec 10 Call for $1
• Not Touching $APRN

Listener questions and comments

• Question from Avery Thompkins - Heard you guys debating theoretical low for XIV. I am down with 5. That makes sense. What about the other side? How high can it get? Is 1,000 in the conversation?
• Comment from Safari Dad - A day without volatility is a day without sunshine
• Question from Vtrader168 - While VIX is at historical low, but Nov VIX future still stay high at 16.20. Nov VIX was ~15.7 on 5/1 and 5/2. So the term structure is relatively steep. Any implication?

Crystal Ball: Your prognostication headquarters

This week:

• Mark L. - 9.85
• Mark S. - 10.05
• Russell - 10.23

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

• VIX Cash - 11.44, VVIX: 93.78
• CBOE Skew Index - 129m, slightly calmer than last week.
• VIX Futures - Front month: 0.65 Second month: 1.25

Russell's Weekly Rundown:

• VIX Options: Mon - 630k, Tues - 724k, Weds - 510k, Thurs - 1.16M, ADV - 685K, Total 8.32m (6.68m Calls, 1.65m Puts)
• VIX Call/Put: 4.1 / 1
• OIV - 29.35
• OVX - 30.46

Volatility Voice Mail: Options Question of the week

Let's get back to basics. #Options are great way to get long (bullish) exposure to stocks & futures. What is your favorite way to go long?

• 50% - Long Call/Call Spread
• 23% - Short Put/Put Spread
• 13% - Stock(Future) Replacement
• 14% - Bullish Risk Reversal

Listener Questions: What's on your mind?

• Question from John Shippen -If I buy ATM premium, maybe an ATM iron condor, a few weeks before earnings then sell it the day before the announcement, is that a good play? Essentially free decay plus capture the rise in volatility along with any swings in the underlying.
• Question from FContangotrader -Do you guys have an idea when $VXX $UVXY will do reverse split? I am asking for a friend of mine.
• Comment from David Kotlyar -UVXY reverse split July 17th
• Question from SvxyBug -Mark, Mark, and Russell, Thanks for a great show. Two questions for you. If SVXY somehow goes the way of TVIX, would you imagine that XIV would go with it or is it managed independently of SVXY? Second question. Is using the call put ratio on VIX much of a leading indicator on the price movement of VIX? If so, do you normally see lead times in seconds, minutes, hours, days, or no lead time at all? Thanks very much for the show.

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 9.70
• Mark S. - 10.05
• Russell - 9.25

This week:

• Mark L. - 9.85
• Mark S. - 10.05
• Russell - 10.23

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

• VIX Cash - 10.15, VVIX - 84.21, slightly higher than last week.
• VIX is not a Fortune Teller
• CBOE Skew Index - 130.86, calmer than last week.
• VIX Futures - Front month: 1.5, Second month: 2.3

Russell's Weekly Rundown:

• VIX Options: Mon - 746k, Tues - 1.3M, Weds - 912k, Thurs - 347k
• VIX Call/Put: 4.1 / 1
• Twenty-two Day C/P OI Moving Average: 3.32
• Total 7.08m (5.69m Calls, 1.39m Puts)
• OIV - 31.5
• OVX - 32.6

Volatility Voicemail: Questions. Comments. More.

Options question of the week: Everyone is talking about #Bitcoin #Volatility these days. Where do you stand on #Bitcoin after last weeks aggressive downturn?

• Too Volatile, I am out
• I am still bullish
• I want #Bitcoin #Options
• I am sick of #Bitcoin

Questions and comments

• Comment from Production One‏ - SPX and VIX are far more fun! Also far more profitable and secure! Bitcoin snobs got nothing over the Vol cognoscenti!
• Comment from PocketTissues - Goldman guy has the right idea. VIX should be above ten right now with everything going on. One good Trump tweet and we could be at war and VIX is in the 20s or 30s.
• Question from Nico - What do you think of other Vix type indicators like Merrill Lynch Move Index and the rest? Also what's up with VolDex?

Crystal Ball: Wild and reckless prognostication

This week

• Mark L. - 9.70
• Mark S. - 10.05
• Russell - 9.25

Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management.

• Weird Nasdaq selloff that started during last show continues.
• Amazon looks to buy Whole Foods.
• VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week.
• CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago.
• VIX Futures - Front month: .6, Second month: 1.5

Russell's Weekly Rundown

• VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts)
• VXX - ADV 364k, OI - 1.3/1 Calls over puts.
• OIV - 29.45
• OVX - 31.90

Volatility Voicemail: Alternative volatility sources

With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading?

• 33% - Crude Oil (WTI, etc.)
• 20% - Metals ($GLD, $SLV, etc.)
• 20% - FX (GBP/USD, etc.)
• 27% - Indv. Equities-$TSLA, etc.

VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will $VIX get in 2017?

• Still Won't Break 9
• Won't Break 8.5
• Won't Break 8.0
• Lookout! 7 Handle in '17

Listener questions and comments

• Comment from Angelo - The point from Barclay's about convexity of SPX puts is somewhat meaningless. As long as market stays lofty the bid for those puts will remain. I do not foresee a scenario where market remains elevated but the bid mysteriously disappears for SPX OTM puts. So the VIX cannot realistically break into the 7 or 8 handle. Did like the stat about VIX prints since 1960 though.

Crystal Ball: Wild prognostication.

Last week

• Mark L. - 9.75
• Mark S. - 9.63
• Russell - 10.60
• Guest - 10

This week

• Mark L. - 10.50
• Mark S. - 10.05
• Ghost of Russell - 9.15
• Guest - 12.25

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

• VIX hits a new low of 9.37
• Comey's testimony fails to move the needle
• Maybe Britain will provide the spark VIX needs?
• VIX Cash - 9.47, VVIX - 83.28, almost unchanged from last week.
• CBOE Skew Index - 127.09, slightly higher than least week.
• VIX Futures - still steep. Front month - 1.5, Second month - 2.3

Russell's Weekly Rundown:

• VIX Options, Mon - 459k, Tues - 473k, Weds - 453k, Thurs - 473k, ADV - 722k. VIX Call/Put: 3.3/1. Total 9.20m (7.06m Calls, 2.14m Puts)
• VXX - ADV 356k, OI - 1.2/1 calls over puts.
• OIV - 32.31
• OVX - 33.84

Volatility Voice mail: Questions, comments, polls and more!

With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading?

• Crude Oil (WTI, etc)
• Metals ($GLD, $SLV, etc)
• FX (GBP/USD, etc)
• Indv. Equities-$TSLA, etc.

Listener Questions and comments

• Comment from John King - #Fired #FBI director completes televised #Testimony negative for sitting #president & #VIX DOWN .41 to 9.98. Just plain crazy. @Options #USA
• Comment from AGTrader - God help them when they have to all cover at once.

Crystal Ball: Your prognostication headquarters

This week:

• Mark L. - 9.75
• Mark S. - 10.5
• Russell - 11.23

Today we have special guest co-host: Ophir Gottlieb, Capital Market Laboratories.

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

• VIX Cash: 9.89
• VVIX: 83.83 - Both almost unchanged from last week.
• CBOE Skew Index : 124.55
• VIX Futures till steep

Russell's Weekly Rundown:

• VIX Options: Mon - Closed, Tues - 264k, Weds - 545k, Thurs - 231k, ADV - 722K
• VIX Call/Put: 3.2/1
• Total 8.37m (6.39m Calls, 1.98m Puts)
• OIV - 29, OVX - 31

Volatility Voicemail: Options Question of the Week

AMZN just hit $1000. Will GOOGL do it next? GOOGL $1000 call expiring Friday = $4, $1000 Put = $8. How would you trade?

• Sell $1000 Call for $4 - 21%
• Buy $1000 Call for $4 - 38%
• Sell $1000 Straddle: $12 - 19%
• Sell $1000 Put for $8 - 22%

Listener Questions and Comments:

• Comment from FContangotrader - @Options @OptionPit @OptionVol @RussellRhoads I am very impressed from Mark and his poetry and ABC options and Uber rhyme
• Comment from Production One‏ - Replying to @Options @optionpit Meatball long 1W SPX straddle hit! Way to go Marco!
• Question from JavierLBC - Hi guys. I am new. found you on stocktwits. Did you see 36,000 sep 25 calls on VIX?

Crystal Ball: Wild and reckless prognostication.

Last week:

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

This week:

• Russell - 10.60
• Mark S. - 9.63
• Mark L. - 9.75
• Ophir - 10

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

• VIX Cash - 9.99
• VVIX - 82.20
• CBOE Skew Index - 123.65

Russell's Weekly Rundown:

• VIX Options: Mon - 558k, Tues - 522k, Weds - 449k, Thurs - 474k, ADV - 727K, VIX Call/Put: 3/1
• Total 7.70M (5.79m Calls, 1.91m Puts)
• Oil plunges 4 percent on disappointment with OPEC cuts

Volatility Voicemail: Options Question of the Week

$VIX =11.20. $VIX June Future = 12.40 $VIX Weekly 11 puts = $.15, Weekly 13 Calls = $.15. What's your trade?

• Buy 13 Call for $.15
• Buy 11 Put for $.15
• Sell 13 Call for $.15
• Sell 11 Put for $.15

Listener Questions and Comments:

• Comment from VTrader - When VIX is below 11.5 since 2006, that current difference between from the front month and VIX cash is at its highest.
• Question from Eli Vagan - Did the spike in VIX last week finally break that short Vol feedback loop that everyone is focused on these days?
• Question from Benod - What was the truth behind that VIX strangle last week?
• Question from Allan Nemy - All this action in crude it seems like a good time for some crude Vol products. Why no CBOE crude volatility options?

Crystal Ball: Wild and reckless prognostication

This week:

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

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

• VIX cash: 14.66
• VVIX: 104.12
• Ten biggest $VIX rallies and what $VIX did the following day
• Question from @FContangotrader: How many % $VIX went up today? #%of%
• CBOE SKEW Index:137
• The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday

VIX options:

• ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K
• VIX call/put: 3.1/1

Hot VIX strikes

• 308315 .VIX Jun 21st 30.0 C, chg +4261
• 274854 .VIX Jun 21st 35.0 C, chg +521
• 261116 .VIX Jun 21st 20.0 C, chg +22016
• 256652 .VIX Jun 21st 15.0 C, chg +61381
• 207375 .VIX Jun 21st 19.0 C, chg +36896
• 182527 .VIX Jun 21st 16.0 C, chg +21143
• 165518 .VIX Jun 21st 25.0 C, chg -17814
• 161130 .VIX Jun 21st 18.0 C, chg +7305
• 153348 .VIX Jun 21st 17.0 C, chg +4539
• 139338 .VIX Jun 21st 11.5 P, chg +8819
• Total 6.77m (5.13m Calls, 1.64m Puts)

Earnings Volatility

• GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8%
• BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 - $6.72; close $121.35 - UP .5%
• WMT: close $75; ATM straddle $2.25; approx 3%; high $77.66

Volatility Voicemail: Listener questions and comments

• Question from Vtrader168: Considering that there is large Vol jump Wednesday without major event, and the market recovery is not that strong, is it an indicator that the period of the extremely low VIX is over, and VIX return to "normal-low" level?
• Question from Volbug: Hi. This is for Volatility Views: Thanks for the show Marks and Russell. You mentioned that implied vol is often more than realized vol. Does the time frame of the option, impact that calculation? For example 1 monthly option is cheaper that 4 weekly options. Thanks.

Crystal Ball: Wild prognostication

Last Week:

• Mark L. - 10.25
• Russell - 11.25
• Henry - 9.90

This Week:

• Mark L. - 10.75
• Mark S. - 11.05
• Russell - 12.26