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

• VIX Cash: Back above 12; 30-day HV - 5; 30-day IV - 11
• VVIX: 85

Russell's Weekly Rundown:

• Interesting trade in the weekly VIX options.
• VIX Options: Truncated trading week
• Crude Oil: Mixed signals this week. WSJ: Crude stock drop sparks rally.

Volatility Voicemail: Listener questions and comments

• Question from Joshua Shealy: Thanks so much for all that you guys do! Sorry if this is a novice question. I know that Delta is not literally the % chance of expiring in the money, but more so the rate of change for a $1 movement in the underlying. I noticed today (8/26/16) looking at VIX Dec Calls that the strike closest to .5 Delta is the 20 strike, a long way from ATM. I usually associate near .50 Delta with being near ATM. Is this just a nuance of VIX, or am I missing something bigger? Thanks!
• Question from Dr. Larry: Hi Mark. Andrew mentioned buying stocks and buying covered long term puts when IV is so low. I wonder your opinion on my favorite low Vol strategy: Buy ETFs, preferably non-correlated underlyings and some with dividends. Example: DIA, SPY, TLT, GLD, multiple sectors, foreign markets… I then buy the longest dating LEAPS available with strikes 5% under current price of underlying. I then sell covered calls every 30-60 days that are one to two strikes or 3-5% or more, out of the money. Management:

  ETF stays same, roll short calls out.

  ETF goes up a little, roll short calls up and out.

  ETF goes up a lot, called away, re-establish covered call, roll leap up.

  ETF goes down a little, roll short calls same or down strike assuming still above leap strike.

  ETF goes down a lot, take profit on leap, re-establish lower strike leap, roll short call down but above leap strike

  1-year later, roll Long leaps out one year if IV still low. Close positions if IV is high and wait for lower iv again.

  I add to positions monthly by buying diagonals, long LEAP, short at the money call and either get assigned on short call, or roll short calls. If and when IV goes up my long puts make more or lose less, and I can sell more call premium which covers the entire price of my long puts after a few rolls. Sorry for long email. I hope you can discuss on the air. While I listen to almost all shows I occasionally miss due to work obligations. Can you alert me of when it airs if you discuss this? Thanks. Dr. Larry in NYC - PS: tell Sebastian he never returned my call.

• Question from Joneil: Heard someone talking about the VVIX/VIX ratio. Did not make much sense to me. Is that something you guys track?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 11.75
• Mark S. - 12.50
• Russell - 12.99

This week:

• Mark L. - 14.5
• Mark S. - 13
• Russell - 17

Volatility Viewpoint: Today we have a very special guest, Ricardo Manrique, Executive Director of Index Business Management and Derivatives at MSCI.

He discusses:

• An overview of MSCI
• Inroads into options and volatility, especially through CBOE partnership
• Meeting investor demand for products related to international equities
• How does Russell incorporate these indexes into his analysis?
• Will there be futures listed on the idexes?
• Domestic versus international companies
• Listener questions

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

• VIX cash: Remained above 13 most of the week primarily due to impending non-farms.
• 30-Day HVOL: 5; 30-Day IVOL: 12
• VIX Futures: Oct premium 3.3. points to cash, down from 5 points a few weeks ago.

Russells Weekly Rundown

• How are the Monday SPX weeklies fairing?
• VIX Options: Mon: 192k, Tues: 205k, Weds: 276k, Thurs: 309K; Total 6.86m (4.80m Calls, 2.06m Puts)
• Crude Oil: Crude taking in on the chin again this week.
• OIV/OVX: 41

Crystal Ball: Predicting and prognosticating.

This Week:

• Mark L.: 11.75
• Mark S.: 12.50
• Russell: 12.99

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

• VIX Cash: Spiked over 14 this week thanks to Yellen & Co.
• What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92.
• Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch.
• VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week.
• VVIX: 85.43

Russells Weekly Rundown

• Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts)
• Earnings Volatility: HPQ
• Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike.
• Crude Oil: USO = 10.95
• OIV/OVX: 37: Less than half of peak levels back in Feb.
• USO Skew: Still bid toward the puts, with the exception of Jan 17.
• Gold

Crystal Ball: Where will the VIX close?

This week:

• Russell - 11.90
• Andrew - 12.10
• Mark L. - 11.50

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

• VIX Cash: Spiked to nearly 14 this week before dropping back below 12.
• VIX Futues: Crazy term structure a hot topic last week.
• Follow up question from JJK: Thanks for discussing my question on the show last week. If anything it seems like the futures premium to cash has increased with futures premium to cash has increased with Oct future 5 handles above cash. What am I missing? Earnings season is done and FOMC in rear view mirror for now. Is this just pricing in unease over current market valuations?
• VVIX: 82.83. Well off levels from last week.

Russell Weekly Rundown

• How was the first week for Monday SPX Weeklies?
• VIX Options: Mon 501k, Tues 526k, Weds 570k, Thurs 481k, Total 5.40m (3.72m Calls, 1.68m Puts)

Options #QuestionoftheWeek: $VRX $26.66 up 7% Monday. IV30 is 63. HV30 is 99.

Looking out one month would you rather

• Buy Calls?
• Buy Puts?
• Sell Premium
• Sill not touch $VRX

Crude Oil: OIV/OVX 35: Less than half of peak levels back in February.

• Volatility Voicemail: Listener questions and comments
• Comment from Mark Brand: Really excited about SPX Mondays! Like TGM said on VV, great weekend risk trade or fade!
• Question from James Aldo: Re: Circuit breakers talk last week. Is i correct to assume that circuit breakers that are too tight can actually increase volatility? Or is that a myth?

Crystal Ball: Where do the hosts think VIX will close this week?

• Mark L.: Was 11.25 last week, sticking with it.
• Russell: 11.75
• Ghost of Mark S.: 7.7

Volatility Review: A look at the week from an options perspective.

• VIX cash: Hit 52 week low this week: 11.02
• VIX futures: Question from JJK: The Sep VIX futures are trading over $3 premium to cash. Seems pretty steep. Is the market pricing in a big sell-off in the near future?
• VVIX: Currently at 96.78
• VIX Options: Mon: 660k, Tues: 765k, Weds: 635k, Thurs: 603k; Total 7.36m (5.10m Calls, 2.26m Puts)
• Crude Oil
• Gold

Volatility Voicemail: Listener questions and comments

• Question from Service Dog: Do stock market circuit breakers have a significant impact on market volatility?
• Question from MoneyPenney: How does VXX work?

Crystal Ball: Where will the VIX close?

Last week:

• Mark L.: 11.15
• Mark S.: 10.25

This week:

• Mark L.: 11.25
• Mark S.: 11
• Russell: 13

Volatility Review: Breaking down the week from a volatility perspective

• VIX cash: 11.39; hits a 52-week low.
• VVIX: 88.14. Back below 100, but still elevated.

Russells Weekly Rundown

• VIX Options: Moderate volume this week.
• Mon: 547k, Tues: 522k, Weds: 367k, Thurs: 512k; Total 6.69m (4.44m Calls, 2.25m Puts)
• Earnings Volatility: TSLA stock at $225 on earnings. ATM straddle approx. $14.70 - 6.5%. Open unchanged. Closed up approx $5. Missed by nearly $10.
• Crude Oil: OIV: 42, OVX: 42

Volatility Voicemail :Listener questions and comments

• Question from NTC34: Heard you guys on #OptionBlock discussing using options with stock to speculate on volatility. Can you explain that? How does buying a call and selling stock give you a pure volatility position?
• Question from AuntH: What is up with RVX?

Crystal Ball: Spinning the wheel of where the VIX will close.

Last week:

• Russell: 13.05
• Andrew: 12.40
• Mark L.: 11.75

This week:

• Mark L.: 11.15
• Mark S.: 10.25
• Russell: 12

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

• VIX Cash: 12.39
• VVIX: 89.33. Back below 100, but still elevated

Russell's Weekly Rundown

• VIX Options: A light options week
• Mon: 625k, Tues: 415k, Weds: 534k, Thurs: 475k; Total 6.07m (4.17m Calls, 1.91m Puts)
• CBOE quarterly profits jumped 13.6 pct on increased volatility
• Options traders are feeling good about Alphabet shares.
• Crude Oil: OIV: 42.91; OVX: 42.33

Volatility Voicemail: Listener questions and comments

• Question from DK from DC: What is the difference between the front month VIX future and the VIX cash?
• Question from Big Jim Wheeloff: Why are options so damn expensive? At this rate I will go broke hedging my 401k.

Crystal Ball: VIX predictions

Last week:

• Mark L.: 11.5
• Andrew: 9.5
• Russell: 17.35
• Bill Luby (Guest from last week): 12.71

This week:

• Russell: 13.05
• Andrew: 12.40 (with an 11-handle dip)
• Mark L.: 11.75

Volatility Review, featuring special guest: Bill Luby from VIX and More.

• VIX Cash: 12.18; Earnings season and the Fed not injecting substantial volatility into the marketplace
• VIX Futures: Still surprising premium to cash
• VVIX: 88.42. Back below 100, but still elevated

VIX Options: A light volume week across the board in all products, including VIX

• Mon: 557k, Tues: 774k, Weds: 338k, Thurs: 566k, Fri: 163k
• Total 4.95m (3.41m Calls, 1.54m Puts)

Earnings Volatility: Big names on the earning docket this week:

• AT&T (T)
• Chipotle Mexican Grill (CME)
• E*Trade Financial (ETFC)

Crude Oil:

• OIV: 39
• OVX:39

Volatility Voicemail: Listener questions and comments

• Question from AL08: IV or HV. Which is most important? Which should I pay attention to?
• Question from Jack King: What is the primary driver of volatility, skew puts or calls?

Crystal Ball: Guess the closing price of the VIX

Last Week:

• Mark L.: 13.25
• Andrew: 12.25
• Russell: 13.51

This Week:

• Mark L.: 11.5
• Mark S.: 9.5
• Russell: 17.35
• Bill: 12.71

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

• VIX Cash: 12.82, lower than expected.
• VVIX: 86, back below 100 but still elevated.

Russells Weekly Rundown

• VIX Weeklies updates
• VIX Options: Mon: 461K, Tues: 233K, Weds: 475K, Thurs: 905K
• Total 8.12m (5.46m Calls, 2.67m Puts)
• Barclays breaks down best Vol trades in June.
• Crude Oil
• Gold

Volatility Voicemail: Listener questions and comments

Question from Vegas: Regarding VIX, we were at all-time highs in ES when we made the top of the yearly range and VIX was at a low level around 10. Now we're higher and VIX can't break 13.50 to the downside. What's the deal?

Crystal Ball: It's time for everyone's favorite game, where will the VIX close?

Last Week:

• Mark L.: 15
• Mark S.: 13.5
• Russell: 16.27

This Week:

• Mark L.: 13.25
• Andrew: 12.25
• Russell: 13.51

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

• VIX Cash: About 15, lower than predicted.
• VVIX: 90, back below 100, but still elevated.

Russells Weekly Rundown:

• Weekly Futures
• VIX Options: A light post-holiday week. Tues: 585k, Weds: 437k, Thurs: 386k, Total 7.15m (4.54m Calls, 2.62m Puts)
• Earnings Volatility
• VRX: Bullish options bets surge on Valeant
• Crude Oil: Back in the toilet. OIV: 43, OVX: 43

Volatility Voicemail: Listener questions and comments

• Question from Engstromm: Can I trade OVX?
• Question from StGermain: When is it preferable to use VIX Options and when is it better to use VIX Futures?

Crystal Ball: Wild prognostication ensues

Last Week:

• Mark L.:19
• Mark S.:15
• Russell: 18

This Week

• Mark L.: 15
• Mark S.: 13.5
• Russell: 16.25