Volatility Views

Mark, Russell and Henry are live (to tape) at the annual Options Industry Conference. They took some time away from the pool to give our listeners the scoop on volatility.

Volatility Review: Henry delivered some of the highlights of the conference. The concentration of volume in a few names, aka the 80-20 rule. The impact of fragmentation on volume. The heavy percentage of complex orders of overall volume. The buzz about a WSJ article on the decline of options volume and the stats that dispel that idea. The opportunities being generated by complex order books. Are we looking at coopertition? VIX below 10: what does it mean? Is there really a new supply of premium sellers? How much pain can they stand, and how will that impact the market?

Russell's Weekly Rundown: What did Russell notice this week?

• It's the week before standard VIX expiration
• Crazy spreads
• Top ten strikes of the week

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

• VIX Cash - 10.46, practically unchanged from last week.
• VVIX - 78, same as last week.
• CBOE Skew Index - 130.5, 12 point lower than last week.

Russell's Weekly Rundown:

• VIX Options: Mon - 572k, Tues - 746k, Weds - 469k, Thurs - 657k, ADV - 734k
• VIX Call/Put: 3/1: Total 9.68m (7.26m Calls, 2.42m Puts)
• CBOE begins trading options on VelocityShares EVIX - contract based on VSTOXX Short-Term Futures Investable Index

Earnings Volatility:

• Tesla Close - $311, ATM Straddle approx. - $17, approx. 5.5%
• FB: Close - $151.80, ATM Straddle - $5.63, approx. 3.7%

Volatility Voicemail: AAPL Earnings Pop Quiz

AAPL $146.50, Weekly straddle $5 (3.5%). IV30 = 21%, Weekly 155 Call= $.27, 138 Put = $.27 Would you rather?

• Buy Straddle/ Iron Fly, 18%
• Sell Straddle/Iron Fly, 34%
• Buy Call, 44%
• Buy Put, 7%

Earnings Season Flash Poll

ZNGA reports earnings today. Stock is trading $2.87. #Options ADV 3K. Do you trade options on cheap stocks?

• Yes, down to $10
• Yes, down to $5
• Rarely
• No, the stock is an option

Listener questions and comments:

• Thank you for the fan art, inspired by Don Schlesinger, sent in by Hawkeye.
• Comment from Don S. - Mark, listening to the recent Vol Views from RMC, I was going to write to you, in any event, when, all of a sudden, I heard my name invoked with respect to buying options ("I hope Don Schlesinger is not listening")! Well, I was listening, so will share a few views on vol. :-). I am continually amused by the staying power of the traditional topics. Thirty-three years ago, when I began in the industry, but most especially after the 1987 crash, when the skew was born, it became axiomatic to me that the only good thing to do with an option was to sell it or not sell it. Today, you have invented new-fangled terminology, such as "risk premium harvesting" (which I find adorable!) to describe exactly the same thing: to sell options because their implied volatilities are, on average, considerably higher than what realized volatility of the underlying goes on to display. I am not sure why we need the new vocabulary, but whatever makes people happy. You can either be the insurance company or be the policy owner. Which one makes the most money?
• Question from @fksthlm - Did something just break in VIX ETFs? Was the move 11:45 Wednesday, hindsight guess I was only surprised to the sensitivity to futures at this level

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 11.50
• Mark S. - 11
• Russell - 11.95

This week:

• Mark L. - 10.55
• Mark S. - 9.95
• Russell - 10.10

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

• VIX Cash - 10.36
• VVIX - 76.66, back in the toilet.
• CBOE Skew Index - 142.55, still rich.

Russell's Weekly Rundown:

• VIX Options: Mon - 975k, Tues - 801k, Weds - 475k, Thurs - 571k, ADV - 734k
• VIX Call/Put - 2.7/1; Total 8.81m (6.55m Calls, 2.27m Puts)
• Earnings Volatility: Alphabet, Amazon, Intel, Starbucks, Alcoa, Chipotle

Volatility Voicemail/OptionsQuestion of theWeek:

Earnings Season is upon us. Big names are reporting soon. Which is your pick for the largest % move post-earnings?

• $AMZN - 36%
• $GOOGL - 26%
• $CMG - 30%
• $MSFT - 8%

Listener questions and comments:

• Question from FContangotrader -What is your 2 cents on this article? Thanks.
• Comment from Lolzi - Could we all just get along and agree that VXX erodes relatively predictably? Who really cares if its roll yield or flying pigs as long as you can count on it with some degree of certainty?
• Question from JJonQuin - You say VIX call to put of 2-3 is normal. What is not normal? When should we get alarmed? 5? 6? Higher?

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 12.75
• Mark S. - 16
• Russell - 13.25

This week:

• Mark L. - 11.5
• Mark S. - 11
• Russell - 11.95

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

• VIX Cash: 14.15
• VVIX: 94.53
• CBOE Skew Index: 146.85 +6.65 (+4.74%), getting rich again.

Russell's Weekly Rundown:

• VIX Options: Mon - 616k, Tues - 1.4M, Weds - 1.6M, Thurs - 752k, ADV - 712k
• VIX Call/Put: 3/1: Total 7.27m (5.45m Calls, 1.82m Puts)
• OIV/OVX - 28.26

Volatility Voicemail: Options #QuestionoftheWeek

Earnings are back with some juicy straddles reporting this week. Which is your pick for the most overpriced?

• $NFLX: ATM Straddle 8%
• $BAC: ATM Straddle 3%
• $EBAY: ATM Straddle 7%
• $ETFC: ATM Straddle 4%

Listener Questions:

• Question from Nizy - So I am confused. Per your VIX Myth-busting episode - what is the deal with with the VXX erosion? It is not due to the roll or it is? If so then how does it erode when VIX futures are backward?
• Question from Avil3 - UGetting my dad to the dark side. He is thinking about dipping his toes in the Vol waters. What product do you recommend for a Vol newcomer making his first trade? Thx and I will try to get him to listen.

Crystal Ball: Wild prognosticating

This week:

• Mark L. - 12.75
• Mark S. - 16
• Russell - 13.25

This Best of Volatility Views was recorded on November 8, 2016.

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.

This episode of Volatility Views was recorded and posted on November 8, 2016.

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 Review: Today we are joined by guest co-host Bill Valentine, Commodore Fund

• VIX Cash - 12.39, VVIX - 84
• CBOE Skew Index - 131, back down to normal levels
• VIX Options: Mon - 597k, Tues - 368k, Weds - 720k, Thurs - 564k, ADV - 659k, (Total: 9.8M - 7M Calls, 2.8M Puts)
• VIX Call/Put - 2.4/ 1
• OIV/OVX - 26 - in the toilet
• GVZ - 12.85
• TYVIX - 5.12

Volatility Voicemail: Comment from LVT. Re: your discussion from last week. I think moving averages are worthwhile when analyzing VIX. Other than that, not so much.

Crystal Ball: Your VIX prognostication headquarters

Last week:

• Mark L. - 12.50
• Andrew - 12
• Russell - 12.80

This week:

• Mark L. - 12.65
• Mark S. - 12
• Russell - 9.87
• Bill - 13

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

• VIX Cash - 11.54
• VVIX - 7.5
• CBOE Skew Index - 139

Russell's Weekly Rundown:

• How is the April 26 fly looking?
• VIX Options: Mon - 635k, Tues - 740k, Wed - 601k, Thurs - 498k, ADV - 648k
• VIX Call/Put: 2.4/ 1. Total 8.91m (6.30m Calls, 2.62m Puts)
• OIV/OVX - 28
• GVZ - 12.06
• TYVIX - 4.68

Volatility Voicemail: Options #BrokerMadness tournament going on now.

• Finals matchup! We have @Lightspeed v. @OptionsHouse
• Question from CheckersKing - I see a lot of folks talking about about moving averages and support and resistance levels in $VIX. Is this kind of TA useful with $VIX or is it apples to oranges?
• Question from MoustacheGod - I think I am too late but I pick axe/sword for the zombie apocalypse. What do I win. Jk. But if I am looking at an end times indicator is there one that is better than the rest or is it all about context and grouping multiple indicators together.

Crystal Ball: Wild prognostication

Last Week:

• Mark L - 12.50
• Mark S. - 12
• Russell - 12.80
• Ricardo - 13.5

This Week:

• Mark L. - 12.50
• Mark S. - 12
• Russell - 12.80

Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI.

• VIX Cash - 13.12
• VVIX - 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007.
• CBOE Skew Index - 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17.
• VIX Futures - Front month: .9, Two Month: 1.4
• VIX Options: Mon - 785k, Tues - 1.6M, Weds - 917k, Thurs - 512k, ADV - 637k. Total 8.09m (5.77m Calls, 2.32m Puts)
• VIX Call/Put: 2.5 / 1
• OIV/OVX - 29.85
• GVZ - 12.58
• TYVIX - 4.37

Volatility Voicemail: Listener questions and comments

• Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so?

Crystal Ball: Wild and reckless prognostication

Last Week:

• Mark L. - 10.65
• Mark S. - 10.90
• Russell - 11.11

This Week:

• Mark L. - 12.50
• Mark S. - 12.00
• Russell - 12.80
• Ricardo - 13.50

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

• VIX Cash: 11.16
• VVIX: 75
• CBOE Skew Index: 153.66, highest since 6/27/16.
• VIX Futures, Front month premium to cash - 0.5, Two month - 2

Russell's Weekly Rundown:

• VIX Options: Mon - 317k, Tues - 578k, Weds - 1.26M, Thurs - 546k, ADV - 605k
• VIX Call/Put: 2.5 / 1
• Total 11.6M
• We have officially killed the 30 strike!
• OIV/OVX - 28.22, spiked to nearly 35 last week on WTI sell-off
• GVZ - 11.07
• TYVIX - 4.37

Volatility Voicemail: Options #QuestionoftheWeek

$VIX = 11.50, $SNAP IV30 =56, $AAPL IV30 = 14, $OIV= 33. If you had to buy #Volatility-which is the best value?

• $SNAP - aka Tween Vol
• $AAPL - aka #iPhone Vol
• $VIX - aka $VIX
• $OIV -aka #Crude $VIX

Listener questions:

• Question from MerchantAdventurers - Non jargon...lots are betting VIX goes lower, yes?
• Question from Grow Your Business - There will be a day in the next 60 days that it will spike big. Should have a pool to see who guesses the correct date. April 13th!

Crystal Ball: Wild and reckless prognostication

• Mark L. - 10.65
• Mark S. - 10.90
• Russell - 11.11