Volatility Views

Volatility Review: Vol Views is live from the 2017 RMC Conference in Dana Point, CA! Mark and Russell are joined by:

• Bill Luby, VIX and More
• Ilya Feygin, Managing Director, Wallachbeth

Themes from the event include:

• Kelly criterion
• How low VIX is
• Buying options
• Social media sentiment
• Steepness of vol term structure
• Sector movement
• Weekend risk and the dampening of volatility
• And more

Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics.

He discusses:

• A overview of Option Metrics and the Feb. 21 release on skew
• What is the flavor of choice for skew at Option Metrics?
• Why does he think we are seeing such a bid in VIX futures right now?
• How does this term structure compare to historical levels?
• What his your outlook for volatility under Trump?

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

• VIX Cash - 11.71, unchanged from last week.
• VVIX - 83.61, also unchanged from last week.
• CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week.

Russell's Weekly Rundown:

• VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts)
• SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26.

Options Pop Quiz: If $SNAP opens at $17 what price would you give the ATM straddle expiring 3/10? AKA how much movement do you expect? (Our listeners totally called this one)

• 13% - Between $1 - $2
• 13% - Between $2 - $3
• 19% - Between $3 - $4
• 55% - Over $4 - aka over 23%

Volatility Voice Mail: Options #QuestionOfTheWeek

$VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?

• 29% - It won't break 10 again
• 22% - Between 9-10
• 22% - Between 8 - 9
• 27% - Below 8

Question Number 2: $SNAP closed at $24.50. If #Options were available tomorrow would you rather:

• 45% - Buy 1 month $24 put
• 11% - Buy 1 month $25 call
• 19% - Stay the heck away
• 25% - I would rather sell premium

Listener questions and comments:

• Comment from Hawkeye - Mark, I call MAJOR umbrage for you taking credit for MY idea of calling Russell "Dr. VIX"! As you can see in the forwarded email below, I have it IN WRITING that I proposed that moniker for the good Dr. back on November 17, 2015. You should feel ASHAMED of yourself in your weak attempt to take credit for my idea, ESPECIALLY since I sat right next to you and Uncle Mike at the Lobster and Meatball fest in Chicago a couple years ago, eating tasty steaks on Sebastian dime. Have you no shame, sir? Is your memory that short? Umbrage! I hereby give you permission to send the residual checks to my PayPal account. On another note, here is another idea that you CAN keep: The business show should use as its motto The Business Show! It is an audio train wreck -- you cannot stop listening no matter how much you know you shouldn't. While I am at it, I really like Nick and the new revitalized Futures shows. Even though I do not trade futures options, I still use the concepts to trade some of the ETFs/ETNs. Get the Typhon guys back on and see if you can get the Viceroy and Don S. back on for a mega-reunion show sometime. Keep up the great work! Hawkeye
• Question from Kmar65 - Have you all covered the situation with Catalyst and the HFXAX fund recently? I try to get to all the webcasts but must have missed it if you had. Expected max drawdown was 5% and they blew through that. Gives one cause for pause re options strategies. would be great to understand how it happened and how it could/should have been avoided. Thanks in advance!

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 11.25
• Mark S. - 11.50
• Russell - 12.34
• Guest - 12.65

This week:

• Mark L. - 11.55
• Mark S. - 11.00
• Russell - 12.00

Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA.

He discusses:

• His background in the volatility space
• Which products did he trade?
• The Hong Kong volatility scene
• What does True Partner Capital do?
• What does True Partner Capital trade?

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

• VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week.
• CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20.
• VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week.

Russell's Weekly Rundown:

• VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts)
• OIV/OVX: 25.52, oil volatility continues to be crushed.
• GVZ: 13.68, also continues to erode.
• TYVIX: 5.29

Volatility Voicemail: So many questions

Options #QuestionOfTheWeek: $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?

• It wont break 10 again
• Between 9-10
• Between 8 - 9
• Below 8
• Question from Fksthlm: VSTOXX vs VIX Frexit risk: your view on this in today's show would be very interesting!

Crystal Ball: Wild, reckless prognostication

Last week:

• Mark L. - 10.45, Mark S. - 10.85, Russell - 11.75

This week:

• Mark L. - 11.25, Mark S. - 11.50, Russell - 12.34, Tobias - 12.65

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

• VIX Cash - Just under 11.76
• VVIX - 80
• CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20.
• VIX Futures: Front month premium to cash - 1.25; Two month premium to cash - 2.50.

Russell's Weekly Rundown:

• VIX and Three Day Weekends, by Russell Rhoads, CFA
• Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade, by Russell Rhoads, CFA
• VIX Options: A high volume week, ADV - 559k; Mon - 816k, Tues - 1.3M, Wed - 1.14M, Thurs - 822k; VIX Call/Put: 2.8/1; Total 7.21m (5.18m Calls, 2.03m Puts)

Volatility Voicemail: Quizzes, questions, comments

Options #QuestionOfTheWeek: Trading single #Calls and #Puts is fine, but smart #Options traders use spreads. What is your go-to spread?

• Vertical/Ratio Vertical
• Calendar/Diagonal
• Butterfly/ Iron Butterfly
• Iron Condor

Listener questions:

• Question from Nordictan - Is it possible to change the default LiveVol font settings and make it larger? The current setting is simply too small for my multi-monitor setup. My screen devoted to LiveVol is a bit removed from my seating position so I always struggle to read it. A nice pop in the font size would be very useful.
• Question from Vincent Chase - Why do you say that this earnings cycle is disappointing from a volatility perspective?

Crystal Ball: Your headquarters for wild and reckless prognostication.

Last week:

• Mark L - 10.45
• Mark S. - 10.85
• Russell - 11.75

This week:

• Mark L. - 11.25
• Mark S. - 10.75
• Russell - 12.01

Volatility Viewpoint: Today we have special guest: Greg King, REX ETFs CEO/Founder, "The Godfather of VXX."

He discusses:

• The process for launching VXX
• How did it come about?
• The process for launching XIV
• Why make the switch into a short volatility product?
• What is REX ETF?
• How do the new products work?

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

• VIX Cash - under 11
• VVIX - 85.84
• VIX Futures: Front month premium to cash: 1.1. Two month premium to cash: 2.80.

Russell's Weekly Rundown:

• VIX Options: ADV - 559k. Mon - 350k, Tues - 519k, Weds - 886k, Thurs - 691k. Total 9.18m (6.82m Calls, 2.36m Puts).
• VIX Call/Put: 2.8/1
• CBOE Skew Index - 129, down 4.82 (3.6%)
• OIV/OVX - 29.50
• GVZ - 15
• TYVIX - 5.40

Crystal Ball: Wild and reckless prognostication.

Last week:

• Mark L. - 10.50!
• Mark S. - 10.92
• Russell - 12.01
• GUEST - 11.34

This week:

• Mark L. - 10.45
• Mark S - 10.85
• Russell - 11.75

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management.

He discusses:

• What is VolSurface Capital Management?
• What is their typical strategy and product?
• What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility
• VIX long-term mean of 20?
• Why is the 30 strike so popular?

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

• VIX Cash: 11.25
• VVIX: 88, off its recent highs.
• VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6

Russells Weekly Rundown:

• VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k
• VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts)
• OIV/OVX - 29.50
• GVZ - 15
• TYVIX - 5.40

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. - 11.50
• Mark S. - 11.05
• Russell - 12.99
• Bill Luby - 11.78

This week:

• Mark L. - 10.50
• Mark S. - 10.92
• Russell - 12.01

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

• VIX Cash: 10.63
• VVIX: 80, off recent highs.
• VIX Futures: Front month premium to cash: 2.1, two month premium to cash: 3.5

Russell's Weekly Rundown:

• VIX Options: ADV - 580k; Thurs - 638k, Weds - 613k, Tues - 863k, Mon - 427k; VIX Call/Put: 2.5/1
• Earnings season dramatically underwhelming so far.
• Google, MSFT, INTC, PayPal, SBUX
• OIV/OVX - 29.50
• GVZ - 14.74
• TYVIX - 5.65

Volatility Voicemail: Question of the week, plus listeners have their say

Options #QuestionOfTheWeek - Lots of earnings on the horizon. Which company will outperform their earnings straddle by the largest margin?

• Alphabet - $GOOGL
• Microsoft - $MSFT
• Intel - $INTC
• Starbucks - $SBUX
• Question from VolBug - Hi Mark, Can you and the crew give you assessment of SVXY and whether you think it tracks well and what are some of the vulnerabilities? Thank you sir.

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 11.55
• Mark S./Andrew - 12.01
• Russell - 12.34

This week:

• Mark L. - 11.50
• Mark S. - 11.05
• Russell - 12.99
• Bill Luby - 11.78

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

• VIX Cash - 13
• VVIX - 86
• VIX Futures: Front month premium to cash - 1.5; Two month premium to cash - 2.70

Russells Weekly Rundown:

• VIX Options: A heavy volume week. ADV 554k, Thurs - 405k, Weds - 850k, Tues - approx. 1M, Mon - Closed. VIX Call/Put: 2.9/1. Total 5.4M (4M Calls, 1.4M Puts)
• OIV/OVX - 30.88
• GVZ - 15.17 - Near the low end of a 52-week range.
• TYVIX - 5.91

Volatility Voicemail: Listeners get their say

#Options #QuestionOfTheWeek - Earnings Season awakens! How do you play earnings using options? Are you an Earnings #Jedi or #Sith?

• Dark Side (Short Premium)
• Light Side (Long Premium)
• No Side - Avoid earnings
• Other (Reply/DM w/ideas)
• Question from Maryanne - How long do you think this period of low volatility will last?

Crystal Ball: Your prognostication headquarters

Last week:

• Mark L. - 12.25
• Mark S. - 11.50
• Guest - 14.51
• This week:
• Mark L. - 11.55
• Andrew - 12.01
• Russell - 12.34

Volatility Review: A much quieter start to 2017 than 2016 so far.

• VIX Cash - 11.54
• VVIX - 90.5
• VIX Futures: Front month premium to cash:
• Expect 2017 to be more volatile than last year.
• VIX Options: A heavy volume week - ADV: 554k; Total 7.5M (5.7m Calls, 1.8m Puts)
• Oil Volatility: OIV/OVX - 29.87

Volatility Voicemail/QuestionOfTheWeek:

$VIX hit a high of 28 last year. How high will $VIX get in 2017?

• About the same (27-29)
• Slightly Lower (24-26)
• Slightly Higher (30 - 33)
• Much Higher (Above 33)
• Listener Question from ChilliBill: The fed report from the last show was pretty damning. Any other secret studies on Volcker and Vol lurking out there?

Crystal Ball: Wherein the hosts prognosticate on where the VIX will close.

Last week:

• Mark L. - 11.5
• Russell - 10.99
• Mark S. - 12.01

This week:

• Mark L. - 12.25
• Guest - 14.51
• Mark S. - 11.5

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for the year.

Russells Weekly Rundown

• VIX Options: ADV: 544k
• A fairly light volume week to kick off the new year.
• Total 5.9M (4.4m Calls, 1.5m Puts)
• What is the impact of the Volcker Rule of volatility?
• Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above 30.

Volatility Voicemail: Pop quizzes, questions, and comments

Happy New Year! First #QuestionOfTheWeek for 2017. Total #Options volume dropped 2% last year. How will 2017 #Options volume compare?

• About the Same (+- .5%)
• Modest Increase (up 1-2%)
• Modest Drop (down 1-2%)
• Big Change (+- over 2%)

#Volatility Pop Quiz - New Years edition: The trillion dollar question - Where will $VIX close at the end of 2017?

• Below 12
• Between 12-15
• Between 15-18
• Over 18

Listener questions and comments:

• Comment from Alaran: I think the 30 strike is popular each month simply because big insurance firms need to hedge themselves against calamitous market events. VIX > 30 = calamitous event in the eyes of many.
• Question from Julio: In the spirit of the new year, when are we going to get new VIX products? Especially Monday through Friday weekly VIX options?

Crystal Ball: Looking into the future

Two weeks ago:

• Mark L. - 11.25
• Russell - 12
• Ghost of Mark S. - 5.2

This week:

• Mark L. - 11.5
• Russell - 10.99
• Mark S. - 12.01