Volatility Views

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace.

• VVIX: 109
• VIX futures
• Russell’s weekly rundown: What weekly VIX options activity caught your eye this week?
• VIX options: 20,000 VIX Feb 20 puts (expiring 2/17); VIX feb30/40 call spread trades (expiring 2/17) 18,500 mid-market; total 3.84m (2.55m calls, 1.28m puts)
• Crude oil: Oil rose from its lowest close in more than 12 years as investors tried to pick a bottom after government inventory data. OIV: 66; OVX: 66

Volatility Voicemail: Listener questions and comments

• Question from Pick6 - The VIX is mean reverting with a long-term mean around 20. Does that mean reversion quality make it a good candidate for selling iron condors and iron butterflies?
• Comment from Envigon - Steak or no steak? What’s the deal?

Crystal Ball: Waiting on rate hikes until Europe/China/Japan lifts off the gas pedal. How many times will the Fed raise rates this year? Sebastain sets the over/under at 1. Russell says it will be zero. Mark says don't count out Q4, but is leaning towards zero. Jared says it will be two. Is there more steak at stake?

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX Weeklies - Many institutional clients had to treat VXST like a new product, receive compliance approval, adopt new systems, etc., that complicated adoption by end users.

Volatility Voicemail: Listener questions and comments

• Question from Nick B. - Hello mark and greetings to the team on Volatility Views. I very much enjoy your program and have learned much from you and your guests. I have two questions for you guys to mull and (hopefully) answer on a future episode. 1) Do you guys use trading days or calendar days when calculating volatility? 2) Does it seem logical to add some sort of daily volatility product to the VIX universe? The weeklies do well and most spot VIX products have failed but a daily VIX option would track the future/cash fairly tightly. Off topic p.s. - Are you guys as caught up in the making a murderer show as I am?

Crystal Ball: Wild, reckless prognostication.

Volatility Review: Looking back at 2015.

• Good to be in the Volatility & Index business - overall index volume only down 1% in 2015.
• VIX Futures: Trading volume in VIX futures also set new total volume and ADV records for a sixth straight year in 2015.
• Five Volatility Market Takeaways from 2015:
  1. VIX Average Closer to Historical Norms
  2. Russell 2000 Volatility Was Relatively Low
  3. SKEW High for the Second Year
  4. VIX Backwardation Lives!
  5. Long and Short Volatility ETP Performance
• VIX Cash: Up 4.40 yesterday - 21% - got as high as 25.86 on Thursday. VIX Options
• Total 4.93m (3.54m Calls, 1.39m Puts)

Volatility Voicemail: Listener questions and comments

• Question from TCruz - Will we ever see a daily VIX option?
• Question from Vin - Love Options Insider Radio - been mainlining Volatility Views. You always talk about the lack of VIX put volume on that show. Is there a particular month that is most attractive for VIX put buyers?

Crystal Ball: Reckless prognosticating

Originally posted July 20th, 2015

Volatility Review: Today's guest is Mike Thompson, Typhon Capital

• VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history.
• VVIX: 85.55 - Back at the low end of recent range.
• VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally!
• VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts)
• Oil: After some brief signs of life, oil volatility continues to erode.

Volatility Voicemail: Listener questions and comments

• Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product?
• Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.

Volatility Review: Welcome to the Post-Fed era.

• VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show.
• VIX Options: Heavy volume early this week. 1.2M Monday, 860K Tuesday.
• Oil: Who is the bear driving up the price of U.S. stock options?

Volatility Voicemail: Listener questions and comments

• Question from NJ42 - Where do you think the next big development will come from in volatility research or trading?
• Question from Alistair - Why are the volatility offerings effectively limited to the S&P 500? Why are there not any real offerings for commodity volatility? People active in those markets also want to hedge their volatility risk?

Crystal Ball: What is left after the Fed?

Volatility Voicemail: It's time for listener questions

• Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility?
• Question from Charles M. - How has the dwindling number of options specialists impacted volatility? I believe volatility has increased as a result with days like 8/24 being glaring examples. Please discuss.
• Question from A. Melendez - Any updates on VSTOXX? Is it coming to the U.S. anytime soon?
• Question from Zack06 - Can you recommend the definitive study on VIX calls vs. S&P puts? Is there an ultimate winner?
• Question from AL33T - looking over the Voldex info recently and I cannot figure it out. Why would I want to remove skew from VIX? Is that not valuable trading info?
• Question from Avery - Why do you guys take such a dim view of TVIX? Am I missing something?
• Question from Vin C. - What is the correct duration to purchase VXX puts in my retirement account? I would like the best chance at capturing the most erosion over time.

Crystal Ball: Fed still on the horizon in December.

Volatility Viewpoint: Today's guest is Chris Cole, Managing Partner at Artemis Capital Management. They discuss Chris's now "infamous" letter to his investors, "Volatility and the Allegory of the Prisoner's Dilemma."

Volatility Review: A look back at the week from a volatility perspective, plus a review from RMC Asia.

• VIX Cash: Volatility surges after sell-off and heading into Non-Farm Payrolls. VIX Cash: 18.11, VVIX: 101.80
• What is the Fed impact on Vol?
• SPX
• CBOE Skew Index back to boring - This week: 135.26
• VIX: A heavier volume week in VIX Options. Total 6.24m (4.57m Calls, 1.68m Puts)

Crystal Ball: Earnings season is winding down. FED on the horizon in December.

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

• VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend
• VVIX: 96.18
• CBOE Skew Index back to boring - This week: 139.16
• VIX Options: Heavy volume early in the week. 1M contracts on Monday, 800k contracts on Tuesday. Light volume the rest of the week. Total 5.19m (3.77m calls, 1.42m puts)
• Gold: GVZ this week: 17.57
• Crude oil: OIV: 42.30, OVX: 43.75

Volatility Voicemail: Listener qquestions and comments

• Question from Hawkeye - Love seeing Russell as the new addition to the Vol Views cast of characters. You mentioned you wanted a nickname for him. Since he is going for his Phd (but has not quite gotten it yet), he teaches classes for the OIC, and he literally wrote the book on VIX, how about calling him "Professor VIX" (and maybe moving to "Dr. VIX" once he gets his diploma). I also wanted to say that it was great hearing Don "Palms out" Schlessinger a couple shows back. You need to get him on as a guest host more often, and see if the Viceroy can guest host once in a while, too. Lastly, I love hearing from those Typhon guys. Any time you can get them on, please do so. Anybody with the comedic sense to name their trades "mullet" and "tellum" is good in my book. Wit with Wisdom is the best mix. Thanks and keep the great shows coming.
• Question from TiffanyL1 - Is it possible to simply buy VIX cash without messing with the futures?
• Question from George T. - Can I buy still buy VIX on the old calculation without the skew?

Crystal Ball: Meandering VIX. Earnings season winding down. Fed on horizon in December.

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

• VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19
• VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\
• VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts)
• Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5%
• Gold - GVZ this week: 18.47, GVZ last week: 17.69
• Crude Oil - OIV: 43.14, OVX: 43.93

Volatility Voicemail: Listeners have their day

• Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so why are the spreads so wide? Do you think it is worth the approximately 33% increase in cost to trade a weekly vs. a standard monthly? Thanks for the show. Keep up the good work sirs and welcome aboard to russell.
• Question from Pick6 - When a takeover is announced does the volatility (time value) of farther out options erode or go away?

Crystal Ball: Earnings season is in full swing. Fed on the horizon in December.