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

• Moving up the list - 28 days over 20 in the VIX Cash.
• VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back!
• VIX: Total 7.77m (4.80m Calls, 2.97m Puts)
• SPX: Spot Price = 1920.70. Puts/Calls = 2.53.
• GLD: Spot Price = 108.90. Puts/Calls = 0.40.
• Crude Oil: OIV - 44.81, OVX - 44.75

Volatility Voicemail: Listeners have their say.

• Comment from Mark Brant - Being afraid of selling W1 IV is just wrong! We are traders, not market makers! Gamma cannot hurt us selling tight Vertical Spreads!
• Question from Noodles - VIX the tail or the dog? Hello Vol squad. I was just talking with a few of my trading buddies (all VIX options traders) and they were complaining that VIX does not represent SPX volatility anymore. They said that it is its own beast now because so many people are just trading VIX and VIX products and not SPX. I thought I would put it to the Vol pros to settle the debate. Incidentally, I also turned them on to your program in the process. Bonus points for me. Your insight would be appreciated.
• Comment from Joe S. - With regard to the listener who wrote in looking for a good quick Vol calculator - I find the Greeks breakdown on TOS to be particularly informative for my trading. Maybe he should try a paper account there to see what he thinks. Hope that helps him out.

The Crystal Ball: Wild prognostication

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil.

Volatility Voicemail: Listener questions and comments

• Iron flies
• Getting tchotchkes
• Tick-by-tick calculator
• What drives the VIX?

Crystal Ball: The challenges of prognosticating.

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

• What happened post-Fed?
• VIX remained elevated going into Fed announcement
• VIX, VVIX
• Advice offered to the Fed
• Irrational exuberance abides
• VIX Cash making waves, VIX options, not so much
• Weekly VIX options can’t come soon enough
• The madness that is VXUP and VXDN
• RVX and VIX still within spitting distance of each other
• Mark has opinions on the Goldman Sachs research team

Volatility Voicemail: Listener questions and comments

• Quadruple witching: does it impact option volatility?
• Product question on: VXST, VolDex

Crystal Ball: Wild and reckless prognosticating

Volatility Review: A look back on the week from a volatility perspective, which includes:

• VIX Cash
• RVX
• VIX Options
• VXUP
• VXDN
• And the Fed

Volatility Voicemail: In which listeners have their say

• Question from Mr. Rose - On 8/21/15, S&P lost 3.19% and VIX is up 8.89 points. Following Tuesday S&P down 2.96%, VIX up only up 2.38 points. Next Wednesday S&P up1.83%, VIX drops 5.31 points. Please explain.
• Question from Confused - Hey, is there an overwhelming biased to trading calls in the VIX? Why? What about VIX puts, does anyone trade them?
• Question from Jacob - What are some examples of basic volatility arb strategies? Thanks for the program.

Crystal Ball: Wild and reckless prognostication

Volatility Review: A look back at the week in volatility

• VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession.
• VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places.
• VIX Options: Sept. 1 - 1.5M Contracts, Sept. 2 - 791K Contracts, Sept. 3 - 1.1M Contracts
• VelocityShares Daily Inverse VIX Short-Term ETN (XIV) has accumulated $1.1 billion in net inflows, according to ETF.com.
• VXY: Additionally, over the past two weeks, the ProShares Short VIX Short-Term Futures ETF brought in $540.3 million in net inflows and now has $599.9 million in assets under management.
• Crude Oil: Crude market full of volatility and uncertainty.

Volatility Voicemail: Listener questions and comments

• Comment from Mark Brant - Thanks for sharing the VIX 1x2 call swap roller trader and repeating it until we get it! A super great VIX strategy!
• Question from Jay G. - Is the interest in VIX options mostly institutional, or is retail there too?
• Question from Peter R. - Mark, thanks for doing the free webinar. Trying to educate myself regarding VIX. Please answer why if there is backwardation in the VIX term structure is the VXX not trading close to 3 times higher than the VIX? Thank you.

Volatility Review: Black Monday Redux

• The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever.
• VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic.
• AAPL hit low of $92 before rebounding.
• VVIX: Hit a high of 212 on Monday 8/24.
• VXUP/VXDN: VXUP did 813k shares on Monday - VXDN 650k.
• Crude Oil: OVX - 51.80, OIV - 51.12

Volatility Voicemail: Listener questions and comments

• Question from Inchon55 - Was this the week that VIX traders have been waiting for? It seems like they have been buying calls in the 20-strike range all summer with no payoff. Now we finally got the pop they needed. Will this lead to a flurry of more call buying in the months to come?
• Question from Jim J - Question for Volatility Views - This was a crazy week for Vol traders. What was the craziest thing that jumped out at you?
• Comment from JoeJoe: Why is everyone making such a big deal about the selloff on Monday? Flash crash? Market manipulation? That is BS! It is August. Everyone knows the market is thin in August. Does this really come as a surprise to anyone?

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options.

Volatility Viewpoint: How to structure a trading strategy around this kind of market? Should you look at volatility products in a vacuum? When will the Fed actually pull the trigger on rates?

Crystal Ball: What is the driver that will push us into a full-on selloff or rally? What is the normal duration of a major VIX pop? Will Jared own Mark a steak?

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

China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day. AAPL a utility? What's the Fed going to do? The week in VIX options. Strong volume for the week:

• 1.6m contracts Monday 8/10
• 1.4m contracts on Wednesday 8/12
• 835k contracts Thursday 8/13
• VSTOXX: Channeling Don S.
• Crude Oil: Eyeing the continued dive in oil prices.
• OVX: 43.23
• OIV: 44.49
• Gold: Gold Storm on the Horizon

Crystal Ball: Diving boldly unto the breach and making reckless volatility predictions.

Volatility Review: A review of the week from a volatility perspective.

• Volatility continues through earnings season - Disney and Tesla hit hard.
• VIX Cash: 14.13 - Some juice coming back into the balloon.
• VIX Futures: 12.16 - not as controversial as main VIX settlement.
• VIX Options: Decent volume week - 770k contracts Monday. Total 7.95m (5.89m Calls, 2.05m Puts).
• Crude Oil: WTI term structure - West Texas Intermediate is heading for its biggest monthly fall this year.
• Gold: A prominent gold forecaster predicts the metal will drop to a mere $350 an ounce, a level unseen since 2003.
• Gold Implied Vol: 12.1% as of July 14, 2015 and up to 18.8% on July 21, 2015

Volatility Voicemail: listener questions and comments

• Question from Antimony - Question for the Vol Squad. Have you had a chance to look over the list of latest index products launched by the CBOE? Any contenders? Personally I think the weekly revamps of put and BXM have promise, along with the 30-delta BXM.
• Question from Tommy Hendricks - What is your take on weekly VIX Futures so far? Hit or miss?

Crystal Ball: Our future vol predictions.

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants.

• VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week.
• VIX Futures: New weeklies listed this week.
• VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts)
• Gold: GVZ: 19.39 - Spiked nearly 5 handles this week. Gold volatility skew - clear concern in the near term, longer-dated options showing some bullish positioning as well.

Volatility Voicemail: Listener questions and comments.

• Question from LAX66 - Do you guys know where I can find a list of the pensions and endowments that utilize options and futures for hedging purposes? I would like to see if my money is safe and being put to good use. Is that info publicly available?
• Question from Bailiwyck - I would like to submit a question from the volatility views radio program. What is the problem with GVZ? Why are there no products to trade with it? I looked it up earlier this week only to find zero contracts traded. Did they delist them? You would think this product would be very popular in a week like this.
• Question from TalbotL - Let me see if I have this straight. The front end of the VIX curve is where all the crazy stuff happens. So I want to avoid that in my hedges and "kick the can" past it. The longer portion of the VIX curve is where things typically get pricey. So am I correct in assuming that somewhere in the midpoint - around 3 months - is the goldilocks spot where I should buy my porridge? Is that the most effective place to purchase VIX futures for hedging from a cost to vega perspective?

Crystal Ball: Wild prognostications about the future of volatility.