Volatility Views

Today, Mark is joined by:

• Mark Sebastian, from Option Pit
• Russell Rhoads, Senior Instructor, the Options Institute
• Kevin Nichols, Director, CBOE LiveVol

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

• Non-farm numbers and the resulting market reaction
• Bifurcated earnings season
• A less volatile VIX?
• SKEW index
• Earnings crush
• VIX weekly options
• Is there a new 12 for VIX?
• Put love in VIX-land
• Mark S. extrapolates VIX weekly trading for the past seven years
• Earnings! The force is strong with DIS.
• Crude: WTI Skew

Volatility Voicemail: Listener questions and comments

Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse?

Question from Pick6: Are there too many VIX-related products? Have any of them ever failed?

Crystal Ball: Earnings season! What will the Fed do in December?

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses:

• CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days: 64. ADV: 5.25M, Total Trading Volume: 335.7M.
• Update on TYVIX & RVX.
• VIX Cash: VIX cash remains south of 15 handle.
• VIX Futures: Dramatic movements in CBOE Skew Index. Two weeks ago: 151.22, last week: 121.02, this week: 134.63. Previous high around 140 last year.
• VIX Weeklies - Week 4: Another robust volume week for weeklies
• VIX Options: Total 6.76m (4.80m calls, 1.95m puts)
• Gold: Fed squeezing gold yet again. GVZ: 15.77
• Crude Oil: OIV: 43.16, OVX: 43.63

Crystal Ball: Earnings season in full swing. Nonfarms next Friday.

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

• VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days.
• Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02
• VIX Weeklies: Another robust volume week for weeklies.
• VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts)
• Now that Google is Alphabet, options suggest another big stock move.
• Gold: GVZ: 15.59
• Crude Oil: OIV: 40.18, OVX: 40.22

Volatility Voicemail: What do our listeners have to say?

• Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics.
• Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfoil hat territory. Surprised to hear that coming out of Artemis.
• Comment from mark brant ‏- What a relief! Btw fantastic story of the Vol skew big bang by Herr Doktor Schlesinger! A perfect collar is a work of art! Thanks!… Cool thing about selling VIX options spreads is no theta, a pure Vol play at all tenors!
• Question from Ironc - So Taleb and the 1x2 guy both love backspreads. Are backspreads pretty much the ideal volatility trading position? They have little or no net outlay and let you stay in the game long enough to profit from the big moves. I have to say I am becoming a fan. Are there any secret downsides that I am missing?
• Question from Varz - Any good recommendations for variance swap volume data?
• Question from Dan D. - Can you please explain the CBOE skew index? What is it and what does it measure? Thank you

Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?

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

• VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days
• Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer
• VIX Weeklies: Another robust volume week.
• VIX Options: VIX Nov 25-30 Call spread papa buys about 7k. Paper "buys" 15K Nov 15 puts. Total 9.58m (6.23m Calls, 3.35m Puts)
• Crude Oil: OIV - 42.28, OVX - 41.99

Volatility Voicemail: Listeners have their say.

• Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

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

• VIX Cash: The streak is done - VIX firmly below 20!
• VIX Weeklies finally join the party - decent volume for the first day.
• A theory of why the VIX sputtered on Aug 24.
• VIX Options: Some early call selling during the rallies - but primarily more VIX upside call buying.
• Gold: GLD continues to dive.
• Crude Oil: OIV - 43.98, OVX - 42.97

Vol Voicemail: Listeners weigh in

• Question from Nigel B - How are crude options and volatility looking with this rally toward 50? Lots of call love?
• Question from Alamut01 -SPX sells off over 2% last week and VIX barely budges. What up?
• Question from IVUP - Can you please give us a status update on the Voldex products particularly a release date?
• Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?

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.