Volatility Views

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.

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?

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments.

He discusses:

• His viewpoint on current volatility landscape
• VIX spot level - Did VIX cash perform as expected?
• What are volatility strategies?
• How to talk about volatility mechanics and characteristics with clients?
• Updates on current and pending Russell volatility products

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

• VIX Cash: Performance vs Market expectations.
• VVIX: Hovering around 115.
• VIX Options: Decent but not a strong volume week. Total 7.71m (5.89m Calls, 1.82m Puts)
• Crude Oil: Volatility creeping back into crude.

Crystal Ball: Peering over the market precipice. Earnings season ahoy. Volatility prognostication.

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

• VIX Cash: VIX poised to start moving aggressively again?
• VVIX: Hovering around 85 - near the low end of its 1-year range.
• VIX Options: Back to light volume - all sessions below 500k. 3.8/1 Calls over puts.
• RVX: OI 62 contracts.
• VXUP / VXDN: Light week here as well - VXUP most days well under 30k shares, VXDN under 5k shares.
• VSTOXX: Flirted with a 5-month high of 27.5 earlier this week.
• Crude Oil: Crude Vol creeping lower. OVX - 29.18, OIV - 29.36
• Rates: TLT Aug IV = 16 - Has not changes much over the past month.

Volatility Voicemail: Listener questions and comments

• Question from Nick James - Tuned in last week for the first time and heard the discussion on volatility products, and particularly the AccuShares VIX products. I have been intrigued by this product and found your conversation interesting. It sounds like you take a dim view of it and would recommend against me buying shares of the VXUP version. How would you fix it if you could?
• Question from St. James - How low can VIX go? You guys said on a recent show that a VIX of 1 was not realistic. So what is a realistic low for VIX?
• Question from Encore - I am a fan of bullish risk reversals or collars in the equity and index world, due to the volatility premium inherent to the puts. It looks like that similar strategy is not as effective in VIX Options and most volatility products. The volatility premium is in the call, so most bullish risk reversals end up costing a net debit rather than generating a credit. So, should I take this to mean that I should flip my strategy to employ bearish risk reversals instead in volatility products? Do they tend to be more effective, or are the call premiums merited in volatility products?

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

• June VIX settles at 14.67
• VIX Futures: Front month down to 15.15
• VIX Options: VIX call/put = 3.9 - getting more attention again.
• RVX: OI 61 Contracts
• VXUP / VXDN
• VSTOXX: Hit 5-month high of 27.75 on Monday ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread widened this week with VIX crisis.
• Crude Oil: OVX: 30.60; OIV: 30.46
• Rates: TLT Aug IV = 15 - Has not changed much over the past month.

Volatility Voicemail: Listener questions and comments

• Question from Tasty Meatballs - What is your take on the new TYVIX index disseminated by the CBOE?
• Question from Jarvis - This is for the volatility views radio program. There are a lot of players entering the volatility ETF world. Some offer ratio products, inverse products or the new wave of spot products. I would like to know if there is a certain type of ETF or a certain area of the market that you think is ripe for a new volatility product.
• Question from Azon - How does VSTOXX perform relative to VIX? Just as call heavy? Similar pops to the upside?

Crystal Ball: VIX pop? Buyers to come when the deadline looms.

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend.

• VIX Cash: High of 15.74 on June 9. VIX trending lower throughout the week finally breaking the 13 handle on Thursday.
• VIX Options: Call love - a heavy volume week, averaging 500k contracts. A massive day on Wednesday - nearly 1.6M.
• Our 1X2 friend is back!
• Total 8.13m (6.48m Calls, 1.65m Puts)
• VIX Up/Down: Nascent VIX Up/Down ETF Could Face Hedging Pressures

Volatility Voicemail: Listener questions and comments

• Question from Nixy - Just found this hose on iTunes and liked the discussion about the new VIX ETPs. I am curious what you think of the CVol ETF product? Worth my time or more volatility detritus?
• Comment from Abstergo_US - Great discussion on VXX leap puts. After listening to your program, I pulled up the VXX options chain and pulled the trigger on the Jan 2017 12 puts for around $2 in my IRA. Fast forward a few weeks and these puts are already up well over 10%. Thanks again for the great tip. Seems like everyone should be loading up on these things.

Crystal Ball: Reckless prognostication.