Volatility Views

Volatility Views 111: Volatility Trading

Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading.

Volatility Voicemail: Reader questions and comments

• Question from SoloHan - Great show! Just discovered it and I am working through the back catalog as we speak. I just have one question so far, and I apologize if you have covered this in the past. I am an avid VXX trader. It’s a core component of my portfolio along with SPY and FB. I have heard Mark dismiss TVIX in the past as only for very short- term trades and if you by-and-hold VXX, you will lose money. Can you explain this please? What am I doing wrong by investing in VXX? Thanks again for this insightful program.
• Question from Sea Shanty - Can you please explain the difference between RVX options and IWM options? Are they not both ways to trade Russell volatility? Luv the show. Mark is a great host and Jared brings that rural Virginia sensibility to volatility. Keep ‘em coming

Volatility Views 110: Is Volatility Dying?

Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility. Volatility review in other asset classes including: ags, metals and fixed income.

Volatility Voicemail: So many questions!

• Question from Allan S - I hear a lot about gamma scalping on the network. But what about volatility scalping. Isn't that really what you're doing? Aren't most options traders really volatility traders? Thank you for clarifying.
• Question from Jim Thompson, New Mexico - What does the volatility panel think of flash boys - particularly as it pertains to Volatility. Are these same players active in derivatives and, if so, are they causing our exacerbating volatility? Great show Mark. Jared has been an excellent addition to the team.

Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.

Volatility Views 108: VIX & More with Bill Luby

Volatility Review: Today’s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today. An aggressive selloff boosted volatility across the board. VIX Futures are catching bids as well. VIX options activity today: 4/1 calls over puts. Is there any sign of life in VXST?

India VIX reaches record highs. Kospi 200 volatility index hits record lows last week.

Volatility Voicemail: Panels for advisors, volatility re: valuations, earnings, scanning tools, and more.

• Question from Sanjay Patel - I have to agree with the hosts regarding the discussion from episode 104 regarding VIX ETPs and RIAs or family offices. I have been active in the advisor community for several decades, following all of the latest research and attending many industry conferences. I have never encountered a single study or panel devoted to this issue or a fellow advisor who utilizes these products. My evidence is all anecdotal but I would think that if advisors made up a significant portion of those flows I would have encountered that by now. I just wanted to share my thoughts with your listeners. Thank you for reading my question. Please continue to produce this fine program as well as the Advisors Option. They speak to very unique audience.
• Question from Even_Star - Is it possible to run options valuations models using actual rather than implied volatility levels? I think this would give a truer approximation of the options value when you strip away all of the nonsense that comes from implied volatility.
• Question from Haweye - Aside from Apple last week and Google last cycle, it seems like most companies are dramatically underperforming their straddles during earnings season. Microsoft and Amazon are simply the latest names to fall victim to this trend. To what do you attribute this trend? Why are traders so consistently overestimating volatility going into earnings announcements this year? This would seem to be a good environment for a risk defined premium harvesting strategy, such as an iron condor or iron fly.
• Question from James Norman - Love the Volatility Views show. Great content. Great guests. Keep them coming. I would like to ask a question about tools, in particular scanners. You have discussed scanners for unusual activity and changes in implied Vol on previous shows. Do you know of any tools that scan for changes in implied volatility skew? I am looking to capture skew distortions that allow me to leg into verticals, ratios and risk reversals at highly attractive levels. Does such a tool exist? I did not know where else to turn, but I know Mark and the Volatility Views team will not let me down!

Crystal Ball: FOMC, Q1 GDP, ISM and the employment report (plus earnings) - all in one week!

Volatility Views 107: Another Day, Another Selloff

Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol preview.

Volatility Viewpoint: What was Russell’s take on RMC this year?

Volatility Voicemail: International VIX?

Question from Vegaman - Great podcast. Love the recent rundown of RMC since I’m never able to attend the show. My question - do you know if any international versions of the VIX are in the offing? You’ve discussed the India VIX on previous shows but that seems to be the only non-U.S. version that gets mentioned. Thanks to the folks at Russell for making this great show possible. Oh - and I’m streaming the show while submitting this question from the mobile app. Very cool.

Crystal Ball: An outlook of VIX, RVX, VIX ETPs and other volatility products.

Volatility Views 106: HFT and Volatility

Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared to the first quarter of 2013.

Volatility Voicemail: You direct the conversation

• Question from George - Big fan of the show - been listening for years. I think Jared is a great addition to the panel. There is a lot of talk about HFT firms manipulating stock markets in the wake of the Michael Lewis book Flash Boys. I have seen lots of talk about price manipulation, but I keep coming back to all of your discussions on Volatility Views, and it makes me wonder - why is no one talking about volatility as it relates to HFT? Are the firms adding volatility to the marketplace? Could these firms be responsible for a lot of the vol of vol that we see in the marketplace right now? Particularly in very active name or in some of the volatility ETFs? Keep up the great show!
• Question from EVO16 - I am a regular user of VXX. I have heard you refer repeatedly to the cost of rolling this product and how it negatively impacts holders. Is there anything I as a regular VXX owner can do to minimize this? Are there other ETFs out there that attempt to do this?

Crystal Ball: An outlook for VIX, RVX and VIX ETPs.

Volatility Views 105: Happy Anniversary, VIX!

Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility.

Volatility Voicemail:

• Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you have provided, so for that I thank you. I am confused however about a situation I am seeing. I have a position in the VIX, where I bought the Nov 15 put for $0.80, with the underlying at the time of purchase listed at around 1,650. Today the underlying has dropped to around 1,300+, but the option is only trading around $1.30. It seems that the option should be worth more than that because it has about $2 of intrinsic value. So in theory, could someone with a large account just buy a few contracts, exercise them immediately, and sell the underlying on the open market for a huge profit? Thanks for clearing this up for me, keep on rocking!
• Question from Brighton Capital - Very informative show with Jarrod Woodyard yesterday, do you have a similar post-FIA/Boca discussion in the works?
• Question from @vikingwrath - The market is iffy here. What are your thoughts on UVXY in the short term?

Crystal Ball: USDA quarterly grain stock report coming out soon for ags. Interesting vol Products: a lot of vol in German renewables.

Volatility Views 104: Revisiting Risk Management

Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper.

Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend.

Crystal Ball: An outlook for VIX, RVX and VIX ETPS.

Volatility Views 103: The Russian Ripple Effect

Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours.

Volatility Voicemail: What do you want to know?

• Question from Charles Engel - Is there any way to buy and hold VXX without paying the inherent roll risk?
• Comment from IfThen - Bitcoin cut in half after Mt. Gox - talk about volatility!
• Question from C-Bug - Are there any products on the horizon that you think can dethrone VIX from the volatility throne? Vol Dex?
• Question from Tom Wills, Eugene, OR - I remember you discussing a VIX call strategy that could out-perform direct SPX put spreads on an older episode, but I'm not sure which of your 100 episodes it was. Please help!

Crystal Ball: An outlook for VIX, RVX, and other VIX ETPs.

Volatility Views 102: What Is a VIX Covered Call

Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week. May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hit record heights. More "showshine boys" from Chris Cole.

Volatility Voicemail:

Question from Bryan Tong - When will we get VXST options? Soon?

Question from Enten - If I buy and write VIX calls against it, is it technically a covered calls? Will my broker recognize it as a covered position?

Question from Declan Smith, Dublin - Why do so many people buy VIX calls to hedge their long premium SPX-SPY positions? Do they not know that they are already long the implied volatility of the S&P - aka VIX? If anything they should be selling those calls or buying puts.

Question from Tim J. - What is the settlement process for VXST?

Crystal Ball: An outlook for VIX, RVX, and VIX ETPs.

Volatility Views 101: Buying Vol at Any Price

Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options.

• He gives an overview of the Vol Tracker and global map of implied volatility.
• Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price".
• Discusses his your take on what we have been seeing recently out there in the world of natural gas volatility
• What he’s been seeing in the realm of currency.

• Reviews how the premium levels in different emerging markets have changed since he wrote your piece "Emerging Market Confusion".

Volatility Review: Vol in the 20 range. Is this a long-term average? Will realized volatility catch another tail wind? The plethora of VIX products - Is it still a reliable index?

Crystal Ball: An outlook of VIX, RVX and other vol products/indexes.