Volatility Views

By The Options Insider Radio NetworkBusiness Investing

Volatility Views episodes

March 19, 2012 Volatility Views 45: What Does Butter Have to Do with It?
Volatility Views 45: What Does Butter Have to Do with It? Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference. Volatility Viewpoint: Mechanics of the forthcoming Nasdaq VolContracts. Bob gives details on the genesis of the product, the formula, how it captures movement, the agreement with Nasdaq, the difference between VolContracts and other Nasdaq-based products, the specifications, the closing price, and more.
55 min
March 12, 2012 Volatility Views 44: Listener Mail Extravaganza
Volatility Views 44: Listener Mail Extravaganza Volatility Review: Vol is down and SPX is up. Even the news of the new iPad wasn't enough to boost the market. Don opines on Apple. Nasdaq vol still flat-lined. Euro vol -- the 1-month and 3-month March contracts expire soon. Listener Mail: Nasdaq VolContracts, TVIX, the nature of VolContracts, and avoiding the VIX.1. Will the new Nasdaq VolContracts be exclusive to the Nasdaq, like the Euro and CME, or multi-listed? 2. What's your take on the ongoing TVIX drama? Cause? Was it shady? Is TVIX done? 3. I'm new to the show, so I apologize if you guys have discussed this in earlier episodes, but I'm intrigued by the concept of VolContracts and how they work. Would the new Nasdaq products be normal futures and options in the truest sense? In other words, do normal strategies such as verticals, time spreads, etc. apply in VolContracts products? Or, do I need to relearn my trading fundamentals and apply some new concepts to fully capitalize on these instruments? 4. I hear you guys talking about the problems with using VIX as a proxy for SPX volatility: Poor settlement, too many masters affecting the VIX, etc. So instead of VIX, I'm thinking of getting a pure realized vol position using delta-neutral ATM straddles in SPY. The contract size is smaller, so it's easier for me to trade. As long as I make my hedges and adjustments accurately, this should be a vastly superior proxy for the true S&P volatility. Am I correct or am I nuts? Crystal Ball: Non-farms may be a non-event. Load up on VIX downside. Hopefully the Nasdaq vol can break out of this flat line and the other shoe will drop. Otherwise it's difficult to make any predictions.
1 hr 14 min
March 05, 2012 Volatility Views 43: Are Weekly Options Ruining Volatility?
Volatility Views 43: Are Weekly Options Ruining Volatility? Volatility Review: The VIX was gaining ground again, but became mired in a holding pattern. What was the cause of the influx of capital in TVIX? NASDAQ vol is still flat-lining. Euro vol review. Volatility Viewpoint: Sanjay Tolia of Bengal Capital is the featured guest. A great conversation included questions such as: Are high levels of correlation taking away from single-stock option trading? Are high levels of correlation taking away from running balanced volatility portfolios? Are VIX products good or bad for retail investors? Are weekly options good or bad for retail clients? Is their explosive growth good for the industry? Crystal Ball: Until people start hitting the bid or lifting offers, VIX levels are going to stay in this range. Expect a similar stall in NASDAQ. Don predicts that Euro vol expiration settlement price next week will be lower than the 10.27 of Thursday night, and will settle in the mid-9s.
1 hr 16 min
February 27, 2012 Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery
Volatility Views 42: Pricing VolContract Futures: Part History, Part Mystery Volatility Review: Euro vol review. How has the Greek settlement affected Euro Vol? Nasdaq vol review. S&P’s overly dramatic brother, Nasdaq is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that played out from a vol perspective? Are we seeing the same degree of selloff in the Nasdaq vol? An explosion of volume recently in the T-VIX. There is something very interesting going on. Volatility Viewpoint: Don discusses a little about expected pricing of VolContracts — information he touched upon before, but needed some clarification. Listener Mail: Question 1: I know Mark has said several times in the past that the difference between retail options traders vs. pro options traders is that retail trades direction while professionals trade volatility. I wonder if you guys can elaborate on this a little more, as I'm a little confused by the distinction. Do pros implement different strategies? Different products? How do they trade volatility and how does that differ from the way retail trades options? Question 2: Nasdaq or SPX — Which has had the greatest "vol of vol" over the past few months? Crystal Ball: The continued discrepancy between the VIX futures and VIX cash — how will that play out? Will the Nasdaq continue to hover in this range, or will we see a turn south sometime in the near future?
1 hr 9 min
February 21, 2012 Volatility Views 41: Breaking Open the Volatility Mailbag
Volatility Views 41: Breaking Open the Volatility Mailbag Volatility Review: SPX/VIX review — some level disparities between the VIX cash and the VIX futures. Euro vol is in single-digit territory. Nasdaq VolContract preview. Listener Mail: Comment on the Great Volatility Skew Debate, Don's comments on volatility, and questions about Nasdaq VolContracts. Crystal Ball: How will the disparity between VIX cash and VIX futures unwind? Where will Euro vol go next?
1 hr 1 min
February 13, 2012 Volatility Views 40: Manipulating The VIX
Volatility Views 40: Manipulating The VIX Volatility Review: Euro vol review. March Euro VolContract has an interesting phenomenon brewing — realized vol calculation is 7.93, and the inferred volatility is 10.84. How or where will they meet? Major correlation break in VIX/S&P 500. Volatility Viewpoint: Not afraid of controversy, the panel discusses the notion of VIX settlement price manipulation with Henry Schwartz, founder and CEO of Trade Alert. Crystal Ball: Short VIX going into the weekend, but then watch out for the unknown unknown. Don makes a shaky prediction that the Euro vol will dip lower.
1 hr 4 min
February 06, 2012 Volatility Views 39: Redefining Normal
Volatility Views 39: Redefining Normal Volatility Review: How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest Don has remembered since 1994. Lofty numbers have skewed people's ideas of "normal," and it's time to reassess the definition of it. Expiration day for the February Euro VolContract. Volatility Viewpoint: Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd. Crystal Ball: Dipping into the murky depths of volatility. Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks.
Information on the volatility workshop that Simon discussed can be found here.
59 min
January 30, 2012 Volatility Views 38: The Great Skew Debate
Volatility Views 38: The Great Skew Debate
Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped). Looking forward to the Nasdaq 100 VolContracts.

Volatility Viewpoint: Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.

Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right.
1 hr 9 min
January 23, 2012 Volatility Views 37: Volatility: How Low Can It Go?
Volatility Views 37: Volatility: How Low Can It Go? Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract.Volatility Viewpoint: Don gets a chance to give his views on last week’s topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management. Mailbag: VolContracts on the NASDAQ!!!“Woohoo!! This is what I've been waiting for, a realized VolContract on an underlying that I actually trade. This is going to open up a whole new world of trading possibilities for me. I can't wait to short VXN and buy the realized Nasdaq product. I won't need to wait for Don to earn me an island in the Bahamas, I'll pick one up myself when I collect all that juicy risk premium. In all seriousness, I couldn't be more excited by this announcement. This will be an enormous development for VolX as well as for all the realized vol aficionados out there. As the book says ‘We are legend.’”Options on NASDAQ Vol Contracts“On the last show Bob Krause announced that VolX is planning to launch Vol contracts on the Nasdaq. He also said that you plan to launch the full suite of products on the Nasdaq VolContracts, including options. Now correct me if I'm wrong, but wouldn't the option be priced on an implied volatility basis? So essentially, you'd have an implied volatility instrument trading off a realized trading instrument. That is an intriguing scenario, but the inherent contradiction makes my brain hurt whenever I think about it for too long.” Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?
1 hr 13 min
January 17, 2012 Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX
Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review. Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes. Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX!
53 min

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Volatility Views is the premier radio program for volatility traders. With leading industry guests and detailed analysis of volatility products, this program takes you inside the world of volatility…