Volatility Views

By The Options Insider Radio NetworkBusiness Investing

Volatility Views episodes

October 04, 2011 Volatility Views 25: Skewness and Kurtosis
Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove the mean for vol calculations. Plus, explaining negative market skew-ness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating. Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility in such a short time frame?" Crystal Ball: S&P, Nasdaq, and commodity Vol outlook. Euro VolContracts outlook. What's coming up at VolX and Option Pit?
56 min
September 26, 2011Volatility Views 24: Precious Metals Volatility Explosion
Volatility Views 24: Precious Metals Volatility ExplosionVolatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little while. Euro vol review.
Mailbag:

"I've been listening to the show for some time and have become intrigued by the concept of VolContracts. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade VolContracts? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with VolContracts? Also, since they are listed by the CME and track realized vol of Euro futures, I assume that I will need a futures account to trade them. Lastly, are these listed on Globex so I can trade them electronically or do I need to put an order into a pit?"

"Bob Krause advocated the use of volatility cones on a recent show, and I know Don has discussed them in the past as well. However, Mark made an excellent point in a recent episode that, in this environment, vol cones may not be the best barometer for where you should work your orders. It got me wondering if maybe there were certain market environments where vol cones were extremely useful, and other times, such as the current environment, when waiting for mean reversion is the quickest way to blowing out. Long Term Capital immediately comes to mind. I'm wondering what you guys think on this issue. I think I know where Mark stands, but I wonder where Don falls on this since I know he is an ardent fan of vol cones."

Crystal Ball: Metal vols -- have we just witnessed the bottom of gold and silver? Mark Sebastian predicts VIX to hit 50 in the next three weeks. We are halfway through the Oct VolContract, and as of Thursday the contract settled at 15.87 -- you would need 18 volatility on the Euro, going forward, to justify that price.
56 min
September 19, 2011 Volatility Views 23: Can You Eat Risk-Adjusted Returns?
Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility.
Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion.

Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?
54 min
September 12, 2011 Volatility Views 22: Bringing Don to the Dark Side
Volatility Views 22: Bringing Don to the Dark SideVolatility Review: A broad market volatility review – it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review – where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com's Mark Sebastian gives his review of the week. Volatility Viewpoint: In this combo Volatility Viewpoint/Listener Mail segment, Mark and Don answer a question from the Options Insider Forum: "I enjoyed the conversation last week between Mark and Bob about the Volatility Feedback Effect. They mentioned that Don is not a fan of this theory and that Bob and Don have had many fights on the subject. I'm curious what Don's issues are with this concept and what he feels is the truth on the matter." Indeed, Don gets his rebuttal, and gives his two cents about the volatility feedback effect. Crystal Ball: Mark Sebastian's outlook for the coming week, as well as an outlook of S&P 500 volatility and Euro vol.
50 min
September 06, 2011 Volatility Views 21: The Volatility Feedback Effect
Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from OptionPit.com's Mark Sebastian. Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks inverse correlation - is this specifically to address the VIX negative correlation perception? How can we tell if the market is bullish or bearish? Skew and the somewhat controversial topic of the volatility feedback effect are also on the docket. Is the market trying to forecast future returns? As volatility rises, the market must fall, but does it work the other way as well? Listener Questions: Mark and Bob reach into the dark recesses of the mailbag. Why exactly is selling a three-month VolContract not the same as selling three consecutive one-month VolContracts? Is it analogous to the difference between writing a three-month option vs. three consecutive front-month options? Crystal Ball: An outlook of SPX & VIX. Could we pick up a free weekend on Friday? Euro vol outlook - How will the one- and three-month VolContracts fair?
45 min
August 29, 2011 Volatility Views 20: Divergence & Convergence
Volatility Views 20: Divergence & Convergence Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener questions. 1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.
56 min
August 22, 2011 Volatility Views 19: A Better Way to Measure Volatility?
Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his volatility review. Volatility Viewpoints: Special guest Euan Sinclair author of several books including "Option Trading" and "Volatility Trading" and risk manager at Blue Fin Trading discusses measuring volatility. Euan's concept of barrier method or first exit time method vs. the standard close-to-close method.Crystal Ball: An outlook on the Euro vol; Mark Sebastian looks into the crystal ball for the coming week.
1 hr 2 min
August 17, 2011 Volatility Views 18: The Chicago Way
Volatility Views 18: The Chicago WayVolatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review. Volatility Viewpoint: Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders. Commodities - the sexy world of ags and metals. Delta neutral vs. realized vol. The Crystal Ball: An outlook on the Euro Vol. Also Mark Sebastian looks into the crystal ball for the coming week.
55 min
August 17, 2011 Volatility Views 17: Busting Volatility Skew Myths
Volatility Views 17: Busting Volatility Skew MythsVOLATILITY REVIEW: The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME. VOLATILITY VIEWPOINT: Busting Skew Myths!!!! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew. CRYSTAL BALL: An outlook on the weekend risk- What could happen? PLUS: Mark Sebastian gives his forecast for the coming week.
56 min
August 17, 2011 Volatility Views 16: Risk Premium
Volatility Views 16: Risk PremiumVolatility Review: Interesting week with the market not doing much, but volatility increased anyway. The market's "in a pickle" until the debt issue is resolved. July 8 was the fifth expiration for the Euro VolContract, which showed greater than 29% movement in the price during the life of the contract. The August contract has provided 16% vol movement in the first three days of the contract.Listener Mail: Mark and Don answer questions from listeners, including: Why did an option price drop as the stock price went up, and; what is a sellers' premium in options?Crystal Ball: Mark foresees no debt deal over the weekend. If anything can push VIX to 30, will this be the event that does it? Front month Euro vol likely to go lower.
48 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…