Volatility Views 313: Talking Short Volatility

Volatility Review: Today's guest is David Lincoln, ex-CBOE Market Maker and Host of The Short Vol Show on YouTube.

A look back at the week from a volatility perspective:

• What trade war? The market has rallied almost non-stop post Trump trade war
• VIX Cash - 12.50, 1.25 point lower than last week.
• VVIX - 101, almost unchanged from last week.
• VIX Option - ADV: 496k, VIX call/put: 2.8/1, Total 7.89m (5.82m Calls, 2.07m Puts)
• Risk reversals keep popping up.
• VXX - 31.6, 3 points lower than last week.
• VIX ETF love affair endures as volatility falls

Volatility Voicemail: Options question of the week, part one.

Traders generally fade volatility going into holidays (today notwithstanding). What's your favorite vehicle when you want to wager on the dark side of volatility? Short-term or Long-term - that's up to you.

• 27% - Short VIX Futures
• 17% - Long $VIX Puts/Spread
• 33% - Long $VXX Puts/Spread
• 23% - Short $VIX Calls/Spreads

Options question of the week, part two.

Trading options during earnings season can be challenging. Some live for it while others avoid it. Do you hold options positions through earnings announcements? If so, what is your approach? Or do you prefer to trade just before/after the event? Or is it all too risky?

• Yes, Short Premium
• Yes, Long Premium
• No, Too Risky
• I trade around the event

Listener questions and comments:

• Question from Vixland -Why would these puts gain value? $VXX never crashes down. Please explain. Love the shows. KEEP IT UP!
• Comment from Beachlot - With on the story from Bloomberg last week. They should be embarrassed writing a story on a 70k vol trade.
• Question from BT Burg - What is the best way to trade these inverse VIX ETFs going forward? If I'm long XIV does it make sense to always have some VIX calls in my back pocket just in case? Doesn't that get expensive really quick? What about spy puts? Or should I just have puts on the inverse ETF in case the counterparties get cold feet?

Crystal Ball: Wild and reckless prognostication

Last week:

• Mark L. -12.50
• Mark S. -12.90
• Guest -13.63

This week:

• Mark L. - 12.20
• Andrew - 12.25
• Guest - 11.99