Volatility Views 303: Harvesting Volatility with ETFs

Volatility Viewpoint: Today we are joined by Jonathan Molchan, Portfolio Manager, Horizons ETF Management.

He discusses:

• What does Horizons ETF Management do?
• Horizons ETF products
• Why are there so few options-oriented ETFs?

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

• VIX Cash - 16.50
• VVIX - 95
• VIX Options - ADV: 943k, VIX call/put: 2.6/1, Total 7.06m (5.11m Calls, 1.96m Puts)
• VXX - 42.32
• Earnings Volatility - AMZN, MSFT, INTC & GOOGL

Volatility Voicemail: Otpions question of the week.

We dig up many strange options positions at the Options Insider. Some seem credible while others are just head scratching. Which of the following open options positions do you think has the best chance of actually becoming a winner?

• 32% - 49K TSLA Jan 2019 50 P
• 32% - 197K VXX Jan 2019 10 P
• 25% - 65K GLD Jan 2019 200 C
• 11% - 146K SPY Dec 2019 150P

Listener questions and comments:

• Question from Illir -So VXX Jan 10 puts are worth about .03. But VXX2 (or VXXB -not sure which) Jan 10 puts with exact same strike and days to expiration are worth 2.60 (a 1 lot just traded this morning)? Am I missing something?
• Comment from LLLC1 - I think the world just woke up to a new risk for vol products - "issuer panic risk." We all knew it was in the prospectus but now we've seen it materialize. I wonder how this will affect risk premiums in these products going forward.
• Question from Bortega - Why are there no options on VXAPL? Will there ever be options listed on this product?

Crystal Ball: Wild prognosticating found here.

Last week:

• Mark L. -16.35
• Mark S. - 14.25
• Mike Thompson - 15.85

This week:

• Mark L. - 16.05
• Mark S. - 14.25
• Jonathan Molchan: 15.25