Volatility Views

Volatility Review: A look back at the week from a volatility perspective. CML VIZ VIX Cash: 9.90, VVIX:  85.68 VIX Options: ADV - 671k, Total 10.3m (8.28m Calls, 2.06m Puts) VIX pop quiz Strong Volume for SPXW Options with Monday, Wednesday, Friday and Month-end Expirations. A Bond Trader's $10 Million Volatility Bet Is Paying Off Volatility Voicemail: Listener questions and comments Comment from Roger Barone: If they did so thru @IBKR their margin is $35,250,000. Anyone else ZERO! @IBKR SUCKS! @CBOE REFUSES to stop their MARGIN ABUSE! @SEC_News...Yes. They charge a MINIMUM OF $150 on ANY VIX SPREAD even if a long one like that. THEY TOTALLY SUCK! I told CBOE at Pinnacle but no action. Read this and this. Crystal Ball: Wild prognostication Last week: Mark L. - 10.60 Mark S. - 10.05 Russell - 11.99 This Week: Mark L. - 10.25 Andrew - 9.99 Ophir - 9.75

Volatility Review: A look back at the week from a volatility perspective. The VIX juice is loose OCC cleared futures volume in June reached 13,194,530 contracts, a 16% increase from June 2016. One of the most popular - and controversial - trades in the stock market (XIV) is showing no signs of slowing down. MRA attributes the spiking popularity to the participation of mom and pop investors. Russell's Weekly Rundown: VIX Options: ADV - 691k, Total 8.8M (7m calls, 1.8m puts) Apple, Facebook Among Techs Facing Huge Volatility Volatility Voicemail: Listeners take over Options question of the week:: Blue Apron $APRN is down over 10% from its #IPO price. Assuming #Options were listed, what trade would you make? Buy Dec 10 Call for $1 Buy Dec 9 Put for $1 Sell Dec 10 Call for $1 Not Touching $APRN Listener questions and comments Question from Avery Thompkins - Heard you guys debating theoretical low for XIV. I am down with 5. That makes sense. What about the other side? How high can it get? Is 1,000 in the conversation? Comment from Safari Dad - A day without volatility is a day without sunshine Question from Vtrader168 - While VIX is at historical low, but Nov VIX future still stay high at 16.20. Nov VIX was ~15.7 on 5/1 and 5/2. So the term structure is relatively steep. Any implication? Crystal Ball: Your prognostication headquarters This week: Mark L. - 9.85 Mark S. - 10.05 Russell - 10.23

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 11.44, VVIX: 93.78 CBOE Skew Index - 129m, slightly calmer than last week. VIX Futures - Front month: 0.65 Second month: 1.25 Russell's Weekly Rundown: VIX Options: Mon - 630k, Tues - 724k, Weds - 510k, Thurs - 1.16M, ADV - 685K, Total 8.32m (6.68m Calls, 1.65m Puts) VIX Call/Put: 4.1 / 1 OIV - 29.35 OVX - 30.46 Volatility Voice Mail: Options Question of the week Let's get back to basics. #Options are great way to get long (bullish) exposure to stocks & futures. What is your favorite way to go long? 50% - Long Call/Call Spread 23% - Short Put/Put Spread 13% - Stock(Future) Replacement 14% - Bullish Risk Reversal Listener Questions: What's on your mind? Question from John Shippen -If I buy ATM premium, maybe an ATM iron condor, a few weeks before earnings then sell it the day before the announcement, is that a good play? Essentially free decay plus capture the rise in volatility along with any swings in the underlying. Question from FContangotrader -Do you guys have an idea when $VXX $UVXY will do reverse split? I am asking for a friend of mine. Comment from David Kotlyar -UVXY reverse split July 17th Question from SvxyBug -Mark, Mark, and Russell, Thanks for a great show. Two questions for you. If SVXY somehow goes the way of TVIX, would you imagine that XIV would go with it or is it managed independently of SVXY? Second question. Is using the call put ratio on VIX much of a leading indicator on the price movement of VIX? If so, do you normally see lead times in seconds, minutes, hours, days, or no lead time at all? Thanks very much for the show. Crystal Ball: Your prognostication headquarters Last week: Mark L. - 9.70 Mark S. - 10.05 Russell - 9.25 This week: Mark L. - 9.85 Mark S. - 10.05 Russell - 10.23

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 10.15, VVIX - 84.21, slightly higher than last week. VIX is not a Fortune Teller CBOE Skew Index - 130.86, calmer than last week. VIX Futures - Front month: 1.5, Second month: 2.3 Russell's Weekly Rundown: VIX Options: Mon - 746k, Tues - 1.3M, Weds - 912k, Thurs - 347k VIX Call/Put: 4.1 / 1 Twenty-two Day C/P OI Moving Average: 3.32 Total 7.08m (5.69m Calls, 1.39m Puts) OIV - 31.5 OVX - 32.6 Volatility Voicemail: Questions. Comments. More. Options question of the week: Everyone is talking about #Bitcoin #Volatility these days. Where do you stand on #Bitcoin after last weeks aggressive downturn? Too Volatile, I am out I am still bullish I want #Bitcoin #Options I am sick of #Bitcoin Questions and comments Comment from Production One‏ - SPX and VIX are far more fun! Also far more profitable and secure! Bitcoin snobs got nothing over the Vol cognoscenti! Comment from PocketTissues - Goldman guy has the right idea. VIX should be above ten right now with everything going on. One good Trump tweet and we could be at war and VIX is in the 20s or 30s. Question from Nico - What do you think of other Vix type indicators like Merrill Lynch Move Index and the rest? Also what’s up with VolDex? Crystal Ball: Wild and reckless prognostication This week Mark L. - 9.70 Mark S. - 10.05 Russell - 9.25

Volatility Review with special guest co-host Mike Thompson from Typhon Capital Management. Weird Nasdaq selloff that started during last show continues. Amazon looks to buy Whole Foods. VIX Cash - 10.90, VVIX - 89.95, slightly higher than last week. CBOE Skew Index - 134.12, nearly 10 points higher than 2 weeks ago. VIX Futures - Front month: .6, Second month: 1.5 Russell's Weekly Rundown VIX Options: Mon - 780k, Tues - 331k, Wed - 658k, Thurs - 396k, ADV - 713k, VIX Call/Put: 3.5/1; Total 10.1m (7.85m Calls, 2.26m Puts) VXX - ADV 364k, OI - 1.3/1 Calls over puts. OIV - 29.45 OVX - 31.90 Volatility Voicemail: Alternative volatility sources With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading? 33% - Crude Oil (WTI, etc.) 20% - Metals ($GLD, $SLV, etc.) 20% - FX (GBP/USD, etc.) 27% - Indv. Equities-$TSLA, etc. VIX LIMBO: Last Month 40+% of you said $VIX wouldn't break 9 in 2017. But recent events have us asking again: How low will $VIX get in 2017? Still Won't Break 9 Won't Break 8.5 Won't Break 8.0 Lookout! 7 Handle in '17 Listener questions and comments Comment from Angelo - The point from Barclay's about convexity of SPX puts is somewhat meaningless. As long as market stays lofty the bid for those puts will remain. I do not foresee a scenario where market remains elevated but the bid mysteriously disappears for SPX OTM puts. So the VIX cannot realistically break into the 7 or 8 handle. Did like the stat about VIX prints since 1960 though. Crystal Ball: Wild prognostication. Last week Mark L. - 9.75 Mark S. - 9.63 Russell - 10.60 Guest - 10 This week Mark L. - 10.50 Mark S. - 10.05 Ghost of Russell - 9.15 Guest - 12.25  

Volatility Review: A look back at the week from a volatility perspective. VIX hits a new low of 9.37 Comey's testimony fails to move the needle Maybe Britain will provide the spark VIX needs? VIX Cash - 9.47, VVIX - 83.28, almost unchanged from last week. CBOE Skew Index - 127.09, slightly higher than least week. VIX Futures - still steep. Front month - 1.5, Second month - 2.3 Russell's Weekly Rundown: VIX Options, Mon - 459k, Tues - 473k, Weds - 453k, Thurs - 473k, ADV - 722k. VIX Call/Put: 3.3/1. Total 9.20m (7.06m Calls, 2.14m Puts) VXX - ADV 356k, OI - 1.2/1 calls over puts. OIV - 32.31 OVX - 33.84 Volatility Voice mail: Questions, comments, polls and more! With $VIX giving up the ghost - which products are you hoping will provide new sources of #Volatility for your #options trading? Crude Oil (WTI, etc) Metals ($GLD, $SLV, etc) FX (GBP/USD, etc) Indv. Equities-$TSLA, etc. Listener Questions and comments Comment from John King - #Fired #FBI director completes televised #Testimony negative for sitting #president & #VIX DOWN .41 to 9.98. Just plain crazy. @Options #USA Comment from AGTrader - God help them when they have to all cover at once. Crystal Ball: Your prognostication headquarters This week: Mark L. - 9.75 Mark S. - 10.5 Russell - 11.23  

Today we have special guest co-host: Ophir Gottlieb, Capital Market Laboratories. Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 9.89 VVIX: 83.83 - Both almost unchanged from last week. CBOE Skew Index : 124.55 VIX Futures till steep Russell's Weekly Rundown: VIX Options: Mon - Closed, Tues - 264k, Weds - 545k, Thurs - 231k, ADV - 722K VIX Call/Put: 3.2/1 Total 8.37m (6.39m Calls, 1.98m Puts) OIV - 29, OVX - 31 Volatility Voicemail: Options Question of the Week AMZN just hit $1000. Will GOOGL do it next? GOOGL $1000 call expiring Friday = $4, $1000 Put = $8. How would you trade? Sell $1000 Call for $4 - 21% Buy $1000 Call for $4 - 38% Sell $1000 Straddle: $12 - 19% Sell $1000 Put for $8 - 22% Listener Questions and Comments: Comment from FContangotrader - @Options @OptionPit @OptionVol @RussellRhoads I am very impressed from Mark and his poetry and ABC options and Uber rhyme Comment from Production One‏ - Replying to @Options @optionpit Meatball long 1W SPX straddle hit! Way to go Marco! Question from JavierLBC - Hi guys. I am new. found you on stocktwits. Did you see 36,000 sep 25 calls on VIX? Crystal Ball: Wild and reckless prognostication. Last week: Russell - 10.75 Mark S. - 9.75 Mark L. - 10.25 This week: Russell - 10.60 Mark S. - 9.63 Mark L. - 9.75 Ophir - 10  

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 9.99 VVIX - 82.20 CBOE Skew Index - 123.65 Russell's Weekly Rundown: VIX Options: Mon - 558k, Tues - 522k, Weds - 449k, Thurs - 474k, ADV - 727K, VIX Call/Put: 3/1 Total 7.70M (5.79m Calls, 1.91m Puts) Oil plunges 4 percent on disappointment with OPEC cuts Volatility Voicemail: Options Question of the Week $VIX =11.20. $VIX June Future = 12.40 $VIX Weekly 11 puts = $.15, Weekly 13 Calls = $.15. What's your trade? Buy 13 Call for $.15 Buy 11 Put for $.15 Sell 13 Call for $.15 Sell 11 Put for $.15 Listener Questions and Comments: Comment from VTrader - When VIX is below 11.5 since 2006, that current difference between from the front month and VIX cash is at its highest. Question from Eli Vagan - Did the spike in VIX last week finally break that short Vol feedback loop that everyone is focused on these days? Question from Benod - What was the truth behind that VIX strangle last week? Question from Allan Nemy - All this action in crude it seems like a good time for some crude Vol products. Why no CBOE crude volatility options? Crystal Ball: Wild and reckless prognostication This week: Mark L. - 10.25 Mark S. - 9.75 Russell - 10.75

Volatility Review: A look back at the week from a volatility perspective VIX cash: 14.66 VVIX: 104.12 Ten biggest $VIX rallies and what $VIX did the following day Question from @FContangotrader: How many % $VIX went up today? #%of% CBOE SKEW Index:137 The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday VIX options: ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K VIX call/put: 3.1/1 Hot VIX strikes 308315 .VIX Jun 21st 30.0 C, chg +4261 274854 .VIX Jun 21st 35.0 C, chg +521 261116 .VIX Jun 21st 20.0 C, chg +22016 256652 .VIX Jun 21st 15.0 C, chg +61381 207375 .VIX Jun 21st 19.0 C, chg +36896 182527 .VIX Jun 21st 16.0 C, chg +21143 165518 .VIX Jun 21st 25.0 C, chg -17814 161130 .VIX Jun 21st 18.0 C, chg +7305 153348 .VIX Jun 21st 17.0 C, chg +4539 139338 .VIX Jun 21st 11.5 P, chg +8819 Total 6.77m (5.13m Calls, 1.64m Puts) Earnings Volatility GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8% BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 - $6.72; close $121.35 - UP .5% WMT: close $75; ATM straddle $2.25; approx 3%; high $77.66 Volatility Voicemail: Listener questions and comments Question from Vtrader168: Considering that there is large Vol jump Wednesday without major event, and the market recovery is not that strong, is it an indicator that the period of the extremely low VIX is over, and VIX return to "normal-low" level? Question from Volbug: Hi. This is for Volatility Views: Thanks for the show Marks and Russell. You mentioned that implied vol is often more than realized vol. Does the time frame of the option, impact that calculation? For example 1 monthly option is cheaper that 4 weekly options. Thanks. Crystal Ball: Wild prognostication Last Week: Mark L. - 10.25 Russell - 11.25 Henry - 9.90 This Week: Mark L. - 10.75 Mark S. - 11.05 Russell - 12.26

Mark, Russell and Henry are live (to tape) at the annual Options Industry Conference. They took some time away from the pool to give our listeners the scoop on volatility. Volatility Review: Henry delivered some of the highlights of the conference. The concentration of volume in a few names, aka the 80-20 rule. The impact of fragmentation on volume. The heavy percentage of complex orders of overall volume. The buzz about a WSJ article on the decline of options volume and the stats that dispel that idea. The opportunities being generated by complex order books. Are we looking at coopertition? VIX below 10: what does it mean? Is there really a new supply of premium sellers? How much pain can they stand, and how will that impact the market? Russell's Weekly Rundown: What did Russell notice this week? It's the week before standard VIX expiration Crazy spreads Top ten strikes of the week