Volatility Views

Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics. He discusses: A overview of Option Metrics and the Feb. 21 release on skew What is the flavor of choice for skew at Option Metrics? Why does he think we are seeing such a bid in VIX futures right now? How does this term structure compare to historical levels? What his your outlook for volatility under Trump? Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 11.71, unchanged from last week. VVIX - 83.61, also unchanged from last week. CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts) SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26. Options Pop Quiz: If $SNAP opens at $17 what price would you give the ATM straddle expiring 3/10? AKA how much movement do you expect? (Our listeners totally called this one) 13% - Between $1 - $2 13% - Between $2 - $3 19% - Between $3 - $4 55% - Over $4 - aka over 23% Volatility Voice Mail: Options #QuestionOfTheWeek $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term? 29% - It won't break 10 again 22% - Between 9-10 22% - Between 8 - 9 27% - Below 8 Question Number 2: $SNAP closed at $24.50. If #Options were available tomorrow would you rather: 45% - Buy 1 month $24 put 11% - Buy 1 month $25 call 19% - Stay the heck away 25% - I would rather sell premium Listener questions and comments: Comment from Hawkeye - Mark, I call MAJOR umbrage for you taking credit for MY idea of calling Russell "Dr. VIX"! As you can see in the forwarded email below, I have it IN WRITING that I proposed that moniker for the good Dr. back on November 17, 2015. You should feel ASHAMED of yourself in your weak attempt to take credit for my idea, ESPECIALLY since I sat right next to you and Uncle Mike at the Lobster and Meatball fest in Chicago a couple years ago, eating tasty steaks on Sebastian dime. Have you no shame, sir? Is your memory that short? Umbrage! I hereby give you permission to send the residual checks to my PayPal account. On another note, here is another idea that you CAN keep: The business show should use as its motto The Business Show! It is an audio train wreck -- you cannot stop listening no matter how much you know you shouldn't. While I am at it, I really like Nick and the new revitalized Futures shows. Even though I do not trade futures options, I still use the concepts to trade some of the ETFs/ETNs. Get the Typhon guys back on and see if you can get the Viceroy and Don S. back on for a mega-reunion show sometime. Keep up the great work! Hawkeye Question from Kmar65 - Have you all covered the situation with Catalyst and the HFXAX fund recently? I try to get to all the webcasts but must have missed it if you had. Expected max drawdown was 5% and they blew through that. Gives one cause for pause re options strategies. would be great to understand how it happened and how it could/should have been avoided. Thanks in advance! Crystal Ball: Your prognostication headquarters Last week: Mark L. - 11.25 Mark S. - 11.50 Russell - 12.34 Guest - 12.65 This week: Mark L. - 11.55 Mark S. - 11.00 Russell - 12.00

Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA. He discusses: His background in the volatility space Which products did he trade? The Hong Kong volatility scene What does True Partner Capital do? What does True Partner Capital trade? Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week. CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20. VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts) OIV/OVX: 25.52, oil volatility continues to be crushed. GVZ: 13.68, also continues to erode. TYVIX: 5.29 Volatility Voicemail: So many questions Options #QuestionOfTheWeek: $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term? It wont break 10 again Between 9-10 Between 8 - 9 Below 8 Question from Fksthlm: VSTOXX vs VIX Frexit risk: your view on this in today's show would be very interesting! Crystal Ball: Wild, reckless prognostication Last week: Mark L. - 10.45, Mark S. - 10.85, Russell - 11.75 This week: Mark L. - 11.25, Mark S. - 11.50, Russell - 12.34, Tobias - 12.65

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - Just under 11.76 VVIX - 80 CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20. VIX Futures: Front month premium to cash - 1.25; Two month premium to cash - 2.50. Russell's Weekly Rundown: VIX and Three Day Weekends, by Russell Rhoads, CFA Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade, by Russell Rhoads, CFA VIX Options: A high volume week, ADV - 559k; Mon - 816k, Tues - 1.3M, Wed - 1.14M, Thurs - 822k; VIX Call/Put: 2.8/1; Total 7.21m (5.18m Calls, 2.03m Puts) Volatility Voicemail: Quizzes, questions, comments Options #QuestionOfTheWeek: Trading single #Calls and #Puts is fine, but smart #Options traders use spreads. What is your go-to spread? Vertical/Ratio Vertical Calendar/Diagonal Butterfly/ Iron Butterfly Iron Condor Listener questions: Question from Nordictan - Is it possible to change the default LiveVol font settings and make it larger? The current setting is simply too small for my multi-monitor setup. My screen devoted to LiveVol is a bit removed from my seating position so I always struggle to read it. A nice pop in the font size would be very useful. Question from Vincent Chase - Why do you say that this earnings cycle is disappointing from a volatility perspective? Crystal Ball: Your headquarters for wild and reckless prognostication. Last week: Mark L - 10.45 Mark S. - 10.85 Russell - 11.75 This week: Mark L. - 11.25 Mark S. - 10.75 Russell - 12.01

Volatility Viewpoint: Today we have special guest: Greg King, REX ETFs CEO/Founder, "The Godfather of VXX." He discusses: The process for launching VXX How did it come about? The process for launching XIV Why make the switch into a short volatility product? What is REX ETF? How do the new products work? Volatility Review: A look back at the week from a volatility perspective. VIX Cash - under 11 VVIX - 85.84 VIX Futures: Front month premium to cash: 1.1. Two month premium to cash: 2.80. Russell's Weekly Rundown: VIX Options: ADV - 559k. Mon - 350k, Tues - 519k, Weds - 886k, Thurs - 691k. Total 9.18m (6.82m Calls, 2.36m Puts). VIX Call/Put: 2.8/1 CBOE Skew Index - 129, down 4.82 (3.6%) OIV/OVX - 29.50 GVZ - 15 TYVIX - 5.40 Crystal Ball: Wild and reckless prognostication. Last week: Mark L. - 10.50! Mark S. - 10.92 Russell - 12.01 GUEST - 11.34 This week: Mark L. - 10.45 Mark S - 10.85 Russell - 11.75

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management. He discusses: What is VolSurface Capital Management? What is their typical strategy and product? What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility VIX long-term mean of 20? Why is the 30 strike so popular? Volatility Review: A look back at the week from a volatility perspective VIX Cash: 11.25 VVIX: 88, off its recent highs. VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6 Russells Weekly Rundown: VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts) OIV/OVX - 29.50 GVZ - 15 TYVIX - 5.40 Crystal Ball: Wild and reckless prognostication Last week: Mark L. - 11.50 Mark S. - 11.05 Russell - 12.99 Bill Luby - 11.78 This week: Mark L. - 10.50 Mark S. - 10.92 Russell - 12.01

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 10.63 VVIX: 80, off recent highs. VIX Futures: Front month premium to cash: 2.1, two month premium to cash: 3.5 Russell's Weekly Rundown: VIX Options: ADV - 580k; Thurs - 638k, Weds - 613k, Tues - 863k, Mon - 427k; VIX Call/Put: 2.5/1 Earnings season dramatically underwhelming so far. Google, MSFT, INTC, PayPal, SBUX OIV/OVX - 29.50 GVZ - 14.74 TYVIX - 5.65 Volatility Voicemail: Question of the week, plus listeners have their say Options #QuestionOfTheWeek - Lots of earnings on the horizon. Which company will outperform their earnings straddle by the largest margin? Alphabet - $GOOGL Microsoft - $MSFT Intel - $INTC Starbucks - $SBUX Question from VolBug - Hi Mark, Can you and the crew give you assessment of SVXY and whether you think it tracks well and what are some of the vulnerabilities? Thank you sir. Crystal Ball: Your prognostication headquarters Last week: Mark L. - 11.55 Mark S./Andrew - 12.01 Russell - 12.34 This week: Mark L. - 11.50 Mark S. - 11.05 Russell - 12.99 Bill Luby - 11.78

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 13 VVIX - 86 VIX Futures: Front month premium to cash - 1.5; Two month premium to cash - 2.70 Russells Weekly Rundown: VIX Options: A heavy volume week. ADV 554k, Thurs - 405k, Weds - 850k, Tues - approx. 1M, Mon - Closed. VIX Call/Put: 2.9/1. Total 5.4M (4M Calls, 1.4M Puts) OIV/OVX - 30.88 GVZ - 15.17 - Near the low end of a 52-week range. TYVIX - 5.91 Volatility Voicemail: Listeners get their say #Options #QuestionOfTheWeek - Earnings Season awakens! How do you play earnings using options? Are you an Earnings #Jedi or #Sith? Dark Side (Short Premium) Light Side (Long Premium) No Side - Avoid earnings Other (Reply/DM w/ideas) Question from Maryanne - How long do you think this period of low volatility will last? Crystal Ball: Your prognostication headquarters Last week: Mark L. - 12.25 Mark S. - 11.50 Guest - 14.51 This week: Mark L. - 11.55 Andrew - 12.01 Russell - 12.34

Volatility Review: A much quieter start to 2017 than 2016 so far. VIX Cash - 11.54 VVIX - 90.5 VIX Futures: Front month premium to cash: < 1; Two-month premium to cash: 2.70 Expect 2017 to be more volatile than last year. VIX Options: A heavy volume week - ADV: 554k; Total 7.5M (5.7m Calls, 1.8m Puts) Oil Volatility: OIV/OVX - 29.87 Volatility Voicemail/QuestionOfTheWeek: $VIX hit a high of 28 last year. How high will $VIX get in 2017? About the same (27-29) Slightly Lower (24-26) Slightly Higher (30 - 33) Much Higher (Above 33) Listener Question from ChilliBill: The fed report from the last show was pretty damning. Any other secret studies on Volcker and Vol lurking out there? Crystal Ball: Wherein the hosts prognosticate on where the VIX will close. Last week: Mark L. - 11.5 Russell - 10.99 Mark S. - 12.01 This week: Mark L. - 12.25 Guest - 14.51 Mark S. - 11.5

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for the year. Russells Weekly Rundown VIX Options: ADV: 544k A fairly light volume week to kick off the new year. Total 5.9M (4.4m Calls, 1.5m Puts) What is the impact of the Volcker Rule of volatility? Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above 30. Volatility Voicemail: Pop quizzes, questions, and comments Happy New Year! First #QuestionOfTheWeek for 2017. Total #Options volume dropped 2% last year. How will 2017 #Options volume compare? About the Same (+- .5%) Modest Increase (up 1-2%) Modest Drop (down 1-2%) Big Change (+- over 2%) #Volatility Pop Quiz - New Years edition: The trillion dollar question - Where will $VIX close at the end of 2017? Below 12 Between 12-15 Between 15-18 Over 18 Listener questions and comments: Comment from Alaran: I think the 30 strike is popular each month simply because big insurance firms need to hedge themselves against calamitous market events. VIX > 30 = calamitous event in the eyes of many. Question from Julio: In the spirit of the new year, when are we going to get new VIX products? Especially Monday through Friday weekly VIX options? Crystal Ball: Looking into the future Two weeks ago: Mark L. - 11.25 Russell - 12 Ghost of Mark S. - 5.2 This week: Mark L. - 11.5 Russell - 10.99 Mark S. - 12.01  

Volatility Review: VIX Cash - 13.45, Where is the Vol coming from? VVIX: 89 VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week. Russells Weekly Rundown Interesting VIX weekly trades VIX Options ADV: 550k A very light volume week. 79k contracts on 12/27, lightest of the year. Total 5.25M (3.95m Calls, 1.3m Puts) Oil Volatility: OIV/OVX: 29 Volatility Voicemail/End of Year Volatility Pop Quiz. $VIX is currently 13.71. Where will $VIX close for 2016? Between 13.75-14 Over 14 Between 13.5 - 13.75 Below 13.50 Listener questions: Question from Tadoom: Biggest volatility surprise of 2016? Mine was Brexit. Question from RealRX: Hey fellas! When Vol is this low and heavy volume in Jan SPY puts of late, what long Vol delta range do you prefer to use in these super cheap premium times? Question from Andrew P.: Which president oversaw the period of greatest volatility? Crystal Ball: Year-end prognosticating Last week: Mark S - 11.25 Russell - 12 Bonus Round - Next year: Russell - low: 12.50, high: 37.37, avg. 17.50 Mark S. - low: 10.50, high: 25.00, avg. 15 Mark L. - low: 10.00, high: 34.50, avg. 15.5