Volatility Views

Volatility Review: A look at the week from an options perspective. VIX cash: Hit 52 week low this week: 11.02 VIX futures: Question from JJK: The Sep VIX futures are trading over $3 premium to cash. Seems pretty steep. Is the market pricing in a big sell-off in the near future? VVIX: Currently at 96.78 VIX Options: Mon: 660k, Tues: 765k, Weds: 635k, Thurs: 603k; Total 7.36m (5.10m Calls, 2.26m Puts) Crude Oil Gold Volatility Voicemail: Listener questions and comments Question from Service Dog: Do stock market circuit breakers have a significant impact on market volatility? Question from MoneyPenney: How does VXX work? Crystal Ball: Where will the VIX close? Last week: Mark L.: 11.15 Mark S.: 10.25 This week: Mark L.: 11.25 Mark S.: 11 Russell: 13

Volatility Review: Breaking down the week from a volatility perspective VIX cash: 11.39; hits a 52-week low. VVIX: 88.14. Back below 100, but still elevated. Russells Weekly Rundown VIX Options: Moderate volume this week. Mon: 547k, Tues: 522k, Weds: 367k, Thurs: 512k; Total 6.69m (4.44m Calls, 2.25m Puts) Earnings Volatility: TSLA stock at $225 on earnings. ATM straddle approx. $14.70 - 6.5%. Open unchanged. Closed up approx $5. Missed by nearly $10. Crude Oil: OIV: 42, OVX: 42 Volatility Voicemail :Listener questions and comments Question from NTC34: Heard you guys on #OptionBlock discussing using options with stock to speculate on volatility. Can you explain that? How does buying a call and selling stock give you a pure volatility position? Question from AuntH: What is up with RVX? Crystal Ball: Spinning the wheel of where the VIX will close. Last week: Russell: 13.05 Andrew: 12.40 Mark L.: 11.75 This week: Mark L.: 11.15 Mark S.: 10.25 Russell: 12

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 12.39 VVIX: 89.33. Back below 100, but still elevated Russell's Weekly Rundown VIX Options: A light options week Mon: 625k, Tues: 415k, Weds: 534k, Thurs: 475k; Total 6.07m (4.17m Calls, 1.91m Puts) CBOE quarterly profits jumped 13.6 pct on increased volatility Options traders are feeling good about Alphabet shares. Crude Oil: OIV: 42.91; OVX: 42.33 Volatility Voicemail: Listener questions and comments Question from DK from DC: What is the difference between the front month VIX future and the VIX cash? Question from Big Jim Wheeloff: Why are options so damn expensive? At this rate I will go broke hedging my 401k. Crystal Ball: VIX predictions Last week: Mark L.: 11.5 Andrew: 9.5 Russell: 17.35 Bill Luby (Guest from last week): 12.71 This week: Russell: 13.05 Andrew: 12.40 (with an 11-handle dip) Mark L.: 11.75

Volatility Review, featuring special guest: Bill Luby from VIX and More. VIX Cash: 12.18; Earnings season and the Fed not injecting substantial volatility into the marketplace VIX Futures: Still surprising premium to cash VVIX: 88.42. Back below 100, but still elevated VIX Options: A light volume week across the board in all products, including VIX Mon: 557k, Tues: 774k, Weds: 338k, Thurs: 566k, Fri: 163k Total 4.95m (3.41m Calls, 1.54m Puts) Earnings Volatility: Big names on the earning docket this week: AT&T (T) Chipotle Mexican Grill (CME) E*Trade Financial (ETFC) Crude Oil: OIV: 39 OVX:39 Volatility Voicemail: Listener questions and comments Question from AL08: IV or HV. Which is most important? Which should I pay attention to? Question from Jack King: What is the primary driver of volatility, skew puts or calls? Crystal Ball: Guess the closing price of the VIX Last Week: Mark L.: 13.25 Andrew: 12.25 Russell: 13.51 This Week: Mark L.: 11.5 Mark S.: 9.5 Russell: 17.35 Bill: 12.71

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 12.82, lower than expected. VVIX: 86, back below 100 but still elevated. Russells Weekly Rundown VIX Weeklies updates VIX Options: Mon: 461K, Tues: 233K, Weds: 475K, Thurs: 905K Total 8.12m (5.46m Calls, 2.67m Puts) Barclays breaks down best Vol trades in June. Crude Oil Gold Volatility Voicemail: Listener questions and comments Question from Vegas: Regarding VIX, we were at all-time highs in ES when we made the top of the yearly range and VIX was at a low level around 10. Now we're higher and VIX can't break 13.50 to the downside. What’s the deal? Crystal Ball: It's time for everyone's favorite game, where will the VIX close? Last Week: Mark L.: 15 Mark S.: 13.5 Russell: 16.27 This Week: Mark L.: 13.25 Andrew: 12.25 Russell: 13.51

Volatility Review: A look back at the week from a volatility perspective VIX Cash: About 15, lower than predicted. VVIX: 90, back below 100, but still elevated. Russells Weekly Rundown: Weekly Futures VIX Options: A light post-holiday week. Tues: 585k, Weds: 437k, Thurs: 386k, Total 7.15m (4.54m Calls, 2.62m Puts) Earnings Volatility VRX: Bullish options bets surge on Valeant Crude Oil: Back in the toilet. OIV: 43, OVX: 43 Volatility Voicemail: Listener questions and comments Question from Engstromm: Can I trade OVX? Question from StGermain: When is it preferable to use VIX Options and when is it better to use VIX Futures? Crystal Ball: Wild prognostication ensues Last Week: Mark L.:19 Mark S.:15 Russell: 18 This Week Mark L.: 15 Mark S.: 13.5 Russell: 16.25

Volatility Review: Brexit, Brexit, Brexit!!! Weekly Options Insider Poll - Do you think the UK will make a Brexit from the EU? Yah - 24% Nah - 43% I am sick of Brexit - 33% Volatility Voicemail: Listener questions and comments Question from Tronghi: Detailed thoughts on VIX futures curve as of June 15. Question from JVon: What strategies don't work for the short VIX ratio call spread. Question from BB Wins: Can you give me an example of good strikes for a VIX 1-by-2 ratio spread if I use open interest as an indicator? Crystal Ball: Where will the VIX close before the long holiday weekend? Russell: 12 Mark S.: 26 Mark L.: 21

Volatility Viewpoint: Today we are joined by Jack Fonss, CEO of Accushares. He discusses: An overview of VXUP / VXDN What is the current affiliation Prof. Whaley has with Accushares? Recent changes and the thought process behind them. Volatility Review: A look back at the week from a volatility perspective VIX Cash: A crazy week for VIX. Vol soared on Monday. Volatility still very elevated post-FOMC Russells Weekly Rundown: VIX Options: Total 5.62m (3.73m Calls, 1.89m Puts) Crystal Ball: It's time for everyone's favorite game: Where will the VIX close on Friday? Last week: Russell: 16.5 Mark S.: 18.01 Mark L.: 15.5 Next week: Russell: 18.5 Mark S.: 15 Mark L.: 17

Volatility Review: A look back at the week from a volatility perspective VIX Cash: High: 16.27 today. VIX remains somewhat muted heading into FOMC next week and Brexit the following week. VIX Futures: All-time record high OI for VIX Futures: 501,835 on June 7 VVIX: Creeping back up toward the high of recent range. VVIX: 90. VXX: 13.20 XIV: 32.56 Russells Weekly Rundown VIX Options: Mon: 732k, Tues: 552k, Weds: 472k, Thurs: 585k. Total 7.85m (5.75m Calls, 2.10m Puts) Soybean Vol: Still crazy town in soybean volatility. Volatility Voicemail: Listener questions and comments Question from 777: Does the many VIX tradable products influence the underlying index to any great extent? Is the tail waging the dog? Question from Skiball: Where do you see the VIX going and how will it impact stock picking in this market? Crystal Ball: Russell finally gets the win by being the least-wrong with the 15.25 guess. Where will the VIX close on Friday? Don't discount FOMC, Brexit. Russell: 16.5 Mark S.: 18.01 Mark L.: 15.5

Volatility Viewpoint: Today we are featuring Taylor Lukof, CEO of ABR Dynamic Funds. ABR recently introduced their new "smart volatility" mutual fund: The ABR Dynamic Blend Equity and Volatility Fund (ABRVX). What is it? How does it work? What next for ABR? Volatility Review: A look back at the week from a volatility perspective The impact of Non-farms on volatility. VIX Cash: High of 15.25 on Weds - 13.63 today. VVIX: 79.54 - near the low end of the recent range. VXX: 13.09 XIV: 32.82 Russells Weekly Rundown Russell Twitter picture is here VIX Options: Tues - 655k, Weds - 300k, Thurs - 549k, Total 6.79m (4.85m Calls, 1.94m Puts) Crude Oil: OVX/OIV: 36.64 - dramatically lower than earlier in the year. Volatility Voicemail: Listener questions and comments Question from Gabe - How can something like the VIX be technically oversold? Crystal Ball: It's time for everyone's favorite game "Where will the VIX close?" Last week: Mark L. - 13.50 Andrew - 12.95 This week: Taylor - 14.25 Mark L. - 13 Russell - 15.25 Mark S. - 14.25