Volatility Views

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84. Russells Weekly Rundown: VIX Options: A fairly strong volume week. Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m calls, 1.28m puts) Crude Oil: OIV/OVX - 46, about 49 today, almost touched 80 back in mid-February, multi-year high. Gold: GVZ 18 - well off recent highs. GVZ - peaked around 28 back in mid-February - last hit these levels in June 2013 - so nearly 3-year high. Volatility Voicemail: Listener questions and comments Question from George K. - What is the thought process regarding the new SPYIX and hedging? Can you hedge it with VIX Futures? Question from BJLane - VIX vs. RVX - Which performs better for call verticals? Which pops better when it hits the fan? Question from Jacro - Why no volume in RVX? Crystal Ball: VIX Predictions: Russell - 15.5/8 Mark S. - 14.25 Mark L. - 15

Volatility Review: A look back at the week from a volatility perspective. VVIX - 95 Earnings volatility: The season is winding down - except for Dollar General Russells Weekly Rundown: VIX Options: A fairly strong volume week. Total 7.49m (5.54m calls, 1.95m puts). VIX faces challenge from trading robots unleashed by bats Crude Oil: OIV/OVX - 52. WTI skew chart Gold: GVZ 23.36 - Elevated Volatility Voicemail: Listener questions and comments Comment from Chic9 - Selling puts = blowout! Question from Nic s. - Why was there such an emphasis on selling puts at RMC? Is that not an old strategy? Question from JV - Can you explain the free cash flow yield theory and why it would help improve strike selection for selling puts? Question from Labeach2 - Ratio verticals work in VIX what about SPX and SPY - sell 1 ATM buy 2 OTM to hedge and spec. No studies on that? Seems better than just blasting away ATM puts? Question from JPeach - I really enjoyed the wrap up episode from the CBOE conference. I thought the discussion about the pension fund manager panel was particularly interesting. Two questions: 1. What percentage of pension funds out there use options in some capacity? 2. Is CBOE going to make that panel available to the public? Crystal Ball: Where will the VIX close on Friday? Russell - Above 25 Mark S. - Low 20s Marl L. - 23

Today, Mark is joined by Mark Sebastian and Russell Rhoads from Florida, where they discuss their thoughts, ideas, and take-aways from the CBOE Risk Management Conference. To get the details on what was discussed at RMC, please visit the website. Some key take-aways: Put selling. Put selling. Put selling Put selling versus bond ownership The intersection of macroeconomics and volatility levels Getting past the gatekeepers Tax treatments and more

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost. Russells Weekly Rundown: Wednesday weeklys! VIX Options: Fairly light volume week. Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k. Total 5.55M (3.89M calls, 1.66M puts) Even more CBOE studies! Crude Oil Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67. Gold: GVZ 23.36 (elevated) Volatility Voicemail: Listener questions and comments: Options Question of the Week: No love for more options exchanges - Twitter poll has 60% of respondents saying "Heck no to more exchanges!!!" Question from George T. - What is the longest stretch of backwardation in VIX history? Crystal Ball: Vol Predictions: Russell - higher than everybody - above 25. Mark S. - low 20s. Mark L. - 23

Volatility Review: VIX. Contago has returned - VIX out of the red zone. CBOE Russel Study - Analyzing Russell 2000 Index options-based benchmark indexes designed to provide enhanced yields and risk-adjusted returns. VIX Options: A strong start to the week after the holiday. Total 4.95m (3.39m Calls, 1.57m Puts) Crude Oil: Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67 Gold: GVZ 25.67 - Extremely elevated. Gold rallying hard in recent sessions. Volatility Voicemail: Listener questions and comments Option Insider Question of the Week: How Many U.S. Options Exchanges Do We Need? 5%  - 14 is perfect! 30% - The more the merrier. 60% - Make it stop! 5% - Other Question from George K. - What typically happens to volatility around a presidential election? Crystal Ball: The celebrations for Chinese New Year are over. Back to work! Where will VIX be next week? Sebastian: 26 on Thursday, 24.5 on Friday. Russell: Low 19s Mark: 21.50-22 Who will win? Tune in next week to see

Volatility Review: Earnings Volatility: TWTR and TSLA. Presidents Day holiday weekend coming out aggressively. VIX Options: A strong volume week. 1.2M contracts Thursday. Total 6.87m (4.65m Calls, 2.22m Puts) What is going to goose the VIX? Crude Oil: Volatility remains elevated - Crazy OIV spike on Weds, over 100. Gold: GVZ 28.37 - extremely elevated! Volatility Voicemail: Listener questions and comments No love for daily options - Twitter poll has 40% of respondents saying "heck no" to dallies! Question from Hot Emini - There is a big disconnect in retail that Theta is all. But is vega not the king greek for pros? What about gamma? where does that fall in the mix? Crystal Ball: Highs in VIX? Russell - 25? Mark S. - 29/30? Mark L. - 23/24

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX). VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts) Earnings Volatility: LNKD after the bell: ATM straddle = $22, approx. 11.5%, after-hours move approx. $50. Crude Oil: Wall St. fluctuates as equities track oil prices. Is oil driving the stock market? And should traders care? Volatility Voicemail: Listener questions and comments Question from GBL - Stock splits are seen to be greatly beneficial to options volume. But do they also decrease volatility, which should hurt options trading? Around the Block: Prognosticating. Wild and reckless prognosticating.

Volatility Viewpoint: VIX outside of "Red Zone" indicates no recession, Goldman says. The Goldman Sachs analysis shows the VIX is currently in a “low and rising” phase, which tends to last about two months on average. VIX Options: Massive spread on Thursday - Paper buys Mar 27/35 vertical. Total 4.82m (3.15m Calls, 1.67m Puts) Earnings Volatility: AMZN: Bulls dominate Amazon options as earnings loom. Crude Oil: Talk of Saudi/Russian oil deal on production lifted markets earlier this week. OIV: 64. OVX: 63 Volatility Voicemail: Listener questions and comments Question from Andrew T. - Vega is pretty straightforward but is Gamma really a second-order Greek since it measures the rate of change of another Greek? Question from TBig - You guys always talk about VIX futures term structure and contango impacting products like VXX. But does the same not apply to USO and the contango in the crude futures? What about backwardation in both products - how does that impact ETFs? The Crystal Ball: Reckless prognosticating

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace. VVIX: 109 VIX futures Russell’s weekly rundown: What weekly VIX options activity caught your eye this week? VIX options: 20,000 VIX Feb 20 puts (expiring 2/17); VIX feb30/40 call spread trades (expiring 2/17) 18,500 mid-market; total 3.84m (2.55m calls, 1.28m puts) Crude oil: Oil rose from its lowest close in more than 12 years as investors tried to pick a bottom after government inventory data.  OIV: 66; OVX: 66 Volatility Voicemail: Listener questions and comments Question from Pick6 -  The VIX is mean reverting with a long-term mean around 20. Does that mean reversion quality make it a good candidate for selling iron condors and iron butterflies? Comment from Envigon - Steak or no steak? What’s the deal? Crystal Ball: Waiting on rate hikes until Europe/China/Japan lifts off the gas pedal. How many times will the Fed raise rates this year? Sebastain sets the over/under at 1. Russell says it will be zero. Mark says don't count out Q4, but is leaning towards zero. Jared says it will be two. Is there more steak at stake?

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX Weeklies - Many institutional clients had to treat VXST like a new product, receive compliance approval, adopt new systems, etc., that complicated adoption by end users. Volatility Voicemail: Listener questions and comments Question from Nick B. - Hello mark and greetings to the team on Volatility Views. I very much enjoy your program and have learned much from you and your guests. I have two questions for you guys to mull and (hopefully) answer on a future episode. 1) Do you guys use trading days or calendar days when calculating volatility?  2) Does it seem logical to add some sort of daily volatility product to the VIX universe? The weeklies do well and most spot VIX products have failed but a daily VIX option would track the future/cash fairly tightly.  Off topic p.s. - Are you guys as caught up in the making a murderer show as I am? Crystal Ball: Wild, reckless prognostication.