Volatility Views

Volatility Views 128: Gold Skew Palooza Vol Review:  An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range. VIX options- hot strikes: 281480 VIX Oct-14 16.0 Calls 253852 VIX Oct-14 17.0 Calls 248014 VIX Oct-14 20.0 Calls Top trades: 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times for $0.18. Paper buys 5k DEC 25 calls for $0.67. VXST Top OI Positions: 1000 VXST 10/1 12.0 Puts 800 VXST 10/1 25.0 Calls 500 VXST 9/24 14.0 Calls Gold/metals vol: Gold skew looking somewhat steep to the downside. Volatility Voicemail: Listener questions and comments   Question from John King ‏@jking321 - Could you do a show with an in-depth discussion on LiveVol vs IVolatility vs? Costs/benefits over std broker data etc. Thanks! Question from Indy04 - This might be a strange question but does implied volatility always exist? Are there options out there that essentially trade at their realized volatility level or some other type of riskless rate? Keep on rolling with the show. I love it. Big fan of the network. 

Volatility Views 127: Diving Into Treasury Volatility   Volatility Review: VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike. VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio - 3.8/1 VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol VXTYN) beginning on Thursday, November 13, pending regulatory review. Metals, Energy and International vol.   Volatility Voicemail: Listener questions and comments Question from Victor C - Do you think the failure of VXST has to do with the product being too much vol of vol for most people? Is it just too wild of a product for the mostly institutional VIX crowd? Question from Señor Pablo - Thanks for the show Mark, and please say Hi to Jared and Andrew for me. You guys have mentioned some of the VIX competitors in the past. It looks like we will probably get at least one of them, if not both this year. Which one, if any, do you think has the best chance in the marketplace? Question from AltasSmirked - What is a reasonable skew level for the SPX? At what level should I be looking to buy puts? Where should I be thinking of selling them?     Crystal Ball: Wild volatility prognosticating is in the house.

Volatility Views 126: A Big VIX Shakeup Vol Review: VIX Cash - A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire.  Non-farms a non-event.  Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6. Question from Spreadjunkie - CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer? VIX Options - 4.1 Call/put. VXST. RVX - Not much going on, only 504 OI. Gold/metals volatility. Scottish independence? Volatility Voicemail: Question from Nick Valenti - I am glad to see you are adding more volatility products to the show including the new Russell VIX. I trade RUT and IWM options very actively and I have been watching this product with great interest. I have yet to pull the trigger on a contract, but I have been close a few times. Like a lot of people, I am still waiting for other traders to join me before I dive into the deep end of the pool. What do you think it will take to kickstart this product? What will the eventual catalyst be for this? Comment from Johnny Mac - My Vol pet peeve is people quoting skew with a "25 delta risk reversal" - wake up people! It is a 50 delta risk reversal. Thanks for letting me get that off my chest. Question from Nickel5 - I know Jared is a reformed iron condor trader. Do these relatively low levels of implied volatility in SPY make him want to get long some condors out there? Maybe in the Oct cycle? Also what is his view on the diagonal condor - buying longer-term guts and selling front month/weekly wings? Crystal Ball: Reckless prognostication of VIX, VXST, RVX and other volatility products.

Volatility Views 125: The Holiday Fear Premium Volatility Review: A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend. Trader taking time delay/Vol out of the market ahead of the weekend? VIX Cash. Trading in the 11.24-12.73 range. VIX Options. 4.2/1 - Call/Put. Top OI Positions: VIX Sep-14 19 C, VIX Sep-14 20 C, VIX Sep-14 16 C. VXST Options. RVX Options. Metals Vol - GVZ down about a point this week. Energy Vol - Oct WTI realized vs. ICE heating oil implied intersecting. Volatility Voicemail: Question from Silas - Congrats to the Vol Crew on such an excellent program. I enjoy all of your analysis, particularly the addition of volatility breakdowns in other asset classes, including crude oil. Ia, starting to dabble more into these asset classes, but I am somewhat dismayed at the overall lack of tools for analyzing these products. What software do you typically use when breaking down volatility in products like curve oil? Thank you again for the fine program. Question from George Dietrich, Baltimore, MD - Are commodities better candidates for hedging strategies such as long puts, or spec strategies such as strangles, because they typically lack the high implied volatility levels in the lowing strikes? Crystal Ball: An outlook for VIX, VXST, RVX and other volatility products.

Volatility Views 124: Volatility Pairs Trading Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month. VIX options:  Top Strikes: Sept 19 calls, Sept 20 calls, Sept 16 calls. VXST options: A lot of activity in VXST: Aug 17 calls 1,500 contracts. RVX options. Volatility Voicemail: Listener questions and comments. Question from Vizible ‏@VizibleApp - What happened to Don S.? Sorry if we missed something, but loved him on the show. Great #podcast btw! Question from NOVIX -  I have read some material related to pairs trading for equities and I understand the process of finding non-stationary pairs price series that can be co-integrated to form a stationary series. The basic idea being to trade on the oscillations about the equilibrium value of the spread. While I understand how this is accomplished with equities, I am not sure how suitable implied volatility pairs on equity options are identified since both implied volatility series would already be stationary and so co-integration would not be required. Can someone please explain to how suitable implied volatility pairs are identified? Question from T. Stark - Great podcast. I cannot start my week without my dose of Volatility Views. You guys really do a great job breaking complicated stuff down so that even non-pros like myself get it. The one area where I’m still somewhat confused comes in the relationship of implied vol across an expiration month. I realize that when you say October vol is X you are referring to the at-the-money volatility. But how does that at-the-money volatility relate to the rest of the strikes? If the ATM volatility gets crushed do all the rest of the strikes get crushed along with it? Or are there scenarios where only a few strikes are impacted but the rest are not? How does this relationship work? Are there models or greek variables that explain the volatility relationship between one strike and another? Thanks again for walking this noob through this stuff. Fan for life.

Volatility Views 123: VIX Roars but VXST Whimpers Volatility Review: The week in vol VIX: Russia sends tanks into Ukraine and volatility skyrockets Volatility plummeted after US involvement in the Middle East. CBOE stock as a hedge. VXST: Big moves in only 24 contracts. Why is this product not catching fire? VIX options: Settlements coming up soon. Metals: GVZ dropping earlier this week, but taking a spike recently.     Volatility Voicemail: Listener questions and comments Question from Lawrence - You were discussing if straddle prices exceeded earnings moves on your last show. I use software called "LiveVol” that has data for the trailing eight quarters, that shows this data for every company for the first and second expiration. It also shows implied vol crush for the first and second expiration. Their software is amazing. I like to sell iron condors before earnings to get short Vol. I usually use unbalanced condors with a short delta. I feel the underlying moves down for often and more violent. If the underlying moves up, the short Vega reduces loss a bit, in addition to the post earnings crush, as longs sell their protective puts. Love the show!     Crystal Ball: Where will VIX settle?

Volatility Views 122: Goldman Straddles and Buffett Puts Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions: 273,733 .VIX Aug-14 16.0 C, chg +7148 262,146 .VIX Sep-14 19.0 C, chg +1029 221,559 .VIX Sep-14 21.0 C, chg +24 VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio RVX OI: 591 Goldman analyst events study http://www.docstoc.com/docs/158693818/Goldman-Sachs from Trading-Events-Analyst-days. Studied 3,700 analyst days from 2002 to 2012. Twice as positive for stocks vs average day. Analyst days are more significant if held far after earnings. Checking in on Warren Buffett’s equity index put trade by Russell Rhoads, CFA. Volatility Voicemail: Listener questions and comments Question from Rueben Brooks -Listened a while back to a show you and Jared did talking about N. N. Taleb and how you were surprised that, given his long-gamma leanings, he would short the ATM straddle. I found this interview he did a while back, curious on your thoughts: http://www.fxtsp.com/education/fx-trader-interviews/834-interview-with-top-trader-nassim-nicholas-taleb.html One other thing: I was very intrigued by a show you did a while back with Chris Cole over at Artemis capital. I was fascinated by his papers and his exploration of volatility arbitrage. Do you have any resources or books you could recommend where I could learn more about this? I really appreciate all the work you do. You have been by far the best resource, and aggregator of resources, regarding options education that I have found. If you end up addressing any of this on a show, could you let me know which show so I make sure I don't miss it? I try to listen to Volatility Views, Option Block, and Options Bootcamp. Thanks for your time, -Reuben  

Volatility Views 121: Something Is Odd with Volatility Skew Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this week.     Volatility Voicemail: Listener questions and comments. Question from TiklenIvory: What is the best way to short VIX? Straight up VIX puts, or go long XIV? Question from James Forrest: I liked the conversation regarding straddle volatility going into earnings. I agree that there should be more research into this area. Jared, I would happily add my $5 to the mix, if that will spur you into action. If you had to guess right now, what percentage of Fortune 500 names do you think outperform their straddle in any given quarter? Question from Eligo: RE: Straddle debate from episode 120. Should any straddle research into earnings incorporate dynamic hedging into the results? For example: If the underlying does not net outperform the straddle, but there are multiple opportunities to dynamically hedge during the trading session, it would net be profitable. Should this be incorporated into any future straddle research, or does this add too much complexity to the equation?     Crystal Ball: How long can volatility stay in the low teens? What could possibly cause a move higher?

Volatility Views 120: Breaking down Earnings Straddles Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions   245,725 .VIX Aug-14 15.0 calls 241,232 .VIX Aug-14 16.0 calls 238,364 .VIX Sep-14 19.0 calls Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable following recent volatility hovering around 14%.     Volatility Voicemail: Listener questions and comments Question from Nick Snow - Figured this would be a good place or at least the right place for this question. What is implied vol? I mean to ask for a stock we just get one number but every strike has a different IV so when we get one is that the average of the smile or is it the ATM straddle vol? Seems like I should know this if I am trading it. Question from Mr. Higgins - Dear volatility viewers - the Proshares Ultrashort VIX (UVXY) hit a low in June. I though the spread between VIX cash and UVXY would continue to expand, but UVXY seems to have leveled out. What is your analysis of the trading relationship between these two products? Are they reliable spreading candidates? I am not much for futures so I would probably stick with straddle in each to capture the divergence. Thanks for the program - please give my regards to Don.

Volatility Views 119: Craziest Week Ever Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX takes big jump on Ukraine, Middle East worries. Set against another Malaysian Airlines crash and rising Middle East tensions, the VIX had its greatest jump in more than a year on Thursday, closing at 14.54, up 32.18%, this represented the VIX's greatest rise since April 2013, reported Bloomberg. Gold jumps 1.5% after plane crash. GLD options breakdown: 2.1 calls to puts, Aug IV - 14%. Has been mostly hovering around 12% recently. Malaysian crash wreaks havoc on wheat futures market.  Volatility Voicemail: Listener questions and comments Question from George: I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF can be better indicator to make sure where the SPY, so the most assets, head. How do you use these indicators together for your work? I would use other indicators too such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George Question from Anthony: I just downloaded the CBOE skew index data and worked a little excel fu. The average of the skew index since inception is 117.43. It went out on Wednesday at 134.86 - if my reading of this is correct then that shows a substantial premium to SPX puts going into Thursday’s correction - which says a lot of people were hedged? Of course this is substantially lower than the recent high of 143.26 set on 6/20. So apparently fewer people were concerned about a selloff prior to the actual drop. After Thursday’s selloff the index dropped again to 131.65. That surprised me since I’d think the panic would spark more put buying. Does this indicate the market isn’t as concerned as the selloff might initially indicate?