Volatility Views

Volatility Views 107: Another Day, Another Selloff Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol preview. Volatility Viewpoint: What was Russell’s take on RMC this year? Volatility Voicemail: International VIX? Question from Vegaman - Great podcast. Love the recent rundown of RMC since I’m never able to attend the show. My question - do you know if any international versions of the VIX are in the offing? You’ve discussed the India VIX on previous shows but that seems to be the only non-U.S. version that gets mentioned. Thanks to the folks at Russell for making this great show possible. Oh - and I’m streaming the show while submitting this question from the mobile app. Very cool. Crystal Ball: An outlook of VIX, RVX, VIX ETPs and other volatility products.

Volatility Views 106: HFT and Volatility Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared to the first quarter of 2013. Volatility Voicemail: You direct the conversation Question from George - Big fan of the show - been listening for years. I think Jared is a great addition to the panel. There is a lot of talk about HFT firms manipulating stock markets in the wake of the Michael Lewis book Flash Boys. I have seen lots of talk about price manipulation, but I keep coming back to all of your discussions on Volatility Views, and it makes me wonder - why is no one talking about volatility as it relates to HFT? Are the firms adding volatility to the marketplace? Could these firms be responsible for a lot of the vol of vol that we see in the marketplace right now? Particularly in very active name or in some of the volatility ETFs? Keep up the great show! Question from EVO16 - I am a regular user of VXX. I have heard you refer repeatedly to the cost of rolling this product and how it negatively impacts holders. Is there anything I as a regular VXX owner can do to minimize this? Are there other ETFs out there that attempt to do this? Crystal Ball: An outlook for VIX, RVX and VIX ETPs.

Volatility Views 105: Happy Anniversary, VIX! Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility. Volatility Voicemail: Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you have provided, so for that I thank you. I am confused however about a situation I am seeing. I have a position in the VIX, where I bought the Nov 15 put for $0.80, with the underlying at the time of purchase listed at around 1,650. Today the underlying has dropped to around 1,300+, but the option is only trading around $1.30. It seems that the option should be worth more than that because it has about $2 of intrinsic value. So in theory, could someone with a large account just buy a few contracts, exercise them immediately, and sell the underlying on the open market for a huge profit? Thanks for clearing this up for me, keep on rocking! Question from Brighton Capital - Very informative show with Jarrod Woodyard yesterday, do you have a similar post-FIA/Boca discussion in the works? Question from @vikingwrath - The market is iffy here. What are your thoughts on UVXY in the short term? Crystal Ball: USDA quarterly grain stock report coming out soon for ags. Interesting vol Products: a lot of vol in German renewables.

Volatility Views 104: Revisiting Risk Management Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper. Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend. Crystal Ball: An outlook for VIX, RVX and VIX ETPS.

Volatility Views 103: The Russian Ripple Effect Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours. Volatility Voicemail: What do you want to know? Question from Charles Engel - Is there any way to buy and hold VXX without paying the inherent roll risk? Comment from IfThen - Bitcoin cut in half after Mt. Gox - talk about volatility! Question from C-Bug - Are there any products on the horizon that you think can dethrone VIX from the volatility throne? Vol Dex? Question from Tom Wills, Eugene, OR - I remember you discussing a VIX call strategy that could out-perform direct SPX put spreads on an older episode, but I'm not sure which of your 100 episodes it was. Please help! Crystal Ball: An outlook for VIX, RVX, and other VIX ETPs.

Volatility Views 102: What Is a VIX Covered Call Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week. May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hit record heights. More "showshine boys" from Chris Cole. Volatility Voicemail: Question from Bryan Tong - When will we get VXST options? Soon? Question from Enten - If I buy and write VIX calls against it, is it technically a covered calls? Will my broker recognize it as a covered position? Question from Declan Smith, Dublin - Why do so many people buy VIX calls to hedge their long premium SPX-SPY positions? Do they not know that they are already long the implied volatility of the S&P - aka VIX? If anything they should be selling those calls or buying puts. Question from Tim J. - What is the settlement process for VXST? Crystal Ball: An outlook for VIX, RVX, and VIX ETPs.

Volatility Views 101: Buying Vol at Any Price Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options. He gives an overview of the Vol Tracker and global map of implied volatility. Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price". Discusses his your take on what we have been seeing recently out there in the world of natural gas volatility What he’s been seeing in the realm of currency. Reviews how the premium levels in different emerging markets have changed since he wrote your piece "Emerging Market Confusion". Volatility Review: Vol in the 20 range. Is this a long-term average? Will realized volatility catch another tail wind? The plethora of VIX products - Is it still a reliable index? Crystal Ball: An outlook of VIX, RVX and other vol products/indexes.

Volatility Views 100: Volatility Tourists and Shoe Shine Boys Volatility Viewpoint: This week’s guest is Chris Cole, Managing Director at Artemis Capital Management. They discuss: How he incorporates vol into his trading? How he defines a low vol market? His feelings about VXST? Volatility Review: The first week of VXST. The long term Jan 30-40 put spread that went up this week. Was that risky? Playing the wait and see game with RVX. Volatility Voicemail: Question from Neil Higgins, Birmingham, UK What impact, if any, do you think the entrance of China into the options market will have on volatility? Will it spawn a whole nation of VIX call buyers? Also, what is your view on the performance of the India VIX vs. S&P 500 VIX? Is it a better barometer of market volatility since it does not have all of the ETP baggage that bogs down the US VIX? Mark if you ever take the show on the road to England, let me be the first to offer to buy you a pint. Great stuff all around. Crystal Ball: What is there out there to inject some juice into the markets?

Volatility Views 99: Debunking BXM vs. PUT Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index. They discuss: How he got involved in creating the put-write index with he CBOE What the response has been to the put-write index Why he thinks the Put-Write remains in the shadow of BXM Why he thinks commodity-based volatility products like GVZ, etc. have failed to take off in the marketplace His take on the recent move in nat gas and the volatility levels out there Volatility Review: VIX options are on fire lately, with an ADV of nearly 700k contracts recently. Still heavy interest in calls (2.4/1 calls to puts), but nowhere near as strong as it was a few weeks ago when it hit nearly 3 to 1. Realized vol is still beating implied vol, but the gap is closing. As with VIX, the bulk of open interest in RVX is in the calls. Volatility Voicemail: The vol experts will take your questions now Question from Mr. T Bill - I know the focus of your program is equity volatility, but I think there might be an audience for fixed income volatility as well. You could discuss the performance of implied vs realized across various treasury options and futures. You could even mix in some discussion of ETFs like TLT (March and April are both trading at an 11 implied vol - flat term structure - trading opportunity?) Any chance you might consider adding this to future shows? Thanks and I love the program. Glad its back on the air. My weeks just were not the same without Vol Views. Please give my best to Don. I hope he can come back on the program some day. Crystal Ball: An outlook for VIX, RVX and other vol products/indices.

Volatility Views 98: The Rise of Short-Term Volatility Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course. Volatility Viewpoint: Our guest today is Jay Caauwe - CBOE Futures Exchange. Hot on the heels of two new records: 2013 was a record year and January was another record month. Are you still on-track for a Feb 13 launch for VXST? What about the options? What has the response been to the extended VIX hours? What has the customer response been to RVX so far? What use cases are you seeing for it? Any other Russell volatility products on the horizon? Crystal Ball: An Outlook for VIX options/futures, RVX & ETPs.