Volatility Views

Volatility Views 67: VolContract Futures Overlays: The Holy Grail? Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th. Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of VolContracts in conjunction with an equity portfolio. The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.

Volatility Views 66: A Week without VolatilityVolatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week.Listener Mail: Our listeners drive the bus for a while Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER) Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX is underperforming? (Via Tweet from @XZTON) Does VolX have any plans to launch any realized volatility products on commodities such as ags, metals, etc.? Thanks and keep up the great work. (Via Email from Sid K., Des Moines, IA) What do you guys think of Apple call verticals here? Does Apple skew make buying them more attractive going into earnings? (Via Tweet from @Duncan6) Why is NASDAQ historically a more volatile index than the S&P500? Is it simply because it contains more tech stocks, so that generates more volatility than large Fortune 100 type stocks? Also, can you recommend any good products for trading NASDAQ volatility? Thanks for answering my question and for this fantastic, one-of-a-kind program. (Via Facebook from Alexander S.) Crystal Ball: Looking ahead at VIX, NASDAQ, and S&P. Less than a month away from the general election.

Volatility Views 65: Contango Tango Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ. Volatility Viewpoint: Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more. Crystal Ball: Don't expect much to happen in the next week or so. Non-farms and the VP debate upcoming.

Volatility Views 64: Missing the Fat, Juicy Puts of YoreVolatility Review: Looking back at a four-day time horizon. At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 13.Volatility Mailbag: The team lets the listeners steer the conversation. Email from Michael: "Does volatility play a role in dividend exercise/assignment? Is Vega a major factor in most dividend scenarios?" Tweet from Ian K: "Can you talk a little about commodity volatility skew? Why is it so different than equity skew?" Facebook question from Christian Garcia: "Is it worth it to be stuck on the screen all day with regard to gamma scalping? Does Mark Sebastian's formula (pay-to-the-decay) work on futures options?" Crystal Ball: The team attempts to peer into the murky ether of upcoming volatility.

Volatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fighting a losing battle because our head tells us we are right when everything else is telling you otherwise. It really highlights the need to follow a plan, stick to you risk reward no matter what happens and act like a robot with no emotion when trading. Regards, Lee" Facebook Question from Tom Sevens: “You guys are always talking about the implied volatility premium vs. realized. But it seems like implied vol is always priced at a premium to realized, so is there ever a reason why anyone would want to do the opposite trade - buy implied and sell realized vol?” Tweet from @GIN4: “Are there any products out there that replicate vol trades (straddles, iron condors, etc.) to save me the hassle?” Email from Ed S.: "I really want to understand option volatility. I have even subscribed to sites that ANALYZE volatility, but I can never figure out what to do with the number it generates. I don't know if the result is particularly high, medium or low. This is very distressing to me, because I know vol is very important. But it simply eludes me. Your help is appreciated." Tweet from @TOMOTON: “Both Marks slammed buying 20,000 Feb 70 VIX calls for $0.15. What trade would you prefer to see?” Crystal Ball: Looking ahead to a slow upcoming week in vol.

Volatility Views 62: Bad Money ManagersVolatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch.Listener Mail: Letting the listeners take control of the conversation. I loved last week's show. I'm very glad to have Vol Views back in the saddle! My financial advisor recently recommended that I allocate a portion of my portfolio over to VXX because "VIX is low." I didn't know what he was talking about. When I Googled VXX I came across this program and have learned quite a bit. Thank you for informing me, but I'm still uncertain as to his VXX recommendation, especially after hearing your comments about TVIX. Should I allocate some of my portfolio to VXX? Why are VIX cash and front month VIX futures the same right now? Don - Is there ever a case when you would buy vol? You guys are always talking about Volatility skew. I recently noticed that, in Apple, the calls were bid substantially over the puts. Is that an unusual phenomenon? Are there any other names you can mention where this is the case? Are there any tools that let you trade off of vol cones? Crystal Ball: Looking ahead to next week's VIX cash and VIX futures. NASDAQ preview.

Volatility Views 61: A Short Straddle for CowardsVolatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring. Dan discusses Market Taker and how he approaches volatility with a new client. He also talks about mentoring students who want to dive into sophisticated vol products, like VIX options, for example. Does he counsel the novice trader to avoid these products? How does he train students to be aware of volatility levels for each trade that they make? They also discuss gamma scalping and delta neutral trading, and where Dan falls in the volatility hedge vs. direct hedge debate.Mailbag: Answering listener mail.. When is Volatility Views coming back live?. Someone bought 20,000 Feb 75 calls in the VIX yesterday. That's near the ultimate all-time high for the VIX. Why do so many people dramatically overestimate VIX, particularly to the upside? People seem to be ignorant of the historical range of VIX, let alone the typical VIX movement. Perhaps this is more of a comment than a question, but it's been bothering me lately and I wanted to hear your learned opinions on the matter.. Is there such a thing as "the gamma of vega"? Crystal Ball: NASDAQ vol outlook.

Volatility Views 60: Jackass Investing: Don't Do It. Profit From It. Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyers opportunity. Volatility Viewpoint: Today's guest is Mike Dever, Founder and CEO of Brandywine Asset Management, and author of Jackass Investing: Don't Do It. Profit From It. He starts with his unique approach to volatility. Is it possible, given such broad correlation among asset classes, to be able to really diversify? The book says you can increase returns, while reducing risk at the same time. Is this preaching the wisdom of using derivatives? The "loser's concept." What does he say to readers who are concerned about the current state of regulation and oversight in options and derivatives? Crystal Ball: Looking ahead for the next month for NASDAQ vol and VIX.

Best of Volatility Views: Busting Skew Myths Busting Skew Myths! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew.

Volatility Views 59: A Deep Dive into Variance SwapsVolatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected. Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexity, and vol of vol.Listener Mail: Addressing Listener QuestionsVol Views Gang - Which will we hit first a VIX of 40 or 14? (Via Twitter from TEXASTEA)Why don't more brokerage firms allow you to quote options by vol levels instead of price/premium levels? You'd think this would be a very desirable feature, particularly to the type of educated clientele that listens to a show like Volatility Views. That's certainly a desirable clientele for a broker. I know I would certainly like that feature. Can you guys weigh in on this and hopefully help me spread the word for this feature among online brokerage firms. (On a side note - I can't wait for Volatility Views to get back to its regular schedule. I never thought I would be this excited for the end of summer.) (Via Facebook From Alex K., Tucson, AZ)Does the Volatility Views team feel that the new method for listing weeklies will lead to a reduced volatility of volatility in those products? Thank you very much for your fine program.(Via email from Alessandro Ropa, Barcelona, Spain) Crystal Ball: Looking ahead at the next month for VIX and NASDAQ Vol.