Volatility Views

Volatility Views 32: Larry the Legend In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan. Volatility Review: Last week saw a lot of volatility action. VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma? Seasonal drain to volatility. Euro VolContract update--one week left to go in the front-month contract. Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio. Discussing the fine art of gamma scalping. Crystal Ball: Wild prognosticating from the panel. The market will have trouble supporting current vol levels. Sebastian likes buy-write opportunities in gold right now. Larry still has a bullish bias to the market. With expiration week for the front month upon us, Don sees Euro vol settling at around 12.40-12.75.

Volatility Views 31: Live from Las VegasVolatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-month VolContract?Volatility Viewpoints: Bob talks about the long-term future of volatility, the volatility of volatility, and how efficiency affects the market. Also, Bob discusses his initial thoughts of the article in Futures magazine written last week. Volatility Interview: Dan Cook, Director of Business Development at the Nadex Exchange, joins Mark and Bob in the interview segment.Crystal Ball: With the VIX at 33, we need the market to move 2% per day to pay for VIX. Is that possible, or are we looking at a potential meltdown? If we see the VolContract fall anywhere below 13%, should we be looking to get long FX vol?

Volatility Views 30: Epithet Etymology Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today. Volatility Viewpoint: This segment was kicked off by an article in Futures Magazine, "Stock Market Trends and the Volatility Premium by Marco Erling. We felt the article would be right up the alley of Volatility Views listeners. Mailbag/Crystal Ball: WHERE ARE WE ON THE EURO VOL CONE? I know the guys over at VolX are big fans of the vol cones. I'd like to know where the Euro VolContracts currently fall on the vol cones spectrum. It sounds like they would be a screaming sell at these levels. Am I correct, and do the hosts agree? Until the VIX proves it can hold 30 and lower, it may be a good time to hold premium – good for gamma scalping.

Volatility Views 29: Other Volatility Indices Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro VolContract. Volatility Viewpoint: Don discusses some of the hedging aspects of using VolContracts against options positions or equity portfolios, and some general logistical issues for listeners who are looking to add VolContracts into to their portfolio for the first time. Mailbag: Volatility on Other Indices. Hello Vol Views Crew: Love the show. Keep up the good work. My question concerns the viability of volatility products on indices other than the S&P. For whatever reason, none of those products have managed to attract volume or attention like the VIX, even when the ones that were created by the CBOE. To what do you attribute their failure? Is there something inherent to those indices to make them poor candidates for vol products, or is the S&P simply an ideal candidate for vol products? Thanks for your insight. Crystal Ball: With so much uncertainty coming out of Europe, how long will sentiment factor in vol remaining high? Can Euro volatility at 15% last for the rest of the month? Plus, Mark Sebastian's weekly outlook.

Volatility Views 28: Day-Trading VolContractsVolatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently -- two big moves during the first two and a half weeks pulled the one month Nov up and down.Volatility Viewpoint: Trading VolContracts intra-day, and some of the opportunities and mathematical applications inherent in this type of trading.Listener Mail: How Would You Update VIX?Hello: Since VIX is still the brand name for volatility with much of the investing public, I would like to know what tweaks/upgrades you would suggest for future iterations of the VIX.Crystal Ball: Euro vol outlook -- will we move lower from here? Also, Mark Sebastian looks into his crystal ball.

Volatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review. Volatility Viewpoint: A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a better hedge for options traders. Listener Mailbag: Volatility Trading for RetailHi Guys: I imagine I am one of the many retail options traders who regularly tune into your program, even though much of it is way over my head. I've heard you guys discuss delta neutral trading in the past. My question is whether you think this is an appropriate strategy for retail options traders to adopt. Is it viable to trade delta neutral with a regular online brokerage account these days? Also, I know Mark Longo has said on previous programs that retail tends to be directionally oriented and professionals trade vol. I'm sure that's the case for a reason. Why do you think so many retail traders fall into the directional vs. vol camp? Thanks for the show. I'm learning something new every week -Facebook question from Dabney K, Ontario, Canada. New VolContractsDon's hinted at new vol contracts coming soon on equity indices. Will these utilize the same formula as the euro or will there be slight tweaks for the different underlyings? - Twitter question from Oseo Crystal Ball: Mark Sebastian weighs in on the upcoming week. Also, an outlook of Euro vol for the remainder of October.

Volatility Views 26: Live from FIA Chicago Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.

Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove the mean for vol calculations. Plus, explaining negative market skew-ness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating. Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility in such a short time frame?" Crystal Ball: S&P, Nasdaq, and commodity Vol outlook. Euro VolContracts outlook. What's coming up at VolX and Option Pit?

Volatility Views 24: Precious Metals Volatility ExplosionVolatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little while. Euro vol review. Mailbag: "I've been listening to the show for some time and have become intrigued by the concept of VolContracts. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade VolContracts? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with VolContracts? Also, since they are listed by the CME and track realized vol of Euro futures, I assume that I will need a futures account to trade them. Lastly, are these listed on Globex so I can trade them electronically or do I need to put an order into a pit?" "Bob Krause advocated the use of volatility cones on a recent show, and I know Don has discussed them in the past as well. However, Mark made an excellent point in a recent episode that, in this environment, vol cones may not be the best barometer for where you should work your orders. It got me wondering if maybe there were certain market environments where vol cones were extremely useful, and other times, such as the current environment, when waiting for mean reversion is the quickest way to blowing out. Long Term Capital immediately comes to mind. I'm wondering what you guys think on this issue. I think I know where Mark stands, but I wonder where Don falls on this since I know he is an ardent fan of vol cones." Crystal Ball: Metal vols -- have we just witnessed the bottom of gold and silver? Mark Sebastian predicts VIX to hit 50 in the next three weeks. We are halfway through the Oct VolContract, and as of Thursday the contract settled at 15.87 -- you would need 18 volatility on the Euro, going forward, to justify that price.

Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility. Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion. Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?