Volatility Views

Volatility Views 12: Tasty VolVolatility Review: Euro vol update. Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month VolContracts will be in the mid 10 range. Is the market finally starting to respect volatility?Volatility Viewpoint: Mark and Don talk to Tom Sosnoff, CEO of Tastytrade, and founder of Thinkorswim. They discuss the impact of weeklies on option volatility; the difficulties associated with launching new products in the options market; whether futures contracts are even relevant to retail customers and much more...Crystal Ball: There is still room for the S&P 500 to drop.

Volatility Views 11: Good Sources of VolatilityVolatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month VolContracts. Don't write off the last trading day; every data point matters.Volatility Viewpoint: Mark and Don discuss their resources for volatility news and information.Crystal Ball: Will the S&P 500 hit a critical psychological point? Where will VIX go if it does? July 1-month and September 3-month VolContracts trading now.

Volatility Views 10: Options Die A Little Every DayVolatility Review: Hit the bids and then hit the road? Significant fear uptick. Should VIX skew exist? Commodities adjustments set volatility running. Euro vol: simultaneous expiration of the June 1- and June 3-month VolContracts on Friday. When do remaining time frames open the door for arbitrage opportunities?Strategy Session: If realized volatility is such a good way to capture and trade vol, what incentive is there to short a realized-vol product?Mail Bag: What are Mark and Don's views of trading vol going into earnings?Crystal Ball: Super low realized vol for IBM. Euro vol expiration Friday. Will "sell in May and go away" apply here as well?

Volatility Views 9: Managing Ratio and Calendar Spreads Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April. What will June bring? Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity. Strategy Session: 1x2 ratio spread. Don discloses that he sold premium. Spread management, or finding the right parking place. Resisting the dark side. Calendar spreads and choosing which way to cheer. Greek management. Position management goes beyond expiration dates. Listener Mail: A suggestion comes in for a potential new segment reviewing OTC trading activity. What do Mark and Don think of the listed versions of OTC vol products? See: OTC cabal. Blackjack tips. Crystal Ball: Looking at potential arbitrage opportunities through June Euro VolContract expiration. Volatility cone updates.

Volatility Views 8: Live From OIC 2011Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange. Volatility Review: Euro vol contract update: stable, but at a high level, hanging out at the 12.50 range. Bob gives a detailed overview of how the product works.Crystal Ball: The news makes it reasonable to think that volatility will stay high. What is coming up next for VolX? New volatility indices: three different time periods for three new indices, a historical lookback, the volatility of volatility, and a GARCH-based forecast.

Volatility Views Episode 7: Venturing Into The Volatility Mailbag Week In Review: Market and IV both rally, crushing call spreads. Euro vol has surprising pop, with May settlement significantly higher than March or April. Listener Mail: Selling ITM Covered Calls To Capture Skew; What is the time frame for new VolX Products? Will there be realized volatility contracts on AAPL? SPY? Volatility cones for equities? Comments on Robert Engle interview. Crystal Ball: Commodity selloff continues. Volatility is priced like there might be an increase in realized vol. Volatility begets volatility. June Euro vol contract now available.

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert EngleMark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH models, and how the ARCH model was born The Volatility Institute Vlab SoFiE Professor Engle's work with the SEC's Flash Crash Advisory Committee The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.

Volatility Views 5: The Thwack of VolatilityVolatility Review: Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday. Euro VolContract update. Sebastian talks about the thwack of volatility.Strategy Session: Dynamic vs. static hedging for professional traders. Don recommends two articles: Volatility Hedging - Turn Up the Static! Volatility Exposure for Strategic Asset Allocation Listener Mail: Keep those cards and letters coming! Don and Mark tackle the disadvantages of variance swaps, the stickiness of ATM volatility, and individual name VIX products. To access the Volatility Views section of the forum, click here.Crystal Ball: Stabilization of vol? Keep an eye on commodities. Euro vol is half way through the one-month May contract.

Volatility Views 4: The Many Flavors of Volatility ConesVolatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract. "Sell" was the word in vol last week. Contango craziness.Strategy Session: Contango - a basic introduction; Mean reversion - beyond basic introduction; Volatility cones as a trading signal: they come in many flavors.Crystal Ball: Interesting vol ahead, both in the Euro contracts, and in the market in general. VIX cash fluctuations. Sebastian predicts that S&P will downgrade U.S. debt on Monday. Are you ready for "Sell in May and go away"?

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year. Ten-day realized vol is near two-year lows. Is this the eye of the hurricane or the calm after the storm? Implied vol really low, although IV ended up on the week in the S&P 500. Market doesn't completely trust the low vol levels.Strategy Session: Continuing last week's discussion, we begin looking into logical errors when deriving volatility over discrete periods. The simple answer: Root-Mean-Square. Don walks us through the math, as well as the usefulness of this method when looking to hedge volatility exposure over a longer period of time. Cheap volatility and buying or selling premium? Mark and Don discuss their own thoughts on these two matters. Crystal Ball: Yay...no government shutdown, which may actually put a damper on upcoming vol. However, if oil continues to rally, and indications of interest are rates rising, we'll see increases in IV. Good news doesn't rally market = warning sign. Upcoming numbers to watch: Retail sales; beige book; Michigan sentiment; PPI; CPI. GVZ: Gold vol index starts trading options at CBOE starting 4/12. When will oil and the broader market diverge?