Volatility Views

Volatility Review: A look back at the week from a volatility perspective VIX cash: 14.66 VVIX: 104.12 Ten biggest $VIX rallies and what $VIX did the following day Question from @FContangotrader: How many % $VIX went up today? #%of% CBOE SKEW Index:137 The Volatility Buyer Known as '50 Cent' Just Had a Huge Payday VIX options: ADV - 747K; Thurs - 806K; Weds - 1.34m; Tues - 1.06m; Mon - 533K VIX call/put: 3.1/1 Hot VIX strikes 308315 .VIX Jun 21st 30.0 C, chg +4261 274854 .VIX Jun 21st 35.0 C, chg +521 261116 .VIX Jun 21st 20.0 C, chg +22016 256652 .VIX Jun 21st 15.0 C, chg +61381 207375 .VIX Jun 21st 19.0 C, chg +36896 182527 .VIX Jun 21st 16.0 C, chg +21143 165518 .VIX Jun 21st 25.0 C, chg -17814 161130 .VIX Jun 21st 18.0 C, chg +7305 153348 .VIX Jun 21st 17.0 C, chg +4539 139338 .VIX Jun 21st 11.5 P, chg +8819 Total 6.77m (5.13m Calls, 1.64m Puts) Earnings Volatility GAP (GPS): $23.13; ATM straddle : $1.85 - approx. 8% BABA: close $120.72; ATM straddle approx. $6; approx. 5%; dropped as low as $114 - $6.72; close $121.35 - UP .5% WMT: close $75; ATM straddle $2.25; approx 3%; high $77.66 Volatility Voicemail: Listener questions and comments Question from Vtrader168: Considering that there is large Vol jump Wednesday without major event, and the market recovery is not that strong, is it an indicator that the period of the extremely low VIX is over, and VIX return to "normal-low" level? Question from Volbug: Hi. This is for Volatility Views: Thanks for the show Marks and Russell. You mentioned that implied vol is often more than realized vol. Does the time frame of the option, impact that calculation? For example 1 monthly option is cheaper that 4 weekly options. Thanks. Crystal Ball: Wild prognostication Last Week: Mark L. - 10.25 Russell - 11.25 Henry - 9.90 This Week: Mark L. - 10.75 Mark S. - 11.05 Russell - 12.26

Mark, Russell and Henry are live (to tape) at the annual Options Industry Conference. They took some time away from the pool to give our listeners the scoop on volatility. Volatility Review: Henry delivered some of the highlights of the conference. The concentration of volume in a few names, aka the 80-20 rule. The impact of fragmentation on volume. The heavy percentage of complex orders of overall volume. The buzz about a WSJ article on the decline of options volume and the stats that dispel that idea. The opportunities being generated by complex order books. Are we looking at coopertition? VIX below 10: what does it mean? Is there really a new supply of premium sellers? How much pain can they stand, and how will that impact the market? Russell's Weekly Rundown: What did Russell notice this week? It's the week before standard VIX expiration Crazy spreads Top ten strikes of the week

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 10.46, practically unchanged from last week. VVIX - 78, same as last week. CBOE Skew Index - 130.5, 12 point lower than last week. Russell's Weekly Rundown: VIX Options: Mon - 572k, Tues - 746k, Weds - 469k, Thurs - 657k, ADV - 734k VIX Call/Put: 3/1: Total 9.68m (7.26m Calls, 2.42m Puts) CBOE begins trading options on VelocityShares EVIX - contract based on VSTOXX Short-Term Futures Investable Index Earnings Volatility: Tesla Close - $311, ATM Straddle approx. - $17, approx. 5.5% FB: Close - $151.80, ATM Straddle - $5.63, approx. 3.7% Volatility Voicemail: AAPL Earnings Pop Quiz AAPL $146.50, Weekly straddle $5 (3.5%). IV30 = 21%, Weekly 155 Call= $.27, 138 Put = $.27 Would you rather? Buy Straddle/ Iron Fly, 18% Sell Straddle/Iron Fly, 34% Buy Call, 44% Buy Put, 7% Earnings Season Flash Poll ZNGA reports earnings today. Stock is trading $2.87. #Options ADV 3K. Do you trade options on cheap stocks? Yes, down to $10 Yes, down to $5 Rarely No, the stock is an option Listener questions and comments: Thank you for the fan art, inspired by Don Schlesinger, sent in by Hawkeye. Comment from Don S. - Mark, listening to the recent Vol Views from RMC, I was going to write to you, in any event, when, all of a sudden, I heard my name invoked with respect to buying options ("I hope Don Schlesinger is not listening")! Well, I was listening, so will share a few views on vol. :-). I am continually amused by the staying power of the traditional topics. Thirty-three years ago, when I began in the industry, but most especially after the 1987 crash, when the skew was born, it became axiomatic to me that the only good thing to do with an option was to sell it or not sell it. Today, you have invented new-fangled terminology, such as "risk premium harvesting" (which I find adorable!) to describe exactly the same thing: to sell options because their implied volatilities are, on average, considerably higher than what realized volatility of the underlying goes on to display. I am not sure why we need the new vocabulary, but whatever makes people happy. You can either be the insurance company or be the policy owner. Which one makes the most money? Question from @fksthlm - Did something just break in VIX ETFs? Was the move 11:45 Wednesday, hindsight guess I was only surprised to the sensitivity to futures at this level Crystal Ball: Wild and reckless prognostication Last week: Mark L. - 11.50 Mark S. - 11 Russell - 11.95 This week: Mark L. - 10.55 Mark S. - 9.95 Russell - 10.10

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 10.36 VVIX - 76.66, back in the toilet. CBOE Skew Index - 142.55, still rich. Russell's Weekly Rundown: VIX Options: Mon - 975k, Tues - 801k, Weds - 475k, Thurs - 571k, ADV - 734k VIX Call/Put - 2.7/1; Total 8.81m (6.55m Calls, 2.27m Puts) Earnings Volatility: Alphabet, Amazon, Intel, Starbucks, Alcoa, Chipotle Volatility Voicemail/OptionsQuestion of theWeek: Earnings Season is upon us. Big names are reporting soon. Which is your pick for the largest % move post-earnings? $AMZN - 36% $GOOGL - 26% $CMG - 30% $MSFT - 8% Listener questions and comments: Question from FContangotrader -What is your 2 cents on this article? Thanks. Comment from Lolzi - Could we all just get along and agree that VXX erodes relatively predictably? Who really cares if its roll yield or flying pigs as long as you can count on it with some degree of certainty? Question from JJonQuin - You say VIX call to put of 2-3 is normal. What is not normal? When should we get alarmed? 5? 6? Higher? Crystal Ball: Wild and reckless prognostication. Last week: Mark L. - 12.75 Mark S. - 16 Russell - 13.25 This week: Mark L. - 11.5 Mark S. - 11 Russell - 11.95

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 14.15 VVIX: 94.53 CBOE Skew Index: 146.85 +6.65 (+4.74%), getting rich again. Russell's Weekly Rundown: VIX Options: Mon - 616k, Tues - 1.4M, Weds - 1.6M, Thurs - 752k, ADV - 712k VIX Call/Put: 3/1: Total 7.27m (5.45m Calls, 1.82m Puts) OIV/OVX - 28.26 Volatility Voicemail: Options #QuestionoftheWeek Earnings are back with some juicy straddles reporting this week. Which is your pick for the most overpriced? $NFLX: ATM Straddle 8% $BAC: ATM Straddle 3% $EBAY: ATM Straddle 7% $ETFC: ATM Straddle 4% Listener Questions: Question from Nizy - So I am confused. Per your VIX Myth-busting episode - what is the deal with with the VXX erosion? It is not due to the roll or it is? If so then how does it erode when VIX futures are backward? Question from Avil3 - UGetting my dad to the dark side. He is thinking about dipping his toes in the Vol waters. What product do you recommend for a Vol newcomer making his first trade? Thx and I will try to get him to listen. Crystal Ball: Wild prognosticating This week: Mark L. - 12.75 Mark S. - 16 Russell - 13.25

This Best of Volatility Views was recorded on November 8, 2016. The resurgence of Donald Trump in the U.S. election is weighing heavily on markets around the globe. We break down the historic action in VIX, Dow, SPX and more live on this special late-night episode of Volatility Views.

This episode of Volatility Views was recorded and posted on November 8, 2016. You want a Volatility Views looking at election volatility in real time? Well, Mark, Russell and the greasy meatball got together and did just that.

Volatility Review: Today we are joined by guest co-host Bill Valentine, Commodore Fund VIX Cash - 12.39, VVIX - 84 CBOE Skew Index - 131, back down to normal levels VIX Options: Mon - 597k, Tues - 368k, Weds - 720k, Thurs - 564k, ADV - 659k, (Total: 9.8M - 7M Calls, 2.8M Puts) VIX Call/Put - 2.4/ 1 OIV/OVX - 26 - in the toilet GVZ - 12.85 TYVIX - 5.12 Volatility Voicemail: Comment from LVT. Re: your discussion from last week. I think moving averages are worthwhile when analyzing VIX. Other than that, not so much. Crystal Ball: Your VIX prognostication headquarters Last week: Mark L. - 12.50 Andrew - 12 Russell - 12.80 This week: Mark L. - 12.65 Mark S. - 12 Russell - 9.87 Bill - 13

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 11.54 VVIX - 7.5 CBOE Skew Index - 139 Russell's Weekly Rundown: How is the April 26 fly looking? VIX Options: Mon - 635k, Tues - 740k, Wed - 601k, Thurs - 498k, ADV - 648k VIX Call/Put: 2.4/ 1. Total 8.91m (6.30m Calls, 2.62m Puts) OIV/OVX - 28 GVZ - 12.06 TYVIX - 4.68 Volatility Voicemail: Options #BrokerMadness tournament going on now. Finals matchup! We have @Lightspeed v. @OptionsHouse Question from CheckersKing - I see a lot of folks talking about about moving averages and support and resistance levels in $VIX. Is this kind of TA useful with $VIX or is it apples to oranges? Question from MoustacheGod - I think I am too late but I pick axe/sword for the zombie apocalypse. What do I win. Jk. But if I am looking at an end times indicator is there one that is better than the rest or is it all about context and grouping multiple indicators together. Crystal Ball: Wild prognostication Last Week: Mark L - 12.50 Mark S. - 12 Russell - 12.80 Ricardo - 13.5 This Week: Mark L. - 12.50 Mark S. - 12 Russell - 12.80

Volatility Review: Today we have special guest co-host: Ricardo Manrique, Executive Director/Index Business Management, Derivatives at MSCI. VIX Cash - 13.12 VVIX - 89, VIX has closed below 13 for 54 consecutive sessions now, the longest streak since Feb. 2007. CBOE Skew Index - 132, dramatically lower than earlier this week, hit a high of 154.34 on March 17. VIX Futures - Front month: .9, Two Month: 1.4 VIX Options: Mon - 785k, Tues - 1.6M, Weds - 917k, Thurs - 512k, ADV - 637k. Total 8.09m (5.77m Calls, 2.32m Puts) VIX Call/Put: 2.5 / 1 OIV/OVX - 29.85 GVZ - 12.58 TYVIX - 4.37 Volatility Voicemail: Listener questions and comments Question from FKSTHLM: Hey you guys discussed put selling on SVXY last week on Volatility Views, without mentioning the risk that this ETP could actually go to zero overnight. Is a doubling of VIX futures overnight impossible to happen in the future? What would happen to open options positions if so? Crystal Ball: Wild and reckless prognostication Last Week: Mark L. - 10.65 Mark S. - 10.90 Russell - 11.11 This Week: Mark L. - 12.50 Mark S. - 12.00 Russell - 12.80 Ricardo - 13.50

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 11.16 VVIX: 75 CBOE Skew Index: 153.66, highest since 6/27/16. VIX Futures, Front month premium to cash - 0.5, Two month - 2 Russell's Weekly Rundown: VIX Options: Mon - 317k, Tues - 578k, Weds - 1.26M, Thurs - 546k, ADV - 605k VIX Call/Put: 2.5 / 1 Total 11.6M We have officially killed the 30 strike! OIV/OVX - 28.22, spiked to nearly 35 last week on WTI sell-off GVZ - 11.07 TYVIX - 4.37 Volatility Voicemail: Options #QuestionoftheWeek $VIX = 11.50, $SNAP IV30 =56, $AAPL IV30 = 14, $OIV= 33. If you had to buy #Volatility-which is the best value? $SNAP - aka Tween Vol $AAPL - aka #iPhone Vol $VIX - aka $VIX $OIV -aka #Crude $VIX Listener questions: Question from MerchantAdventurers - Non jargon...lots are betting VIX goes lower, yes? Question from Grow Your Business - There will be a day in the next 60 days that it will spike big. Should have a pool to see who guesses the correct date. April 13th! Crystal Ball: Wild and reckless prognostication Mark L. - 10.65 Mark S. - 10.90 Russell - 11.11

Volatility Review: Vol Views is live from the 2017 RMC Conference in Dana Point, CA! Mark and Russell are joined by: Bill Luby, VIX and More Ilya Feygin, Managing Director, Wallachbeth Themes from the event include: Kelly criterion How low VIX is Buying options Social media sentiment Steepness of vol term structure Sector movement Weekend risk and the dampening of volatility And more

Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics. He discusses: A overview of Option Metrics and the Feb. 21 release on skew What is the flavor of choice for skew at Option Metrics? Why does he think we are seeing such a bid in VIX futures right now? How does this term structure compare to historical levels? What his your outlook for volatility under Trump? Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 11.71, unchanged from last week. VVIX - 83.61, also unchanged from last week. CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts) SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26. Options Pop Quiz: If $SNAP opens at $17 what price would you give the ATM straddle expiring 3/10? AKA how much movement do you expect? (Our listeners totally called this one) 13% - Between $1 - $2 13% - Between $2 - $3 19% - Between $3 - $4 55% - Over $4 - aka over 23% Volatility Voice Mail: Options #QuestionOfTheWeek $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term? 29% - It won't break 10 again 22% - Between 9-10 22% - Between 8 - 9 27% - Below 8 Question Number 2: $SNAP closed at $24.50. If #Options were available tomorrow would you rather: 45% - Buy 1 month $24 put 11% - Buy 1 month $25 call 19% - Stay the heck away 25% - I would rather sell premium Listener questions and comments: Comment from Hawkeye - Mark, I call MAJOR umbrage for you taking credit for MY idea of calling Russell "Dr. VIX"! As you can see in the forwarded email below, I have it IN WRITING that I proposed that moniker for the good Dr. back on November 17, 2015. You should feel ASHAMED of yourself in your weak attempt to take credit for my idea, ESPECIALLY since I sat right next to you and Uncle Mike at the Lobster and Meatball fest in Chicago a couple years ago, eating tasty steaks on Sebastian dime. Have you no shame, sir? Is your memory that short? Umbrage! I hereby give you permission to send the residual checks to my PayPal account. On another note, here is another idea that you CAN keep: The business show should use as its motto The Business Show! It is an audio train wreck -- you cannot stop listening no matter how much you know you shouldn't. While I am at it, I really like Nick and the new revitalized Futures shows. Even though I do not trade futures options, I still use the concepts to trade some of the ETFs/ETNs. Get the Typhon guys back on and see if you can get the Viceroy and Don S. back on for a mega-reunion show sometime. Keep up the great work! Hawkeye Question from Kmar65 - Have you all covered the situation with Catalyst and the HFXAX fund recently? I try to get to all the webcasts but must have missed it if you had. Expected max drawdown was 5% and they blew through that. Gives one cause for pause re options strategies. would be great to understand how it happened and how it could/should have been avoided. Thanks in advance! Crystal Ball: Your prognostication headquarters Last week: Mark L. - 11.25 Mark S. - 11.50 Russell - 12.34 Guest - 12.65 This week: Mark L. - 11.55 Mark S. - 11.00 Russell - 12.00

Volatility Viewpoint: featuring Tobias Hekster Co-CIO at True Partner Capital USA. He discusses: His background in the volatility space Which products did he trade? The Hong Kong volatility scene What does True Partner Capital do? What does True Partner Capital trade? Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 11.71 and VVIX: 82.20, both almost unchanged from last week. CBOE Skew Index: 141, approaching the 6-month high of 146 set on Jan 20. VIX Futures term structure surprisingly steep, VIX futures bid even though realized volatility remain above 6. Front month premium to cash: 1.9, steeper than last week. Two-month premium to cash: 3.50, much steeper than last week. Russell's Weekly Rundown: VIX Options: A mild volume week. Mon - Closed, Tues - 719k, Wed - 524k, Thurs - 78k, ADV - 575k. VIX Call/Put: 2.6/1. Total 8.57m (6.21m Calls, 2.35m Puts) OIV/OVX: 25.52, oil volatility continues to be crushed. GVZ: 13.68, also continues to erode. TYVIX: 5.29 Volatility Voicemail: So many questions Options #QuestionOfTheWeek: $VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term? It wont break 10 again Between 9-10 Between 8 - 9 Below 8 Question from Fksthlm: VSTOXX vs VIX Frexit risk: your view on this in today's show would be very interesting! Crystal Ball: Wild, reckless prognostication Last week: Mark L. - 10.45, Mark S. - 10.85, Russell - 11.75 This week: Mark L. - 11.25, Mark S. - 11.50, Russell - 12.34, Tobias - 12.65

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - Just under 11.76 VVIX - 80 CBOE Skew Index - 141, approaching 6-month high of 146 set on Jan 20. VIX Futures: Front month premium to cash - 1.25; Two month premium to cash - 2.50. Russell's Weekly Rundown: VIX and Three Day Weekends, by Russell Rhoads, CFA Block Trade Analysis - Large Bullish 1 x 4 VIX Option Trade, by Russell Rhoads, CFA VIX Options: A high volume week, ADV - 559k; Mon - 816k, Tues - 1.3M, Wed - 1.14M, Thurs - 822k; VIX Call/Put: 2.8/1; Total 7.21m (5.18m Calls, 2.03m Puts) Volatility Voicemail: Quizzes, questions, comments Options #QuestionOfTheWeek: Trading single #Calls and #Puts is fine, but smart #Options traders use spreads. What is your go-to spread? Vertical/Ratio Vertical Calendar/Diagonal Butterfly/ Iron Butterfly Iron Condor Listener questions: Question from Nordictan - Is it possible to change the default LiveVol font settings and make it larger? The current setting is simply too small for my multi-monitor setup. My screen devoted to LiveVol is a bit removed from my seating position so I always struggle to read it. A nice pop in the font size would be very useful. Question from Vincent Chase - Why do you say that this earnings cycle is disappointing from a volatility perspective? Crystal Ball: Your headquarters for wild and reckless prognostication. Last week: Mark L - 10.45 Mark S. - 10.85 Russell - 11.75 This week: Mark L. - 11.25 Mark S. - 10.75 Russell - 12.01

Volatility Viewpoint: Today we have special guest: Greg King, REX ETFs CEO/Founder, "The Godfather of VXX." He discusses: The process for launching VXX How did it come about? The process for launching XIV Why make the switch into a short volatility product? What is REX ETF? How do the new products work? Volatility Review: A look back at the week from a volatility perspective. VIX Cash - under 11 VVIX - 85.84 VIX Futures: Front month premium to cash: 1.1. Two month premium to cash: 2.80. Russell's Weekly Rundown: VIX Options: ADV - 559k. Mon - 350k, Tues - 519k, Weds - 886k, Thurs - 691k. Total 9.18m (6.82m Calls, 2.36m Puts). VIX Call/Put: 2.8/1 CBOE Skew Index - 129, down 4.82 (3.6%) OIV/OVX - 29.50 GVZ - 15 TYVIX - 5.40 Crystal Ball: Wild and reckless prognostication. Last week: Mark L. - 10.50! Mark S. - 10.92 Russell - 12.01 GUEST - 11.34 This week: Mark L. - 10.45 Mark S - 10.85 Russell - 11.75

Volatility Viewpoint Featuring Mike Menslage of VolSurface Capital Management. He discusses: What is VolSurface Capital Management? What is their typical strategy and product? What is their take on the new volatility and political regime? Are we destined for a prolonged period of low volatility VIX long-term mean of 20? Why is the 30 strike so popular? Volatility Review: A look back at the week from a volatility perspective VIX Cash: 11.25 VVIX: 88, off its recent highs. VIX Futures: Front month premium to cash: .26; Two months premium to cash: 2.6 Russells Weekly Rundown: VIX Options: Thurs - 327k, Weds - 546k, Tues - 442k, Mon - 745k VIX Call/Put: 2.5/1: Total 7.93m (5.88m Calls, 2.05m Puts) OIV/OVX - 29.50 GVZ - 15 TYVIX - 5.40 Crystal Ball: Wild and reckless prognostication Last week: Mark L. - 11.50 Mark S. - 11.05 Russell - 12.99 Bill Luby - 11.78 This week: Mark L. - 10.50 Mark S. - 10.92 Russell - 12.01

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 10.63 VVIX: 80, off recent highs. VIX Futures: Front month premium to cash: 2.1, two month premium to cash: 3.5 Russell's Weekly Rundown: VIX Options: ADV - 580k; Thurs - 638k, Weds - 613k, Tues - 863k, Mon - 427k; VIX Call/Put: 2.5/1 Earnings season dramatically underwhelming so far. Google, MSFT, INTC, PayPal, SBUX OIV/OVX - 29.50 GVZ - 14.74 TYVIX - 5.65 Volatility Voicemail: Question of the week, plus listeners have their say Options #QuestionOfTheWeek - Lots of earnings on the horizon. Which company will outperform their earnings straddle by the largest margin? Alphabet - $GOOGL Microsoft - $MSFT Intel - $INTC Starbucks - $SBUX Question from VolBug - Hi Mark, Can you and the crew give you assessment of SVXY and whether you think it tracks well and what are some of the vulnerabilities? Thank you sir. Crystal Ball: Your prognostication headquarters Last week: Mark L. - 11.55 Mark S./Andrew - 12.01 Russell - 12.34 This week: Mark L. - 11.50 Mark S. - 11.05 Russell - 12.99 Bill Luby - 11.78

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 13 VVIX - 86 VIX Futures: Front month premium to cash - 1.5; Two month premium to cash - 2.70 Russells Weekly Rundown: VIX Options: A heavy volume week. ADV 554k, Thurs - 405k, Weds - 850k, Tues - approx. 1M, Mon - Closed. VIX Call/Put: 2.9/1. Total 5.4M (4M Calls, 1.4M Puts) OIV/OVX - 30.88 GVZ - 15.17 - Near the low end of a 52-week range. TYVIX - 5.91 Volatility Voicemail: Listeners get their say #Options #QuestionOfTheWeek - Earnings Season awakens! How do you play earnings using options? Are you an Earnings #Jedi or #Sith? Dark Side (Short Premium) Light Side (Long Premium) No Side - Avoid earnings Other (Reply/DM w/ideas) Question from Maryanne - How long do you think this period of low volatility will last? Crystal Ball: Your prognostication headquarters Last week: Mark L. - 12.25 Mark S. - 11.50 Guest - 14.51 This week: Mark L. - 11.55 Andrew - 12.01 Russell - 12.34

Volatility Review: A much quieter start to 2017 than 2016 so far. VIX Cash - 11.54 VVIX - 90.5 VIX Futures: Front month premium to cash: Expect 2017 to be more volatile than last year. VIX Options: A heavy volume week - ADV: 554k; Total 7.5M (5.7m Calls, 1.8m Puts) Oil Volatility: OIV/OVX - 29.87 Volatility Voicemail/QuestionOfTheWeek: $VIX hit a high of 28 last year. How high will $VIX get in 2017? About the same (27-29) Slightly Lower (24-26) Slightly Higher (30 - 33) Much Higher (Above 33) Listener Question from ChilliBill: The fed report from the last show was pretty damning. Any other secret studies on Volcker and Vol lurking out there? Crystal Ball: Wherein the hosts prognosticate on where the VIX will close. Last week: Mark L. - 11.5 Russell - 10.99 Mark S. - 12.01 This week: Mark L. - 12.25 Guest - 14.51 Mark S. - 11.5

Volatility Review: A much quieter start to 2017 than expected. VIX Cash at 11.67. VVIX at 81. VIX Futures: Front month premium at 1.43. 2016 was a good year for the volatility business. From a CBOE press release: Several trading records were set for the year. Russells Weekly Rundown VIX Options: ADV: 544k A fairly light volume week to kick off the new year. Total 5.9M (4.4m Calls, 1.5m Puts) What is the impact of the Volcker Rule of volatility? Oil Volatility: OIV/OVX - 31.5, crude Vol creeping back above 30. Volatility Voicemail: Pop quizzes, questions, and comments Happy New Year! First #QuestionOfTheWeek for 2017. Total #Options volume dropped 2% last year. How will 2017 #Options volume compare? About the Same (+- .5%) Modest Increase (up 1-2%) Modest Drop (down 1-2%) Big Change (+- over 2%) #Volatility Pop Quiz - New Years edition: The trillion dollar question - Where will $VIX close at the end of 2017? Below 12 Between 12-15 Between 15-18 Over 18 Listener questions and comments: Comment from Alaran: I think the 30 strike is popular each month simply because big insurance firms need to hedge themselves against calamitous market events. VIX > 30 = calamitous event in the eyes of many. Question from Julio: In the spirit of the new year, when are we going to get new VIX products? Especially Monday through Friday weekly VIX options? Crystal Ball: Looking into the future Two weeks ago: Mark L. - 11.25 Russell - 12 Ghost of Mark S. - 5.2 This week: Mark L. - 11.5 Russell - 10.99 Mark S. - 12.01

Volatility Review: VIX Cash - 13.45, Where is the Vol coming from? VVIX: 89 VIX Futures: Approx. 1.4 point premium cash vs Jan future, about 1 point narrower than last week. Russells Weekly Rundown Interesting VIX weekly trades VIX Options ADV: 550k A very light volume week. 79k contracts on 12/27, lightest of the year. Total 5.25M (3.95m Calls, 1.3m Puts) Oil Volatility: OIV/OVX: 29 Volatility Voicemail/End of Year Volatility Pop Quiz. $VIX is currently 13.71. Where will $VIX close for 2016? Between 13.75-14 Over 14 Between 13.5 - 13.75 Below 13.50 Listener questions: Question from Tadoom: Biggest volatility surprise of 2016? Mine was Brexit. Question from RealRX: Hey fellas! When Vol is this low and heavy volume in Jan SPY puts of late, what long Vol delta range do you prefer to use in these super cheap premium times? Question from Andrew P.: Which president oversaw the period of greatest volatility? Crystal Ball: Year-end prognosticating Last week: Mark S - 11.25 Russell - 12 Bonus Round - Next year: Russell - low: 12.50, high: 37.37, avg. 17.50 Mark S. - low: 10.50, high: 25.00, avg. 15 Mark L. - low: 10.00, high: 34.50, avg. 15.5

Volatility Review: A look back at the week from a volatility perspective VIX Cash - 11.75 VVIX at 89, rebounding slightly off late-November ow of 79. VIX Futures: Approx. 2.5 point premium cash vs. Jan future. Russells Weekly Rundown: Watching the Dec 28 strike VIX Options: ADV - 550k. A decent volume week, several days over ADV, light volume on Friday. Total 4.80m (3.55m Calls, 1.26m Puts) Crude Oil: Crude Vol continues to be crushed, now below 30. OIV/OVX - 29, what is the new floor for crude volatility? Volatility Voicemail: Listener questions and comments #QuestionOfTheWeek - Major market indices are pushing record highs. Everyone has protection on the brain. How do you protect your portfolio? Just Move to Cash/Bonds Protective ATM/OTM Put Put Spread/Ratio Put Sprd Collar or Collar w/Kicker Question from Ian Wagner - I am confused. Are there tradable RVX options? CBOE has microsite, but not seeing them listed on brokers. Thanks! Question from Eddy - December for volatility; Is this month always the seasonal low for volatility in the year, or is that still reserved for July/August? Crytsal Ball: Wild prognostication ensues Last week: Mark L. - 12.25 Mark S. - 11.5 Russell - 13.5 This week: Mark L. - 11.25 Russell - 12

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 12.3 VVIX: 91 VIX Futures are about 2.5 handle premium between cash & Jan futures. VIX Options: 845K contracts on Tuesday lighter volume the rest of the week. Total 7.79m (5.49m Calls, 2.30m Puts) Oil: Crude Vol continues to be crushed with OIV/OVX at 30. Volatility Voicemail: Question and answer time #QuestionOfTheWeek: Financial advisors represent the last options frontier. What level of options knowledge do you expect from your advisor? None - I'll do it myself Level 1: Buy Puts/Calls Level 2: Income & Vol Level 3:Option Specialist Question from Hitman - Is the crab priced in yet? What about black swan events? Any options indicators shooing one of those may be on the horizon? Question from Vegan - You mention the Fed with regards to equities. Should the Fed really care about what the market is doing? Crystal Ball: In which the hosts guess the close of next week's VIX Last Week: Mark L. - 12.25 Mark S. - 11.5 Russell - 13.5 This Week: Mark L. - 11.75 Andrew - 12.55 Russell - 13

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - 12.3 VVIX - 91 Russells Weekly Rundown: A glimpse into Russells RMC Asia excursion. VIX Options: A heavier volume week this week. Total 6.79m (4.75m Calls, 2.04m Puts) Earnings Volatility: Block Trade Analysis: A buyer of 250,000 XLF Jan 20th 25 calls Oil Vol: Crude Vol gets a smack down. OIV - 32, WTI back over $50 is contributing to the Vol collapse. Volatility Voicemail: Listener questions and comments Comment from JoeSmith78 - Profit taking after FOMC meeting is my guess, why else would they move together? Question from Jackobin - Is it possible to buy a basket of commodity volatility? Maybe an ETF? Crystal Ball: Wild, perhaps reckless prognostication. Last week: Mark L. - 13.5 Mark S. - 14.25 Russell - 21.2 This week: Mark L. - 12.25 Mark S. - 11.5 Russell - 13.5

Volatility Review: The Trump vol selloff seems to have stabilized. VIX Cash: 14. VVIX : 97. VIX Options: Light volume week coming off the holiday, and even mild volume heading into non-farms. Total 5.97m (4.16m Calls, 1.81m Puts). Oil Volatility: OIV: 40. XLE is up 8% since Tuesday, volume 1.5x ADV - calls slight over puts. USO up over 10% Since Tuesday, volume 2x ADV today - calls over put 2-to-1. Volatility Voicemail: Listener questions and comments Comment from Kay Kamra - In regards to Faith in OPEC Deal Turns Options Traders Into Oil Bulls - OVX almost touching July highs...I expect a pullback in OVX and subsequent pop in /CL Comment from Mark Brant - Selling SPX IBs daily reveals Vol variance not apparent in VIX. We need an ATM VIX @CBOE! Question from RealRK - Speaking of bond volatility, if you have time, what do you guys think of bearish put spreads on HYG/JNK/LQD? With yields increasing, why have the high yield bonds lagged? I assume because of the longer term move more in price because of the lower yields moving more in price with short term yield changes, but I see huge put activity every other day in these high yield bond funds. Comment from TJones - VXXLE who knew? Where are those CBOE guys hiding these indexes? Any more up their sleeves? Comment from Tulip Futures - Low for VIX is no signal, high of VIX is signal that forces in world will come and calm things down. Crystal Ball: Prognostication headquarters Last week: Mark L. - 11.75 Mark S. - 12.25 Russell - 14 This week: Mark L. - 13.5 Mark S. - 14.25

It may seem like it was years ago, but Brexit dominated the headlines, and Volatility Views a mere five months ago. In this "Best of Volatility Views" we go back to the episode before the historic vote and look at the ensuing volatility explosion.

Volatility Review: The Trumpocalypse is fading. VIX cash is back below 14. VVIX = 87, back below 100. Russells Weekly Rundown: If a Trump Presidency is scary, why is VIX so low? VIX Options: A lighter volume week than last week - started strong, pushing 1M contracts on Tuesday, but then fell off. Total 3.88m (2.80m Calls, 1.08m Puts) Crude Oil: OIV = 48, elevated compared to recent weeks - spiked to 53 on Wednesday. Volatility Voicemail/Options #Question of the Week $TSLA ($182.50, down 3%, IV30:41, HV30:31) Straddle says $8.20 move (4.5%) by Friday close. How much will $TSLA actually move? 20% - In line: ($8-$8.50) 37% - Beat Straddle: > $8 23% - Less than Straddle: 20% - Sick of #Musk / $TSLA Listener questions and comments: Question from Alex Devers - What does the future hold in terms of social media sentiment and volatility. Is there a social volatility index out there already? If not is this something the folks at CBOE are cooking up? Question from Avec - Has anyone studied the effect of selling weekly options vs monthly options INCLUDING commissions? Seems like that would be a big factor when writing so many contracts. Crystal Ball: Reckless and wild prognostication. Last Week: Mark L. - 15 Mark S. - 12 Russell - 13.5 This Week: Mark L. - 11.75 Mark S. - 12.25 Russell - 14

Volatility Review: The Trumpocalypse is here! What a week! VVIX: 102. So, about last night...Patient volatility seller ended up winning big. Volatility shorts cash in despite the shock U.S. election. Volume in non-U.S. trading hours set a new daily record. Russells Weekly Rundown: VIX Options - A crazy volume week! Mon - 1.05M, Tues - 1.05M, Weds - 1.03M, Thurs - 1.08M Total 7.08m (4.62m Calls, 2.46m Puts) Earnings Volatility: Walt Disney Company Nvidia Nordstrom Volatility Voicemail/Options #QuestionOfTheWeek $SPX Weds Weekly straddle says 2% move through election. How much will SPX / $SPY move through Weds 11/9? Over 3% - crazy move Between 2-3% - big move Between 1-2% - mild move Less thastockn 1% - meh Listener questions and comments: Question from Brian: Hi Mark, your shows are the best known to me. Congratulations on your success. I have a topic/question for Volatility Views. I am trying to get a sense of how viable XIV will be in the long term. Are there red flags for ETFs/ETNs that would indicate whether or not they will go broke at some point? Are the bigger ETFs/ETNs a safer bet or is it the ETFs/ETNs that deal with future contracts the ones that end up in trouble? I appreciate and value your advise. Question from Mike The Bookie: Yeah, the ETF based volatility indexes. Is here a good place to bracket UVXY or VXX? Crystal Ball: Wild prognosticating Last week: Mark L. - 18.50 Mark S. - 10.80 Russell - 23.50 This week: Mark L. - 15.00 Mark S. - 12.00 Russell - 13.50

Volatility Views Election Special Part Two: Volatility After Dark The resurgence of Donald Trump in the U.S. election is weighing heavily on markets around the globe. We break down the historic action in VIX, Dow, SPX and more live on this special late-night episode of Volatility Views.

You want a Volatility Views looking at election volatility in real time? Well, Mark, Russell and the greasy meatball got together and did just that.

Volatility Viewpoint: Today we have special guest David Hait, CEO of OptionMetrics. He discusses: What is OptionMetrics? An overview of the white paper on VIX Variation OptionMetrics recently released What are the key takeaways? The methodology for the study The upcoming OptionMetrics Research Conference Volatiltiy Review: VIX surging well north of the 20-handle. VVIX is up to 120. VIX Options heavy volume week: Mon - 397k Tues - 731k Weds - 602k Thurs - 882k Total 6.02m (4.52m Calls, 1.50m Puts) Russell's Weekly Rundown: November 9 VIX futures focus. You will NOT be able to capture (most) election returns with that expiration. SPX weeklies and event risk Volatility Voicemail/Options #QuestionOfTheWeek: Special #Earnings, #Election, #WorldSeries edition $FB ATM strd=$7.30 $VIX=17.20. Which outcome is most likely? $VIX > 20 before election $FB beats ATM Straddle @realDonaldTrump wins @Cubs win World Series Crystal Ball: Wild prognosticating Last week: Mark L. - 16 Mark S. - 17.15 Andrew - 17.50 Bill L. - 15.43 This week: Mark L - 18.50 Russell - 10.80

Volatility Review: Today we have on Bill Luby of VIX and More fame. VIX Cash: 15.36 VIX Options: Total 5.11m (3.92m Calls, 1.19m Puts) Strategy index offers cues to derivatives investors seeking to enhance potential yields. Volatility Voicemail/Options #QuestionOfTheWeek Is #Trumpocalypse done? Is $VIX already pricing in @HillaryClinton win? Where will $VIX close on election day? UNCHD (Between 12-14 ) Elevated (15-18) Spike (Over 18) Selloff (Below 12) Listener questions: Comment from Al Melvin - VIX is the best mathematical equation in history! Question from Andrew Simon - What would it take to get a VIX of 200? Is that even possible or does that mean the Earth would explode? Crystal Ball: Wild and reckless prognostication Last Week: Mark L. - 13.75 Mark S. - 12.5 Russell - 13.3333 This Week: Mark L. - 16 Mark S. - 17.50 Bill - 15.43

VOLATILITY REVIEW VIX Cash - 13.34 Russells paper link: https://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/accounting--finance/Park-PriceDislocationandPriceDiscoveryintheSP500OptionsandV....pdf VIX Options Strong volume on Tues, 10/18: 780k, but light volume the rest of the week. Total 4.30m (3.24m Calls, 1.05m Puts) The VIX: Not so fearsome after all? - by David Hait http://blogs.barrons.com/focusonfunds/2016/10/21/the-vix-not-so-fearsome-after-all/ VOLATILITY VOICEMAIL Question from Avery - I found the discussion and the "point" made by ThinkTankTrading extremely confusing. Is this really something to worry about or, as Mark suggested, is it really a distinction without a difference? VXX erodes predictably. Does it really matter if its is caused by roll yield or stampeding elephants? Question from Tom from NYC - Love the Vol Views. Been thinking about that 1x2 call vertical in VIX. Would flipping the script also work? So instead of selling 1 buying 2 calls you would BUY 1 ATM VIX PUT and then Sell 2 OTM VIX PUTS. You could capture a downside move in VIX without spending a lot. While you are short an extra VIX put you would not have the same worry of being short a VIX call because the downside risk of VIX is limited. Thanks and hope you read my question. Question from JonasBro - What does CBOE acquisition of BATS mean for the future of SPYIX? Is it dead? Also an update please on VolDex and VIXUP / VIXDN? CRYSTAL BALL Last Week: Ghost of Mark S - 9.99, Mark L. - 13.50, Russell - 17 This Week: Mark S. - 12.5, Mark L. - 13.75, Russell - 13.3333

Volatility Review: VIX cash/futures finally connect: we've been wondering for the past few weeks whether VIX cash would rally to the future or the future would drop to the cash. We finally have our answer. Oh, and VXX is NOT VIX. Volatility Voicemail: Listener questions and comments Question from Bill Chace: Hi Russ. What indicator do you use to help determine future movements of VIX? And how reliable are they? Question from Bobby: I've noticed moves in the currencies lately. Is this increased volatility good for premium sellers in currency options? Question from Vegan: Do you use VIX as a relative strength indicator vs. ES? What tends to lead the dance: S&P or VIX? Comment from Itzprav: VIX will be back to 11 next week - referring to headline "How high will the VIX get?" Comment from Highlander: Yes, it's only $46 Trillion backing mortgages & loans for hundreds of millions of people. It'll be fine. Question from LV87: Single name VIXes. What's up there? Can I actually buy Amazon VIX? Question/comment of the week winner!!!!: dmcxkxjzpo Commen from Kid Sinclair: When does your new album drop? :) I love your latest single "F**k a maintenance call" was that inspired from Brexit? Comment from Mark Brandt: VIX reverse investment skew is a gold mine if you can see the big picture Question from Billivanilli: I'm a bit confused. Why do so many people trade that 1x2 call spread in VIX? Seems like you guys discuss it on every show. Is it really that effective? What am I missing? Crystal Ball: Wild prognostication This Week: Mark S: 9.99 Mark L: 13.50 Russell: 17 Last week: Mark L: 12.25 Mark S: 12.75 Guest: 12.98 Russell: 12.95

Volatility Review featuring Mike Thompson, Portfolio Manager, Typhon Capital What is up with VIX term structure? How is Typhon Capital working with this contango? Hint: reverse mullet, AKA Tellum. Russell's Weekly Rundown CBOE Holdings reports September 2016 trading volume: Total ADV Up 25% from August 2016, 3% from a year ago. Highlights: September Index options traded at CBOE and C2 had an ADV of 1.8 million contracts, up 24 percent from August 2016. SPX options ADV of 1.1 million contracts up 26 percent from August 2016. New Study: CBOE and Fund Evaluation Group, LLC announced findings from a study of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options. VIX Cash: Back below 13 handle. When might we see #Trumpocalypse? How would a Cubs World Series victory impact the VIX? Volatility Voicemail: Listener questions and comments Comment from AlphaJack: Cool piece in Barrons about XIV. Reminded me of what you guys always talk about with these inverse products and the roll risk. Short Term only! Buyer beware! Worth discussing on a show? Comment from ThinkTankTrading: The VXX roll yield is a net neutral roll and the drag is from the rest of the holdings decaying down the curve. VXX roll is like trading a dollar for four quarters they are rolling notional values not equal contract amounts. If the roll yield caused the drag Barclays would be broke. 1/30th roll isn't the issue it's the 29/30 that's now decayed. https://sixfigureinvesting.com/2016/09/the-cost-of-contango-its-not-the-daily-roll/ Question from Jim Collins: Are transcripts available for Russell's interviews? (after last episode when talking about CBOE/RMC) Crystal Ball: Prognosticating and speculating Last week: Mark L. - 12.6 Mark S. - 14.5 Russell - 13.70 This week: Mark L. - 12.25 Mark S. - 12.75 Mike - 12.98 Russell - 12.95

Volatility Review: CBOE just concluded the Risk Management Conference in Europe. They will soon introduce the CBOE S&P 500 Smile Index. At the event, they released a new study of of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options, looking at various aspects of their performance over a 15-year period spanning 2001 through 2016. Russell gives a rundown of the new products coming your way, themes overheard and the event, and more. What else happened in the market this week? Deutsche Bank debacle. Russell's Weekly Rundown: VIX Weeklys and harvesting volatility Is the Deutsche Bank issue just a reissue of Bear Stearns from 2008? Crude oil vol spiked to 45 earlier this week. Calls are finally springing back to life leading into the OPEC announcement No one wants gold premium Volatility Voicemail: Listener questions and comments Question from Mort: My question is: In terms of SKEW, how do you think about the difference in CBOE SKEW and CSFB. At it's simplest, it appears CBOE is 30 day and CSFB is 3 month measure of demand for downside protection vs upside calls. Other than the difference in time-frame, how should one think about the two as indicators of market sentiment? Comment from last week's show: What flavor would a $VIX slurpee be? @Emanuel_Wynne: Is worthless a flavor? Options #QuestionOfTheWeek: How will the election impact $VIX? Are we heading for #Trump-ocalypse or #Clint-astrophe? Share your feelings. Spike > 20 - Blame Trump Spike > 20 - Blame Clinton No impact (12-14 range) Modest Increase (15-20) Crystal Ball: Wild prognosticating Last Week: Mark L. - 11.60 Mark S./Andrew - 12.25 Russell - 13.40 This Week: Mark L. - 12.60 Mark S. - 14.50 Russell - 13.70

Volatility Review: A look back at the week from a volatility perspective VIX cash: Janet & Co. crushed vol. VIX cash back in the toilet, but futures are still rich 30-day HV: 11 30-day IV: 10 VXX: Futures setting up for a VXX implosion VVIX: at 89, or 20 handles lower than last week Russell's Weekly Rundown: 1000-lot VIX weekly trades creates a synthetic VIX collar Two-way action in the VIX Sep28 13 calls The week in VIX volume: Monday: 546,000 Tuesday: 661,000 Wednesday: 727,000 Thursday: 751,000 Crude OIV/OVX: 40. Same as last week Gold GVZ: 13.73. Close to a 52-week low Volatility Voicemail: Listener questions and comments Comment from Jim Investor: Shortsighted market over focused on Yellen. Soon they eye Trump widening lead in battleground states Comment from John King: Since #SPX has 15+ "non-standard" expirations/month VS 1 "standard" -isn't it time @CBOE truly standardizes the monthly? Comment from Mark Brant: Sell VIX 2M CV (X+5) (X+9) daily thru settlement (regression). X=ATM. Risk 1% $4 daily. Sold today's SPX IB wide 4X every 10 points today! Dailies rock! Comment from ThinkTankTrading: all right,- first my question gets on volatility voice mail, Next the world muhahahaha evil laugh. Crystal Ball: In which the VIX giveth and taketh away Last week: Mark L. - 11.75 Mark S. - 12.50 Russell - 12.99 This week: Andrew - 12.25 Russell - 13.40 Mark L. - 11.60

Volatility Review: A look back at the week from a volatility perspective VIX Cash: High of 19.12 earlier this week. 30-Day HVOL: 11; 30-Day IVOL: 14 VVIX: Currently at 109 with a high of 116 this week Russells Weekly Rundown: VIX Options: A very active week. Mon - 951k, Tues - 1.3M!, Weds - 656k; Total 8.06m (5.62m Calls, 2.44m Puts) Crude: OIV/OVX: 40 - Retreating from a recent spike up to nearly 46. Gold: 30-Day HVOL: 10.7% - Near the bottom end of the 52 week range. 30-Day IV: 15% - Only in the 23rd percentile Volatility Voicemail: Listener questions and comments Question from Erik Leland - Saw VIX 1x2s going up this week. Is it that season again? Question from JVac - What about a mini VIX option? Question from TC - U.S. has VIX. Europe has VSTOXX. What is the Asian equivalent? Nifty VIX? It hardly seems comparable. Is there a Chinese or Japanese Vol product? Question from CVortt3 - This guy says you should ignore VIX. Agree? Please discuss on Vol Views - http://etfdailynews.com/2016/09/16/heres-why-investors-should-ignore-the-vix/ Question from ThinkTankTrading: Can you ask Russell Rhoads why he blocked me? That is my question for your show. Thanks in advance Crystal Ball: Reckless prognostication Where will the VIX close this week: Mark L. - 15 Mark S. - 15.75 Russell - 16.5

Volatility Review: A look back at the week from a volatility perspective VIX Cash: Back above 12; 30-day HV - 5; 30-day IV - 11 VVIX: 85 Russell's Weekly Rundown: Interesting trade in the weekly VIX options. VIX Options: Truncated trading week Crude Oil: Mixed signals this week. WSJ: Crude stock drop sparks rally. Volatility Voicemail: Listener questions and comments Question from Joshua Shealy: Thanks so much for all that you guys do! Sorry if this is a novice question. I know that Delta is not literally the % chance of expiring in the money, but more so the rate of change for a $1 movement in the underlying. I noticed today (8/26/16) looking at VIX Dec Calls that the strike closest to .5 Delta is the 20 strike, a long way from ATM. I usually associate near .50 Delta with being near ATM. Is this just a nuance of VIX, or am I missing something bigger? Thanks! Question from Dr. Larry: Hi Mark. Andrew mentioned buying stocks and buying covered long term puts when IV is so low. I wonder your opinion on my favorite low Vol strategy: Buy ETFs, preferably non-correlated underlyings and some with dividends. Example: DIA, SPY, TLT, GLD, multiple sectors, foreign markets… I then buy the longest dating LEAPS available with strikes 5% under current price of underlying. I then sell covered calls every 30-60 days that are one to two strikes or 3-5% or more, out of the money. Management: ETF stays same, roll short calls out. ETF goes up a little, roll short calls up and out. ETF goes up a lot, called away, re-establish covered call, roll leap up. ETF goes down a little, roll short calls same or down strike assuming still above leap strike. ETF goes down a lot, take profit on leap, re-establish lower strike leap, roll short call down but above leap strike 1-year later, roll Long leaps out one year if IV still low. Close positions if IV is high and wait for lower iv again. I add to positions monthly by buying diagonals, long LEAP, short at the money call and either get assigned on short call, or roll short calls. If and when IV goes up my long puts make more or lose less, and I can sell more call premium which covers the entire price of my long puts after a few rolls. Sorry for long email. I hope you can discuss on the air. While I listen to almost all shows I occasionally miss due to work obligations. Can you alert me of when it airs if you discuss this? Thanks. Dr. Larry in NYC - PS: tell Sebastian he never returned my call. Question from Joneil: Heard someone talking about the VVIX/VIX ratio. Did not make much sense to me. Is that something you guys track? Crystal Ball: Wild and reckless prognostication Last week: Mark L. - 11.75 Mark S. - 12.50 Russell - 12.99 This week: Mark L. - 14.5 Mark S. - 13 Russell - 17

Volatility Viewpoint: Today we have a very special guest, Ricardo Manrique, Executive Director of Index Business Management and Derivatives at MSCI. He discusses: An overview of MSCI Inroads into options and volatility, especially through CBOE partnership Meeting investor demand for products related to international equities How does Russell incorporate these indexes into his analysis? Will there be futures listed on the idexes? Domestic versus international companies Listener questions Volatility Review: A look back at the week from a volatility perspective VIX cash: Remained above 13 most of the week primarily due to impending non-farms. 30-Day HVOL: 5; 30-Day IVOL: 12 VIX Futures: Oct premium 3.3. points to cash, down from 5 points a few weeks ago. Russells Weekly Rundown How are the Monday SPX weeklies fairing? VIX Options: Mon: 192k, Tues: 205k, Weds: 276k, Thurs: 309K; Total 6.86m (4.80m Calls, 2.06m Puts) Crude Oil: Crude taking in on the chin again this week. OIV/OVX: 41 Crystal Ball: Predicting and prognosticating. This Week: Mark L.: 11.75 Mark S.: 12.50 Russell: 12.99

Volatility Review: A look back at the week from a volatility perspective VIX Cash: Spiked over 14 this week thanks to Yellen & Co. What will remain of vol after Yellen!? 21-day S&P realized Vol as of Wed. was 4.92. Buy volatility ahead of a jam-packed 'Policy Month,' says Bank of America/Merrill Lynch. VIX Futures: Futures extremely rich with significant premium to cash. Oct future $5 premium to cash last week. VVIX: 85.43 Russells Weekly Rundown Featured VIX Weekly trades: An anemic volume week: Mon., 362k, Tue., 415k, Wed., 615k, Thu., 290k, Total 6.43m (4.58m Calls, 1.85m Puts) Earnings Volatility: HPQ Paper bought about 25,000 HPQ Sep. 16 calls for $0.10. Stock down post-earnings. Sep. 16 calls now offered at $0.02, still 25k open on the strike. Crude Oil: USO = 10.95 OIV/OVX: 37: Less than half of peak levels back in Feb. USO Skew: Still bid toward the puts, with the exception of Jan 17. Gold Crystal Ball: Where will the VIX close? This week: Russell - 11.90 Andrew - 12.10 Mark L. - 11.50

Volatility Reivew: A look back at the week from a volatility perspective VIX Cash: Spiked to nearly 14 this week before dropping back below 12. VIX Futues: Crazy term structure a hot topic last week. Follow up question from JJK: Thanks for discussing my question on the show last week. If anything it seems like the futures premium to cash has increased with futures premium to cash has increased with Oct future 5 handles above cash. What am I missing? Earnings season is done and FOMC in rear view mirror for now. Is this just pricing in unease over current market valuations? VVIX: 82.83. Well off levels from last week. Russell Weekly Rundown How was the first week for Monday SPX Weeklies? VIX Options: Mon 501k, Tues 526k, Weds 570k, Thurs 481k, Total 5.40m (3.72m Calls, 1.68m Puts) Options #QuestionoftheWeek: $VRX $26.66 up 7% Monday. IV30 is 63. HV30 is 99. Looking out one month would you rather Buy Calls? Buy Puts? Sell Premium Sill not touch $VRX Crude Oil: OIV/OVX 35: Less than half of peak levels back in February. Volatility Voicemail: Listener questions and comments Comment from Mark Brand: Really excited about SPX Mondays! Like TGM said on VV, great weekend risk trade or fade! Question from James Aldo: Re: Circuit breakers talk last week. Is i correct to assume that circuit breakers that are too tight can actually increase volatility? Or is that a myth? Crystal Ball: Where do the hosts think VIX will close this week? Mark L.: Was 11.25 last week, sticking with it. Russell: 11.75 Ghost of Mark S.: 7.7

Volatility Review: A look at the week from an options perspective. VIX cash: Hit 52 week low this week: 11.02 VIX futures: Question from JJK: The Sep VIX futures are trading over $3 premium to cash. Seems pretty steep. Is the market pricing in a big sell-off in the near future? VVIX: Currently at 96.78 VIX Options: Mon: 660k, Tues: 765k, Weds: 635k, Thurs: 603k; Total 7.36m (5.10m Calls, 2.26m Puts) Crude Oil Gold Volatility Voicemail: Listener questions and comments Question from Service Dog: Do stock market circuit breakers have a significant impact on market volatility? Question from MoneyPenney: How does VXX work? Crystal Ball: Where will the VIX close? Last week: Mark L.: 11.15 Mark S.: 10.25 This week: Mark L.: 11.25 Mark S.: 11 Russell: 13

Volatility Review: Breaking down the week from a volatility perspective VIX cash: 11.39; hits a 52-week low. VVIX: 88.14. Back below 100, but still elevated. Russells Weekly Rundown VIX Options: Moderate volume this week. Mon: 547k, Tues: 522k, Weds: 367k, Thurs: 512k; Total 6.69m (4.44m Calls, 2.25m Puts) Earnings Volatility: TSLA stock at $225 on earnings. ATM straddle approx. $14.70 - 6.5%. Open unchanged. Closed up approx $5. Missed by nearly $10. Crude Oil: OIV: 42, OVX: 42 Volatility Voicemail :Listener questions and comments Question from NTC34: Heard you guys on #OptionBlock discussing using options with stock to speculate on volatility. Can you explain that? How does buying a call and selling stock give you a pure volatility position? Question from AuntH: What is up with RVX? Crystal Ball: Spinning the wheel of where the VIX will close. Last week: Russell: 13.05 Andrew: 12.40 Mark L.: 11.75 This week: Mark L.: 11.15 Mark S.: 10.25 Russell: 12

Volatility Review: A look back at the week from a volatility perspective VIX Cash: 12.39 VVIX: 89.33. Back below 100, but still elevated Russell's Weekly Rundown VIX Options: A light options week Mon: 625k, Tues: 415k, Weds: 534k, Thurs: 475k; Total 6.07m (4.17m Calls, 1.91m Puts) CBOE quarterly profits jumped 13.6 pct on increased volatility Options traders are feeling good about Alphabet shares. Crude Oil: OIV: 42.91; OVX: 42.33 Volatility Voicemail: Listener questions and comments Question from DK from DC: What is the difference between the front month VIX future and the VIX cash? Question from Big Jim Wheeloff: Why are options so damn expensive? At this rate I will go broke hedging my 401k. Crystal Ball: VIX predictions Last week: Mark L.: 11.5 Andrew: 9.5 Russell: 17.35 Bill Luby (Guest from last week): 12.71 This week: Russell: 13.05 Andrew: 12.40 (with an 11-handle dip) Mark L.: 11.75

Volatility Review, featuring special guest: Bill Luby from VIX and More. VIX Cash: 12.18; Earnings season and the Fed not injecting substantial volatility into the marketplace VIX Futures: Still surprising premium to cash VVIX: 88.42. Back below 100, but still elevated VIX Options: A light volume week across the board in all products, including VIX Mon: 557k, Tues: 774k, Weds: 338k, Thurs: 566k, Fri: 163k Total 4.95m (3.41m Calls, 1.54m Puts) Earnings Volatility: Big names on the earning docket this week: AT&T (T) Chipotle Mexican Grill (CME) E*Trade Financial (ETFC) Crude Oil: OIV: 39 OVX:39 Volatility Voicemail: Listener questions and comments Question from AL08: IV or HV. Which is most important? Which should I pay attention to? Question from Jack King: What is the primary driver of volatility, skew puts or calls? Crystal Ball: Guess the closing price of the VIX Last Week: Mark L.: 13.25 Andrew: 12.25 Russell: 13.51 This Week: Mark L.: 11.5 Mark S.: 9.5 Russell: 17.35 Bill: 12.71

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: 12.82, lower than expected. VVIX: 86, back below 100 but still elevated. Russells Weekly Rundown VIX Weeklies updates VIX Options: Mon: 461K, Tues: 233K, Weds: 475K, Thurs: 905K Total 8.12m (5.46m Calls, 2.67m Puts) Barclays breaks down best Vol trades in June. Crude Oil Gold Volatility Voicemail: Listener questions and comments Question from Vegas: Regarding VIX, we were at all-time highs in ES when we made the top of the yearly range and VIX was at a low level around 10. Now we're higher and VIX can't break 13.50 to the downside. What's the deal? Crystal Ball: It's time for everyone's favorite game, where will the VIX close? Last Week: Mark L.: 15 Mark S.: 13.5 Russell: 16.27 This Week: Mark L.: 13.25 Andrew: 12.25 Russell: 13.51

Volatility Review: A look back at the week from a volatility perspective VIX Cash: About 15, lower than predicted. VVIX: 90, back below 100, but still elevated. Russells Weekly Rundown: Weekly Futures VIX Options: A light post-holiday week. Tues: 585k, Weds: 437k, Thurs: 386k, Total 7.15m (4.54m Calls, 2.62m Puts) Earnings Volatility VRX: Bullish options bets surge on Valeant Crude Oil: Back in the toilet. OIV: 43, OVX: 43 Volatility Voicemail: Listener questions and comments Question from Engstromm: Can I trade OVX? Question from StGermain: When is it preferable to use VIX Options and when is it better to use VIX Futures? Crystal Ball: Wild prognostication ensues Last Week: Mark L.:19 Mark S.:15 Russell: 18 This Week Mark L.: 15 Mark S.: 13.5 Russell: 16.25

Volatility Review: Brexit, Brexit, Brexit!!! Weekly Options Insider Poll - Do you think the UK will make a Brexit from the EU? Yah - 24% Nah - 43% I am sick of Brexit - 33% Volatility Voicemail: Listener questions and comments Question from Tronghi: Detailed thoughts on VIX futures curve as of June 15. Question from JVon: What strategies don't work for the short VIX ratio call spread. Question from BB Wins: Can you give me an example of good strikes for a VIX 1-by-2 ratio spread if I use open interest as an indicator? Crystal Ball: Where will the VIX close before the long holiday weekend? Russell: 12 Mark S.: 26 Mark L.: 21