Volatility Views

Volatility Viewpoint: Today we are joined by Jack Fonss, CEO of Accushares. He discusses: An overview of VXUP / VXDN What is the current affiliation Prof. Whaley has with Accushares? Recent changes and the thought process behind them. Volatility Review: A look back at the week from a volatility perspective VIX Cash: A crazy week for VIX. Vol soared on Monday. Volatility still very elevated post-FOMC Russells Weekly Rundown: VIX Options: Total 5.62m (3.73m Calls, 1.89m Puts) Crystal Ball: It's time for everyone's favorite game: Where will the VIX close on Friday? Last week: Russell: 16.5 Mark S.: 18.01 Mark L.: 15.5 Next week: Russell: 18.5 Mark S.: 15 Mark L.: 17

Volatility Review: A look back at the week from a volatility perspective VIX Cash: High: 16.27 today. VIX remains somewhat muted heading into FOMC next week and Brexit the following week. VIX Futures: All-time record high OI for VIX Futures: 501,835 on June 7 VVIX: Creeping back up toward the high of recent range. VVIX: 90. VXX: 13.20 XIV: 32.56 Russells Weekly Rundown VIX Options: Mon: 732k, Tues: 552k, Weds: 472k, Thurs: 585k. Total 7.85m (5.75m Calls, 2.10m Puts) Soybean Vol: Still crazy town in soybean volatility. Volatility Voicemail: Listener questions and comments Question from 777: Does the many VIX tradable products influence the underlying index to any great extent? Is the tail waging the dog? Question from Skiball: Where do you see the VIX going and how will it impact stock picking in this market? Crystal Ball: Russell finally gets the win by being the least-wrong with the 15.25 guess. Where will the VIX close on Friday? Don't discount FOMC, Brexit. Russell: 16.5 Mark S.: 18.01 Mark L.: 15.5

Volatility Viewpoint: Today we are featuring Taylor Lukof, CEO of ABR Dynamic Funds. ABR recently introduced their new "smart volatility" mutual fund: The ABR Dynamic Blend Equity and Volatility Fund (ABRVX). What is it? How does it work? What next for ABR? Volatility Review: A look back at the week from a volatility perspective The impact of Non-farms on volatility. VIX Cash: High of 15.25 on Weds - 13.63 today. VVIX: 79.54 - near the low end of the recent range. VXX: 13.09 XIV: 32.82 Russells Weekly Rundown Russell Twitter picture is here VIX Options: Tues - 655k, Weds - 300k, Thurs - 549k, Total 6.79m (4.85m Calls, 1.94m Puts) Crude Oil: OVX/OIV: 36.64 - dramatically lower than earlier in the year. Volatility Voicemail: Listener questions and comments Question from Gabe - How can something like the VIX be technically oversold? Crystal Ball: It's time for everyone's favorite game "Where will the VIX close?" Last week: Mark L. - 13.50 Andrew - 12.95 This week: Taylor - 14.25 Mark L. - 13 Russell - 15.25 Mark S. - 14.25

Volatility Review: A look at the week from a volatility perspective. VVIX: 77.50 on the low end of the recent range. Russells Weekly Rundown: VIX Options: Mon - 206k, Tues - 560k, Weds - 592k, Thurs - 266k. Total 6.34m (4.55m Calls, 1.78m Puts) XIV: Hit 29.98 this year - the highest level of the year. Relative strength above 60 and rising which points to continued complacency in the marketplace. Crystal Ball: In which we predict the closing price of VIX. Andrew - 12.95 Mark L. - 13.5

Volatility Review: What happened this week in volatility? Much ado about nothing? Vol higher, but range is another story Why does VIX sometimes understate volatility? Why aren't people using weeklies strategically? Russell channels Columbo Volume and OI low as nothing looming on the economic calendar What will the Fed to, and when? Headlines versus revisions RUT = growth; SPX = value? Why hasn't OVX dropped given the underlying? Crystal Ball: Where will the VIX close on Friday? Russell: 14.75. Memorial day is coming, that means an extra headwind is coming our way. Mark S.:Below 14 at 12:30 central time, but 15 at 3:00 pm central time. People taking things easy, with a big vol dump on the 25th and 26th.

Volatility Views 204: Live - to Tape - from OIC 2016 This time, we are coming to you live (to tape) from OIC 2016, but fear not...Russell Rhoads was there, too. Volatility Review: Red on the screen means green for the VIX. 16 will be over/under for high/low on VIX going forward. VVIX is back above 90, though, and that's pretty high. Earnings season starting to wane. Slow decline of ESPN weighing on DIS earnings. Shake Shack. Russell's Weekly Rundown: May 11 auctions, May 18 expiration Why is VXX more successful than other, similar products? Crystal Ball: Wild prognosticating. Russell offers the WILD idea of predicting May VIX settlement. Russell: 15.27 Mark: 14.70

Volatility Review: CBOE Livevol launches new data shop website: datashop.cboe.com. Non-farms and volatility: VIX can be deceiving as steep curve shows uncertainty. New VIX ETFs: VMAX/VMIN. Russells Weekly Rundown: VIX Options: A light volume week overall: only one day even remotely exceeding ADV. Total 7.63m (5.58m Calls, 2.05m Puts) Earnings: Last week premium buyers won the day, this week premium sellers are in charge. ATVI - $34.60, ATM straddle $2.45, approx. 7% Question of the Week Earnings Straddle Battle edition: Which will be more accurate TSLA $20 (8%) or BABA $4.70 (6%) ? 26% Tesla 31% Baba. 17% Sell both! 26% Buy both! Volatility Voicemail: Listener questions and comments Question from Topcat - Are options less risky and volatile than contracts for difference? Comment from Mark Brant - Since VIX inception, VIX trends up from July to Oct. every year! Just like seasonality in grains!Sweet! @Options ATO: Selling 1k July 18 Puts to buy 2k July 29 Calls for even money! Really liking this play! Crystal Ball: It's time for everyone's favorite game: Guess where VIX will close. Here are the predictions from when we last met: Russell - 18 Andrew -15 Mark L. - 15.5 And for this week: Russell - 15.5 Mark S. - 13 Mark L. - 14

Volatility Review: A look back at the week from a volatilityperspective. VIX cash: Creeping back up - a crazy day, almost all of ourpredictions were valid today. Russells Weekly Rundown: VIX Options: A light volume week overall - only on day evenremotely exceeding ADV. Lots of put love on Friday: Total 7.26m(5.41m Calls, 1.85m Puts) Earnings Volatility: A bad time for premium sellers. Most ofthe major names reporting the past few weeks have blown throughtheir straddles - AAPL, MSFT, GOOG, FB, AMZN Volatility Voicemail: Listener questions and comments Comment from Mark Melin - @RussellRhoads Talk about"anticipatory" nature of VIX futures. I have known several fundmanagers to play this as mean reversion Comment from John K. - One of the Tyler Durdens @zerohedge is a"Credit Derivatives Strategist" @Options: Discuss. Question from R_Chang - The VIX is hovering at 2016 lows. Isthis a good time to buy VIX calls to profit from a potential roarback into the 20s or beyond? Crystal Ball: It's time for everyone's favorite game "Where willthe VIX close?!" Last Week: Russell - 16 Mark S. - 13.5 Mark L. - 14.5 This Week: Russell - 18 Andrew - 15 Mark L. - 15.5

Volatility Review: The VIX has traded below 20 for 37 straight days, the longest such streak in 13 months. The gauge slid 2.2 percent to 13.64 at 9:48 a.m. in New York. Russells Weekly Rundown: VIX Options: A strong volume week - particularly Wednesday. Total 6.83m (5.32m Calls, 1.51m Puts) SEC extends test period to curb U.S. market volatility Big Earnings Week: GOOG, Goldman, INTC, IBM, MSFT, NFLX, SBUX, Southwest, United Airlines, YHOO. Crude Oil: OIV/OVX - 43.50, almost touched 80 back in mid-February. Gold: GVZ 17.90 - well off recent highs. Crystal Ball: What are the VIX predictions? To review, last week: Mark L. - 15.5 Mark S. - 14 Russell - 17 This week: Mark S. - 13.50 Russell - 16 Mark L. - 14.5

Volatility Review: VIX got crushed, VIX IV did not. CBOE announced it has created a series of 13 "Buffer Protect Indexes." Russells Weekly Rundown: VIX Options: A strong volume week - particularly Wednesday (1.08M). Total 8.52M (6.46M Calls, 2.07M Puts) Trading hours for RVX Futures expanded - new start time 7:30am CST. Earning volatility this week: Alcoa, Citigroup, JP Morgan Chase, Bank of America, Delta Airlines Crude Oil: OIV/OVX - up 9% to $50.50. WTI Crude - 3% into oil meeting. Gold: GVZ 17.83 - well off recent highs. Volatility Voice mail: Listener questions and comments Question from LosAngelino: What happened to the single name VIXes? You guys talked about them on the show years ago for names like Apple and Amazon. But I do not see them trading anywhere. Were they ever listed? Question from Nick C. - Do OTM VIX calls suffer from the same inflated volatility premium as S&P 500 OTM puts? If so does it not make them both prohibitively expensive to use as a hedging vehicle? Crystal Ball: Last episode the VIX guesses were: Mark L. - 14.5 Russell - 17 Mark S. - 15.5 Big earnings week next week: GOOG, Goldman, INTC, IBM, MSFT, NFLX, Southwest, United Airlines, YHOO

Volatility Review: Russells Weekly Rundown VIX Options: A moderate volume week. M: 266K T: 400K W: 572K Th: 614K Total 7.45m (5.73m Calls, 1.72m Puts) Crude Oil: OIV/OVX - 46, almost touched 80 back in mid-February. Gold: GVZ 19.32 - Well off recent highs. Volatility Voicemail: One giant listener question. Question from Jeremy - Hi Guys, This show is a great resource and has taught me a lot throughout the years. I was listening to the most recent show on March 11th "Uncovered Covered Calls and IRA Options Debate" and I wanted to write in regarding the discussion on dynamic hedging of a short option position. First, let me quickly introduce myself to provide some context. My name is Jeremy and I am in the final year of my PhD in computer engineering with a MS in applied mathematics and statistics and a BS in math. I have spent the past 4+ years researching for the NASA Ames Research Center. My PhD research focuses on the modeling, simulation and analysis of stochastic processes and the application of optimization algorithms to the air traffic control system. Here is a link to my LinkedIn to verify my academic record and list of publications. In addition to my PhD research, I am working on starting a fund with two other academics. The fund specializes in delta neutral trading and has developed two tools to execute volatility premium harvesting strategies. I provide a short description of the tools below. In particular, the second tool is directly related to the dynamic hedging of a short option position and the discussion on the previous show. 1) Our stochastic volatility tool estimates volatility using high-frequency data, such that the microstructure noise is directly accounted for. The tool uses a Bayesian MCMC algorithm to provide estimates of the volatility where estimates are consistent across all sampling time scales. Moreover, the tool provides samples of arbitrarily large number of volatility paths though time. 2) Our stochastic optimal control tool to hedge a short option position (or a combination of short option positions). After the option is sold, the risk can be controlled by effecient delta hedging. This can be done by calculating the optimal price boundaries to trigger a hedge in the underlying asset. Moreover, these boundaries are informed by the dynamics of the volatility as calculated from our stochastic volatility tool. The strategy that the Greasy Meatball provided on the show to hedge the short option at the close of every trading day is a good start. The problem with the strategy is that this approach is a sub-optimal timing mechanism. Many days you will hedge at the close when you don't need to, leading to increased trasaction costs. Instead, this problem should be formulated as an optimization problem that we can solve to provide the best strategy. A little background on the academic literature. In an ideal world under the Black Scholes model with no transaction costs the options can be hedged perfectly. In the presence of transaction costs, a continuous hedging strategy is prohibitively expensive. Hence, it is impossible to perfectly replicate the option in this setting when there are transaction costs and, as a result, trading in an option involves an essential element of risk. How to optimize with respect to this risk and uncertainty has been a topic of research throughout the economic and control literature. There have been many different strategies throughout the years. Briefly I will present one strategy which minimizes the standard deviation of hedging error when compared to many, if not all, of the other strategies. The attached paper was published in 2009 in the Journal of Economics Dynamics and Control by a Professor of Statistics at Stanford. As can be found in the paper, the problem of option hedging in the presence of proportional transaction costs can be formulated as a singular stochastic control problem. The authors approach is based on minimization of a Black–Scholes-type measure of pathwise risk, defined in terms of a market delta, subject to an upper bound on the hedging cost. The approach can also be applied to solve the problem of maximizing the investors utility at the terminal time of the option contract. The main idea of the attached paper is to calculate price boundaries that trigger a hedge in the stock. Moreover, the number of shares that should be held when we reach the boundary is also calculated. Attached to this email is a screen shot from the paper that illustrates these price boundaries. Without getting into too many details, the top figure illustrates the price boundaries for an option with "1 unit of time" left (think 1 month). And the bottom figure illustrates the price boundaries for an option with "0.25 units of time" left (think 0.25 months). As can be seen in the figure, the shape of these boundaries changes with respect to how much time is left to expiration. This email is most likely too long so I will stop my explanation here, but I would lo

Volatility Review: Nonfarms and volatility. Looking back on Q1: VIX High - on Jan. 20, Low - 13.06 on March 30, VVIX High - 121.15. VVIX Low 77.29. The great crushing - VIX Cash falls 50% in about a month. Did the VIX fall too far, too fast? VIX Options: A fairly light volume week. Total 6.85m (5.26m Calls, 1.59m Puts) Crude Oil: OIV/OVX - 46 Gold: GVZ - 18.50, well off recent highs. Volatility Voicemail: Question from ChaChing - How does last month's VIX backwardation streak stack up to the run above 20 last year? Crystal Ball: Where do the hosts think that VIX will close on Friday? Andrew: 13.01, Mark throws caution to the wind and says 12.00.

Friday may have been a trading holiday, but you still need Volatility Views, right? We dug through the archives to bring you some of the best of Vol Views. This episode was posted in November, 2015.

Volatility Review: Everyone goes to Boca and volatility falls out of bed. Vol of vol coming in as well, VVIX: 84. Russells Weekly Rundown: VIX Options: A fairly strong volume week. Thurs: 909k, Weds: 675k, Tues: 704k, Mon: 573k, Total 5.30m (4.02m calls, 1.28m puts) Crude Oil: OIV/OVX - 46, about 49 today, almost touched 80 back in mid-February, multi-year high. Gold: GVZ 18 - well off recent highs. GVZ - peaked around 28 back in mid-February - last hit these levels in June 2013 - so nearly 3-year high. Volatility Voicemail: Listener questions and comments Question from George K. - What is the thought process regarding the new SPYIX and hedging? Can you hedge it with VIX Futures? Question from BJLane - VIX vs. RVX - Which performs better for call verticals? Which pops better when it hits the fan? Question from Jacro - Why no volume in RVX? Crystal Ball: VIX Predictions: Russell - 15.5/8 Mark S. - 14.25 Mark L. - 15

Volatility Review: A look back at the week from a volatility perspective. VVIX - 95 Earnings volatility: The season is winding down - except for Dollar General Russells Weekly Rundown: VIX Options: A fairly strong volume week. Total 7.49m (5.54m calls, 1.95m puts). VIX faces challenge from trading robots unleashed by bats Crude Oil: OIV/OVX - 52. WTI skew chart Gold: GVZ 23.36 - Elevated Volatility Voicemail: Listener questions and comments Comment from Chic9 - Selling puts = blowout! Question from Nic s. - Why was there such an emphasis on selling puts at RMC? Is that not an old strategy? Question from JV - Can you explain the free cash flow yield theory and why it would help improve strike selection for selling puts? Question from Labeach2 - Ratio verticals work in VIX what about SPX and SPY - sell 1 ATM buy 2 OTM to hedge and spec. No studies on that? Seems better than just blasting away ATM puts? Question from JPeach - I really enjoyed the wrap up episode from the CBOE conference. I thought the discussion about the pension fund manager panel was particularly interesting. Two questions: 1. What percentage of pension funds out there use options in some capacity? 2. Is CBOE going to make that panel available to the public? Crystal Ball: Where will the VIX close on Friday? Russell - Above 25 Mark S. - Low 20s Marl L. - 23

Today, Mark is joined by Mark Sebastian and Russell Rhoads from Florida, where they discuss their thoughts, ideas, and take-aways from the CBOE Risk Management Conference. To get the details on what was discussed at RMC, please visit the website. Some key take-aways: Put selling. Put selling. Put selling Put selling versus bond ownership The intersection of macroeconomics and volatility levels Getting past the gatekeepers Tax treatments and more

Volatility Review: VIX got ahead of itself breaking 20 based on bond hedge cost. Russells Weekly Rundown: Wednesday weeklys! VIX Options: Fairly light volume week. Thurs: 488k, Weds: 495k, Tues: 409k, Mon: 735k. Total 5.55M (3.89M calls, 1.66M puts) Even more CBOE studies! Crude Oil Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67. Gold: GVZ 23.36 (elevated) Volatility Voicemail: Listener questions and comments: Options Question of the Week: No love for more options exchanges - Twitter poll has 60% of respondents saying "Heck no to more exchanges!!!" Question from George T. - What is the longest stretch of backwardation in VIX history? Crystal Ball: Vol Predictions: Russell - higher than everybody - above 25. Mark S. - low 20s. Mark L. - 23

Volatility Review: VIX. Contago has returned - VIX out of the red zone. CBOE Russel Study - Analyzing Russell 2000 Index options-based benchmark indexes designed to provide enhanced yields and risk-adjusted returns. VIX Options: A strong start to the week after the holiday. Total 4.95m (3.39m Calls, 1.57m Puts) Crude Oil: Recent rumors of supply action driving crude. Volatility remains on low end of recent elevated range. OIV/OVX - 67 Gold: GVZ 25.67 - Extremely elevated. Gold rallying hard in recent sessions. Volatility Voicemail: Listener questions and comments Option Insider Question of the Week: How Many U.S. Options Exchanges Do We Need? 5% - 14 is perfect! 30% - The more the merrier. 60% - Make it stop! 5% - Other Question from George K. - What typically happens to volatility around a presidential election? Crystal Ball: The celebrations for Chinese New Year are over. Back to work! Where will VIX be next week? Sebastian: 26 on Thursday, 24.5 on Friday. Russell: Low 19s Mark: 21.50-22 Who will win? Tune in next week to see

Volatility Review: Earnings Volatility: TWTR and TSLA. Presidents Day holiday weekend coming out aggressively. VIX Options: A strong volume week. 1.2M contracts Thursday. Total 6.87m (4.65m Calls, 2.22m Puts) What is going to goose the VIX? Crude Oil: Volatility remains elevated - Crazy OIV spike on Weds, over 100. Gold: GVZ 28.37 - extremely elevated! Volatility Voicemail: Listener questions and comments No love for daily options - Twitter poll has 40% of respondents saying "heck no" to dallies! Question from Hot Emini - There is a big disconnect in retail that Theta is all. But is vega not the king greek for pros? What about gamma? where does that fall in the mix? Crystal Ball: Highs in VIX? Russell - 25? Mark S. - 29/30? Mark L. - 23/24

Volatility Review: CBOE to list SPX Wednesday-expiring weeklys options. CBOE to begin overnight dissemination of CBOE Volatility Index (VIX). VIX Options: Total 5.81m (3.93m Calls, 1.88m Puts) Earnings Volatility: LNKD after the bell: ATM straddle = $22, approx. 11.5%, after-hours move approx. $50. Crude Oil: Wall St. fluctuates as equities track oil prices. Is oil driving the stock market? And should traders care? Volatility Voicemail: Listener questions and comments Question from GBL - Stock splits are seen to be greatly beneficial to options volume. But do they also decrease volatility, which should hurt options trading? Around the Block: Prognosticating. Wild and reckless prognosticating.

Volatility Viewpoint: VIX outside of "Red Zone" indicates no recession, Goldman says. The Goldman Sachs analysis shows the VIX is currently in a “low and rising” phase, which tends to last about two months on average. VIX Options: Massive spread on Thursday - Paper buys Mar 27/35 vertical. Total 4.82m (3.15m Calls, 1.67m Puts) Earnings Volatility: AMZN: Bulls dominate Amazon options as earnings loom. Crude Oil: Talk of Saudi/Russian oil deal on production lifted markets earlier this week. OIV: 64. OVX: 63 Volatility Voicemail: Listener questions and comments Question from Andrew T. - Vega is pretty straightforward but is Gamma really a second-order Greek since it measures the rate of change of another Greek? Question from TBig - You guys always talk about VIX futures term structure and contango impacting products like VXX. But does the same not apply to USO and the contango in the crude futures? What about backwardation in both products - how does that impact ETFs? The Crystal Ball: Reckless prognosticating

Volatility Review: Another volatile week - volatility still readily apparent in the marketplace. VVIX: 109 VIX futures Russell’s weekly rundown: What weekly VIX options activity caught your eye this week? VIX options: 20,000 VIX Feb 20 puts (expiring 2/17); VIX feb30/40 call spread trades (expiring 2/17) 18,500 mid-market; total 3.84m (2.55m calls, 1.28m puts) Crude oil: Oil rose from its lowest close in more than 12 years as investors tried to pick a bottom after government inventory data. OIV: 66; OVX: 66 Volatility Voicemail: Listener questions and comments Question from Pick6 - The VIX is mean reverting with a long-term mean around 20. Does that mean reversion quality make it a good candidate for selling iron condors and iron butterflies? Comment from Envigon - Steak or no steak? What’s the deal? Crystal Ball: Waiting on rate hikes until Europe/China/Japan lifts off the gas pedal. How many times will the Fed raise rates this year? Sebastain sets the over/under at 1. Russell says it will be zero. Mark says don't count out Q4, but is leaning towards zero. Jared says it will be two. Is there more steak at stake?

Volatility Viewpoint: Another volatile week with volatility still readily apparent in the marketplace. Review of Russell Rhoad's article Five Volatility Market Takeaways from 2015, CBOE meeting takeaways; SPX weeklies attract more retail - not surprising; VIX options ADV down 9% from 2014, VXST vs. VIX Weeklies - Many institutional clients had to treat VXST like a new product, receive compliance approval, adopt new systems, etc., that complicated adoption by end users. Volatility Voicemail: Listener questions and comments Question from Nick B. - Hello mark and greetings to the team on Volatility Views. I very much enjoy your program and have learned much from you and your guests. I have two questions for you guys to mull and (hopefully) answer on a future episode. 1) Do you guys use trading days or calendar days when calculating volatility? 2) Does it seem logical to add some sort of daily volatility product to the VIX universe? The weeklies do well and most spot VIX products have failed but a daily VIX option would track the future/cash fairly tightly. Off topic p.s. - Are you guys as caught up in the making a murderer show as I am? Crystal Ball: Wild, reckless prognostication.

Volatility Review: Looking back at 2015. Good to be in the Volatility & Index business - overall index volume only down 1% in 2015. VIX Futures: Trading volume in VIX futures also set new total volume and ADV records for a sixth straight year in 2015. Five Volatility Market Takeaways from 2015: VIX Average Closer to Historical Norms Russell 2000 Volatility Was Relatively Low SKEW High for the Second Year VIX Backwardation Lives! Long and Short Volatility ETP Performance VIX Cash: Up 4.40 yesterday - 21% - got as high as 25.86 on Thursday. VIX Options Total 4.93m (3.54m Calls, 1.39m Puts) Volatility Voicemail: Listener questions and comments Question from TCruz - Will we ever see a daily VIX option? Question from Vin - Love Options Insider Radio - been mainlining Volatility Views. You always talk about the lack of VIX put volume on that show. Is there a particular month that is most attractive for VIX put buyers? Crystal Ball: Reckless prognosticating

Originally posted July 20th, 2015 Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally! VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts) Oil: After some brief signs of life, oil volatility continues to erode. Volatility Voicemail: Listener questions and comments Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product? Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Originally published on March 23, 2015, we are taking a look back at controversial VIX settlements. Plus, volatility voicemail, and more.

Volatility Review: Welcome to the Post-Fed era. VIX Cash: Around 18.94. A brief flirtation with 27 last week. No one predicted a move into the mid-20s on our previous show. VIX Options: Heavy volume early this week. 1.2M Monday, 860K Tuesday. Oil: Who is the bear driving up the price of U.S. stock options? Volatility Voicemail: Listener questions and comments Question from NJ42 - Where do you think the next big development will come from in volatility research or trading? Question from Alistair - Why are the volatility offerings effectively limited to the S&P 500? Why are there not any real offerings for commodity volatility? People active in those markets also want to hedge their volatility risk? Crystal Ball: What is left after the Fed?

Volatility Voicemail: It's time for listener questions Question from Pick6 - I am concerned about pin risk. I know open interest is the primary indicator. But are there any other tells besides OI for pin risk - perhaps implied volatility? Question from Charles M. - How has the dwindling number of options specialists impacted volatility? I believe volatility has increased as a result with days like 8/24 being glaring examples. Please discuss. Question from A. Melendez - Any updates on VSTOXX? Is it coming to the U.S. anytime soon? Question from Zack06 - Can you recommend the definitive study on VIX calls vs. S&P puts? Is there an ultimate winner? Question from AL33T - looking over the Voldex info recently and I cannot figure it out. Why would I want to remove skew from VIX? Is that not valuable trading info? Question from Avery - Why do you guys take such a dim view of TVIX? Am I missing something? Question from Vin C. - What is the correct duration to purchase VXX puts in my retirement account? I would like the best chance at capturing the most erosion over time. Crystal Ball: Fed still on the horizon in December.

Volatility Viewpoint: Today's guest is Chris Cole, Managing Partner at Artemis Capital Management. They discuss Chris's now "infamous" letter to his investors, "Volatility and the Allegory of the Prisoner's Dilemma." Volatility Review: A look back at the week from a volatility perspective, plus a review from RMC Asia. VIX Cash: Volatility surges after sell-off and heading into Non-Farm Payrolls. VIX Cash: 18.11, VVIX: 101.80 What is the Fed impact on Vol? SPX CBOE Skew Index back to boring - This week: 135.26 VIX: A heavier volume week in VIX Options. Total 6.24m (4.57m Calls, 1.68m Puts) Crystal Ball: Earnings season is winding down. FED on the horizon in December.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Interesting Vol activity this week. Volatility remaining firm going into the weekend VVIX: 96.18 CBOE Skew Index back to boring - This week: 139.16 VIX Options: Heavy volume early in the week. 1M contracts on Monday, 800k contracts on Tuesday. Light volume the rest of the week. Total 5.19m (3.77m calls, 1.42m puts) Gold: GVZ this week: 17.57 Crude oil: OIV: 42.30, OVX: 43.75 Volatility Voicemail: Listener qquestions and comments Question from Hawkeye - Love seeing Russell as the new addition to the Vol Views cast of characters. You mentioned you wanted a nickname for him. Since he is going for his Phd (but has not quite gotten it yet), he teaches classes for the OIC, and he literally wrote the book on VIX, how about calling him "Professor VIX" (and maybe moving to "Dr. VIX" once he gets his diploma). I also wanted to say that it was great hearing Don "Palms out" Schlessinger a couple shows back. You need to get him on as a guest host more often, and see if the Viceroy can guest host once in a while, too. Lastly, I love hearing from those Typhon guys. Any time you can get them on, please do so. Anybody with the comedic sense to name their trades "mullet" and "tellum" is good in my book. Wit with Wisdom is the best mix. Thanks and keep the great shows coming. Question from TiffanyL1 - Is it possible to simply buy VIX cash without messing with the futures? Question from George T. - Can I buy still buy VIX on the old calculation without the skew? Crystal Ball: Meandering VIX. Earnings season winding down. Fed on horizon in December.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash - VIX popping after a protracted downturn - Over 20 briefly. VVIX: 98.19 VIX Futures - CBOE Skew Index back to boring. Last week: 135.21, this week: 136.93\ VIX Options - A very light volume week. Total 7.98m (5.73m Calls, 2.25m Puts) Earnings Volatility - A tale of two earnings seasons: CSCO: $27.94. ATM Straddle: $1.40 - approx. 5% Gold - GVZ this week: 18.47, GVZ last week: 17.69 Crude Oil - OIV: 43.14, OVX: 43.93 Volatility Voicemail: Listeners have their day Question from JJL - After listening to your program I have decided to take a look at VIX weekly options. But I am looking at the quotes right now and the weeklies are significantly wider. The VIX Nov 26 calls are $.05 wide, the Dec 26 calls are $.10 but the Nov 26 weekly call is $.15 wide. Strange that a nearer-term contract would be substantially wider than a farther off contract on the same strike. You guys have been talking about VIX weekly volume being high so why are the spreads so wide? Do you think it is worth the approximately 33% increase in cost to trade a weekly vs. a standard monthly? Thanks for the show. Keep up the good work sirs and welcome aboard to russell. Question from Pick6 - When a takeover is announced does the volatility (time value) of farther out options erode or go away? Crystal Ball: Earnings season is in full swing. Fed on the horizon in December.

Today, Mark is joined by: Mark Sebastian, from Option Pit Russell Rhoads, Senior Instructor, the Options Institute Kevin Nichols, Director, CBOE LiveVol Volatility Review: A look back at the week from a volatility perspective, including: Non-farm numbers and the resulting market reaction Bifurcated earnings season A less volatile VIX? SKEW index Earnings crush VIX weekly options Is there a new 12 for VIX? Put love in VIX-land Mark S. extrapolates VIX weekly trading for the past seven years Earnings! The force is strong with DIS. Crude: WTI Skew Volatility Voicemail: Listener questions and comments Question from Adam S.: Hello, is there a correlation between imp vol and move in the stock before earnings? I noticed that aapl imp vol is still 33% even though they will report on Tuesday. Does that imply there will be a small move? Nflx was in the 80s and it moved 10%. I sold put and still made money. Would you sell strangles otm to benefit from vol collapse? Question from Pick6: Are there too many VIX-related products? Have any of them ever failed? Crystal Ball: Earnings season! What will the Fed do in December?

Volatility Review: Today's guest is guest: Russell Rhoads from the CBOE Options Institute. The panel discusses: CBOE Earnings Update - Trading volume increases 6 percent, with record trading volume in index options and futures. Total trading days: 64. ADV: 5.25M, Total Trading Volume: 335.7M. Update on TYVIX & RVX. VIX Cash: VIX cash remains south of 15 handle. VIX Futures: Dramatic movements in CBOE Skew Index. Two weeks ago: 151.22, last week: 121.02, this week: 134.63. Previous high around 140 last year. VIX Weeklies - Week 4: Another robust volume week for weeklies VIX Options: Total 6.76m (4.80m calls, 1.95m puts) Gold: Fed squeezing gold yet again. GVZ: 15.77 Crude Oil: OIV: 43.16, OVX: 43.63 Crystal Ball: Earnings season in full swing. Nonfarms next Friday.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below the 16 handle - Low of 13.24 today. The volatility measure has been below 20 for 12 straight days. Skew Index: A dramatic 30-point drop in The CBOE Skew Index - Last week: 151.22, this week: 121.02 VIX Weeklies: Another robust volume week for weeklies. VIX Options: Paper buys 15k Nov 16 puts for $1.55 and 13k Nov 30 calls for $.34; Total 6.26m (4.43m Calls, 1.83m Puts) Now that Google is Alphabet, options suggest another big stock move. Gold: GVZ: 15.59 Crude Oil: OIV: 40.18, OVX: 40.22 Volatility Voicemail: What do our listeners have to say? Comment from Frank W. - Great discussion on the origins of volatility skew. I really learned a lot. I wish more programs would discuss these topics. Comment from Phil O. - What is it about volatility that tends to bring out the crazies? That stuff about VIX mean reversion and moral hazard was pretty deep into tinfoil hat territory. Surprised to hear that coming out of Artemis. Comment from mark brant ‏- What a relief! Btw fantastic story of the Vol skew big bang by Herr Doktor Schlesinger! A perfect collar is a work of art! Thanks!… Cool thing about selling VIX options spreads is no theta, a pure Vol play at all tenors! Question from Ironc - So Taleb and the 1x2 guy both love backspreads. Are backspreads pretty much the ideal volatility trading position? They have little or no net outlay and let you stay in the game long enough to profit from the big moves. I have to say I am becoming a fan. Are there any secret downsides that I am missing? Question from Varz - Any good recommendations for variance swap volume data? Question from Dan D. - Can you please explain the CBOE skew index? What is it and what does it measure? Thank you Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: Volatility erosion continues as VIX slips below 16 handle. VIX on a downside streak - sold off for nearly 10 straight days Zero Hedge back on the soapbox - Moral Hazard, "Supernormal" VIX Swings, And Why August 2015 Was Just An Appetizer VIX Weeklies: Another robust volume week. VIX Options: VIX Nov 25-30 Call spread papa buys about 7k. Paper "buys" 15K Nov 15 puts. Total 9.58m (6.23m Calls, 3.35m Puts) Crude Oil: OIV - 42.28, OVX - 41.99 Volatility Voicemail: Listeners have their say. Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe.

Volatility Review: A look back at the week from a volatility perspective. VIX Cash: The streak is done - VIX firmly below 20! VIX Weeklies finally join the party - decent volume for the first day. A theory of why the VIX sputtered on Aug 24. VIX Options: Some early call selling during the rallies - but primarily more VIX upside call buying. Gold: GLD continues to dive. Crude Oil: OIV - 43.98, OVX - 42.97 Vol Voicemail: Listeners weigh in Question from Nigel B - How are crude options and volatility looking with this rally toward 50? Lots of call love? Question from Alamut01 -SPX sells off over 2% last week and VIX barely budges. What up? Question from IVUP - Can you please give us a status update on the Voldex products particularly a release date? Question from Agave - Is it true that volatility skew was born out of the 1987 crash and did not exist previously? I heard that recently and it seems difficult to believe. Crystal Ball: Earnings season has begun. Will we stay below 20 for the next week?

Volatility Review: A look back at the week from a volatility perspective. Moving up the list - 28 days over 20 in the VIX Cash. VIX Options: A relatively light volume week - 500k contracts most days except for 9/30 - our 1x2 friend is back! VIX: Total 7.77m (4.80m Calls, 2.97m Puts) SPX: Spot Price = 1920.70. Puts/Calls = 2.53. GLD: Spot Price = 108.90. Puts/Calls = 0.40. Crude Oil: OIV - 44.81, OVX - 44.75 Volatility Voicemail: Listeners have their say. Comment from Mark Brant - Being afraid of selling W1 IV is just wrong! We are traders, not market makers! Gamma cannot hurt us selling tight Vertical Spreads! Question from Noodles - VIX the tail or the dog? Hello Vol squad. I was just talking with a few of my trading buddies (all VIX options traders) and they were complaining that VIX does not represent SPX volatility anymore. They said that it is its own beast now because so many people are just trading VIX and VIX products and not SPX. I thought I would put it to the Vol pros to settle the debate. Incidentally, I also turned them on to your program in the process. Bonus points for me. Your insight would be appreciated. Comment from Joe S. - With regard to the listener who wrote in looking for a good quick Vol calculator - I find the Greeks breakdown on TOS to be particularly informative for my trading. Maybe he should try a paper account there to see what he thinks. Hope that helps him out. The Crystal Ball: Wild prognostication

Volatility Review: Speaker of the House John Boehner steps down. Janet Yellen and the Fed. VIX Cash. VXUP/VXDN. GLD. Oil. Volatility Voicemail: Listener questions and comments Iron flies Getting tchotchkes Tick-by-tick calculator What drives the VIX? Crystal Ball: The challenges of prognosticating.

Volatility Review: A look back on the week from a volatility perspective. What happened post-Fed? VIX remained elevated going into Fed announcement VIX, VVIX Advice offered to the Fed Irrational exuberance abides VIX Cash making waves, VIX options, not so much Weekly VIX options can’t come soon enough The madness that is VXUP and VXDN RVX and VIX still within spitting distance of each other Mark has opinions on the Goldman Sachs research team Volatility Voicemail: Listener questions and comments Quadruple witching: does it impact option volatility? Product question on: VXST, VolDex Crystal Ball: Wild and reckless prognosticating

Volatility Review: A look back on the week from a volatility perspective, which includes: VIX Cash RVX VIX Options VXUP VXDN And the Fed Volatility Voicemail: In which listeners have their say Question from Mr. Rose - On 8/21/15, S&P lost 3.19% and VIX is up 8.89 points. Following Tuesday S&P down 2.96%, VIX up only up 2.38 points. Next Wednesday S&P up1.83%, VIX drops 5.31 points. Please explain. Question from Confused - Hey, is there an overwhelming biased to trading calls in the VIX? Why? What about VIX puts, does anyone trade them? Question from Jacob - What are some examples of basic volatility arb strategies? Thanks for the program. Crystal Ball: Wild and reckless prognostication

Volatility Review: A look back at the week in volatility VIX Cash: Looks like we were right - VIX cash remains elevated over last week level. Goldman Sachs thinks this volatility index should be much lower. The VIX is trading like the U.S. is in a recession. VIX Futures: Near term of the futures backward, as expected. Contracts are wonky. Bids popping up in unexpected places. VIX Options: Sept. 1 - 1.5M Contracts, Sept. 2 - 791K Contracts, Sept. 3 - 1.1M Contracts VelocityShares Daily Inverse VIX Short-Term ETN (XIV) has accumulated $1.1 billion in net inflows, according to ETF.com. VXY: Additionally, over the past two weeks, the ProShares Short VIX Short-Term Futures ETF brought in $540.3 million in net inflows and now has $599.9 million in assets under management. Crude Oil: Crude market full of volatility and uncertainty. Volatility Voicemail: Listener questions and comments Comment from Mark Brant - Thanks for sharing the VIX 1x2 call swap roller trader and repeating it until we get it! A super great VIX strategy! Question from Jay G. - Is the interest in VIX options mostly institutional, or is retail there too? Question from Peter R. - Mark, thanks for doing the free webinar. Trying to educate myself regarding VIX. Please answer why if there is backwardation in the VIX term structure is the VXX not trading close to 3 times higher than the VIX? Thank you.

Volatility Review: Black Monday Redux The Dow Jones Industrial Average briefly slumped more than 1,000 points, its biggest point-drop ever. VIX Cash hit 53.29 at 10am and VIX did not update for 30 Minutes as options quotes got erratic. AAPL hit low of $92 before rebounding. VVIX: Hit a high of 212 on Monday 8/24. VXUP/VXDN: VXUP did 813k shares on Monday - VXDN 650k. Crude Oil: OVX - 51.80, OIV - 51.12 Volatility Voicemail: Listener questions and comments Question from Inchon55 - Was this the week that VIX traders have been waiting for? It seems like they have been buying calls in the 20-strike range all summer with no payoff. Now we finally got the pop they needed. Will this lead to a flurry of more call buying in the months to come? Question from Jim J - Question for Volatility Views - This was a crazy week for Vol traders. What was the craziest thing that jumped out at you? Comment from JoeJoe: Why is everyone making such a big deal about the selloff on Monday? Flash crash? Market manipulation? That is BS! It is August. Everyone knows the market is thin in August. Does this really come as a surprise to anyone?

Volatility Review: Mark Sebastian guest hosts and is joined by Bill Luby, of VIX and more. Ugly day, week, month. What does it all mean? Serious interest in VIX options. Volatility Viewpoint: How to structure a trading strategy around this kind of market? Should you look at volatility products in a vacuum? When will the Fed actually pull the trigger on rates? Crystal Ball: What is the driver that will push us into a full-on selloff or rally? What is the normal duration of a major VIX pop? Will Jared own Mark a steak?

Volatility Review: A look back at the week from a volatility perspective China devalues the yuan. Why is there no volatility in response? It all comes out in the wash. AAPL flirting with a big move to the downside. Put volume averaging 618,000/day. AAPL a utility? What's the Fed going to do? The week in VIX options. Strong volume for the week: 1.6m contracts Monday 8/10 1.4m contracts on Wednesday 8/12 835k contracts Thursday 8/13 VSTOXX: Channeling Don S. Crude Oil: Eyeing the continued dive in oil prices. OVX: 43.23 OIV: 44.49 Gold: Gold Storm on the Horizon Crystal Ball: Diving boldly unto the breach and making reckless volatility predictions.

Volatility Review: A review of the week from a volatility perspective. Volatility continues through earnings season - Disney and Tesla hit hard. VIX Cash: 14.13 - Some juice coming back into the balloon. VIX Futures: 12.16 - not as controversial as main VIX settlement. VIX Options: Decent volume week - 770k contracts Monday. Total 7.95m (5.89m Calls, 2.05m Puts). Crude Oil: WTI term structure - West Texas Intermediate is heading for its biggest monthly fall this year. Gold: A prominent gold forecaster predicts the metal will drop to a mere $350 an ounce, a level unseen since 2003. Gold Implied Vol: 12.1% as of July 14, 2015 and up to 18.8% on July 21, 2015 Volatility Voicemail: listener questions and comments Question from Antimony - Question for the Vol Squad. Have you had a chance to look over the list of latest index products launched by the CBOE? Any contenders? Personally I think the weekly revamps of put and BXM have promise, along with the 30-delta BXM. Question from Tommy Hendricks - What is your take on weekly VIX Futures so far? Hit or miss? Crystal Ball: Our future vol predictions.

Volatility Review: In this episode, we are joined by guest co-host Mark Shepherd, Derivatives Strategy Consultants. VIX Cash: VIX selloff finally over - VIX cash stabilized around the 13 handle this week. VIX Futures: New weeklies listed this week. VIX Options: Calls over puts: 2.9 / 1. Solid volume week - most days over 600k contracts. Total 5.83m (4.35m Calls, 1.48m Puts) Gold: GVZ: 19.39 - Spiked nearly 5 handles this week. Gold volatility skew - clear concern in the near term, longer-dated options showing some bullish positioning as well. Volatility Voicemail: Listener questions and comments. Question from LAX66 - Do you guys know where I can find a list of the pensions and endowments that utilize options and futures for hedging purposes? I would like to see if my money is safe and being put to good use. Is that info publicly available? Question from Bailiwyck - I would like to submit a question from the volatility views radio program. What is the problem with GVZ? Why are there no products to trade with it? I looked it up earlier this week only to find zero contracts traded. Did they delist them? You would think this product would be very popular in a week like this. Question from TalbotL - Let me see if I have this straight. The front end of the VIX curve is where all the crazy stuff happens. So I want to avoid that in my hedges and "kick the can" past it. The longer portion of the VIX curve is where things typically get pricey. So am I correct in assuming that somewhere in the midpoint - around 3 months - is the goldilocks spot where I should buy my porridge? Is that the most effective place to purchase VIX futures for hedging from a cost to vega perspective? Crystal Ball: Wild prognostications about the future of volatility.

Volatility Review: Today's guest is Mike Thompson, Typhon Capital VIX Cash: An apocalyptic week for VIX - Largest 5-day drop in the product history. VVIX: 85.55 - Back at the low end of recent range. VIX Futures: Keeping an eye on the term structure. Weekly VIX Futures coming next week, finally! VIX Options: Calls over puts 3.1/1 - a strong volume week. Total 9.00m (6.79m Calls, 2.21m Puts) Oil: After some brief signs of life, oil volatility continues to erode. Volatility Voicemail: Listener questions and comments Question from Al Parasian, Oakland, CA - What is the most effective way to speculate on a true volatility explosion in the marketplace? Is it straight up VIX calls or is there a more effective product? Question from ENV16 - I searched for volatility programs on a lark using PockectCast. Did not think I would find anything. Man, was I surprised when your show came up. What a treat! 100+ episodes! I have been sinking my teeth in all week. Any chance you could bring on a guest who specializes in OTC variance swaps? That is a market that has always interested me, but it is hard to find good color on it. Other than that, please keep up the good work and to Russell for bringing us this show. One more quick thing - you guys talked about how a VIX of one is all but impossible. What do you feel is the realistic upside limit of VIX? We saw it hit the 90s during the meltdown. Is that it or is a VIX of 200 a possibility one day?

Volatility Viewpoint: The guest today is Scott Maidel, Derivatives Research, FTSE Russell Investments. He discusses: His viewpoint on current volatility landscape VIX spot level - Did VIX cash perform as expected? What are volatility strategies? How to talk about volatility mechanics and characteristics with clients? Updates on current and pending Russell volatility products Volatility Review: A look back at the week from a volatility perspective VIX Cash: Performance vs Market expectations. VVIX: Hovering around 115. VIX Options: Decent but not a strong volume week. Total 7.71m (5.89m Calls, 1.82m Puts) Crude Oil: Volatility creeping back into crude. Crystal Ball: Peering over the market precipice. Earnings season ahoy. Volatility prognostication.

Volatility Review: A look back at the week from a volatility perspective VIX Cash: VIX poised to start moving aggressively again? VVIX: Hovering around 85 - near the low end of its 1-year range. VIX Options: Back to light volume - all sessions below 500k. 3.8/1 Calls over puts. RVX: OI 62 contracts. VXUP / VXDN: Light week here as well - VXUP most days well under 30k shares, VXDN under 5k shares. VSTOXX: Flirted with a 5-month high of 27.5 earlier this week. Crude Oil: Crude Vol creeping lower. OVX - 29.18, OIV - 29.36 Rates: TLT Aug IV = 16 - Has not changes much over the past month. Volatility Voicemail: Listener questions and comments Question from Nick James - Tuned in last week for the first time and heard the discussion on volatility products, and particularly the AccuShares VIX products. I have been intrigued by this product and found your conversation interesting. It sounds like you take a dim view of it and would recommend against me buying shares of the VXUP version. How would you fix it if you could? Question from St. James - How low can VIX go? You guys said on a recent show that a VIX of 1 was not realistic. So what is a realistic low for VIX? Question from Encore - I am a fan of bullish risk reversals or collars in the equity and index world, due to the volatility premium inherent to the puts. It looks like that similar strategy is not as effective in VIX Options and most volatility products. The volatility premium is in the call, so most bullish risk reversals end up costing a net debit rather than generating a credit. So, should I take this to mean that I should flip my strategy to employ bearish risk reversals instead in volatility products? Do they tend to be more effective, or are the call premiums merited in volatility products?

Volatility Review: A look back at the week from a volatility perspective June VIX settles at 14.67 VIX Futures: Front month down to 15.15 VIX Options: VIX call/put = 3.9 - getting more attention again. RVX: OI 61 Contracts VXUP / VXDN VSTOXX: Hit 5-month high of 27.75 on Monday ahead of the emergency meeting on Monday. VSTOXX vs. VIX Spread widened this week with VIX crisis. Crude Oil: OVX: 30.60; OIV: 30.46 Rates: TLT Aug IV = 15 - Has not changed much over the past month. Volatility Voicemail: Listener questions and comments Question from Tasty Meatballs - What is your take on the new TYVIX index disseminated by the CBOE? Question from Jarvis - This is for the volatility views radio program. There are a lot of players entering the volatility ETF world. Some offer ratio products, inverse products or the new wave of spot products. I would like to know if there is a certain type of ETF or a certain area of the market that you think is ripe for a new volatility product. Question from Azon - How does VSTOXX perform relative to VIX? Just as call heavy? Similar pops to the upside? Crystal Ball: VIX pop? Buyers to come when the deadline looms.