Volatility Views

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

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.