Volatility Views

Volatility Review: Greek vol not amounting to much. Setbacks in Greek debt talks on Friday bringing a little vol back to the marketplace. Traders aggressively hitting volatility going into the weekend. VIX Cash: High of 15.74 on June 9. VIX trending lower throughout the week finally breaking the 13 handle on Thursday. VIX Options: Call love - a heavy volume week, averaging 500k contracts. A massive day on Wednesday - nearly 1.6M. Our 1X2 friend is back! Total 8.13m (6.48m Calls, 1.65m Puts) VIX Up/Down: Nascent VIX Up/Down ETF Could Face Hedging Pressures Volatility Voicemail: Listener questions and comments Question from Nixy - Just found this hose on iTunes and liked the discussion about the new VIX ETPs. I am curious what you think of the CVol ETF product? Worth my time or more volatility detritus? Comment from Abstergo_US - Great discussion on VXX leap puts. After listening to your program, I pulled up the VXX options chain and pulled the trigger on the Jan 2017 12 puts for around $2 in my IRA. Fast forward a few weeks and these puts are already up well over 10%. Thanks again for the great tip. Seems like everyone should be loading up on these things. Crystal Ball: Reckless prognostication.

Volatility Review: An action packed week on the market - shrugging off the non-farms. VIX Cash: Major indexes selling off over 1% Thursday. VIX Options: A big call stupid going up in June/July 20s. VXUP/VXDN: VXDN not catching fire like the VXUP Crude Oil: OIV & OVX IMF: The Mark-Jared bets continues. Volatility Voicemail: Listener questions and comments Skew: What is it? Should it exist? Why does it exist? Around the Block: Summer VIX is back in season.

Volatility Review: The week in review, from a volatility perspective Some action earlier this week as S&P dropped over 1% and VIX popped to the 14 handle. VIX Futures: Front month future flirted with 15 during the selloff. VIX Options: Anemic volume week post-holiday - only 63k contracts through 11am. Still mostly call buyer in June - primarily VIX. Total 6.06m (4.73m Calls, 1.33m Puts) VXX: Puts trade in iPath S&P 500 VIX Short Term ETN (VXX) are up 0.34 to 19.02 today. VXX is near the lower end of the 52 week range. VXST: Volume: 0, OI: 4. VXST will be replaced by VIX weeklies probably by the end of the summer depending on VIX weekly approval and launch. Crude Oil: OIV: 33.04; OVX: 32.5 Volatility Voicemail: Listener questions and comments Question from Aeschylus - One thing I cannot understand clearly is why there is so much focus on the volatility smile. Given my knowledge of the Black and Scholes model, this is what I get: People use the volatility smile as a forecast of future volatility. They assume that the market is 100% efficient and everyone would engage in dynamic hedging if they could or that everyone agree that the Black and Scholes model gives the "fair" price for the option, whatever it means to them. Therefore any difference between the market price and the BS price shouldn't be interpreted as an opportunity for arbitrage or a presence of model risk, but what 'the market' is saying the BS parameters should be, in special the volatility the market is predicting for the future time until the maturity of the European option. Question from James Bass - Why is IV different between put and call of same strike? In his book Dynamic Hedging Nassim Taleb says that the volatility of an OTM put should be exactly equal to that of a corresponding in the money call of same strike. But in option chains, the calls always have a slightly higher IV than the corresponding put. Is this because I am looking at American option chains and not European?

Volatility Review: Looks like the market started taking the weekend out on Thursday, and never looked back. VIX Cash: Low: 12.09, High: 13.27 S&P 30-Day realized: 10, S&P 60-Day realized: 11 VVIX: 74.50 - on the lower end of its recent range. Skew Index: 121.11 - also on the low end of recent range. Put vs SPX White Paper: A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 PutWrite Index. VIX Options: A strong volume week. 945K Contracts on Monday, 750k Tuesday, 700k Wednesday and only 350k Thursday. VIX Up / VIX Down: Despite our doubts last week, the product is doing heavy volume. Question from IVDaily - Please explain the VXUP and VXDN products to me. I am very confused. What am I getting if I buy this thing? Its not really spot VIX that I am getting, but the actual percentage move in the spot VIX, correct? What does this paired contract thing mean? Do I have to wait for someone to sell VXUP before I can buy the VXDN and vice versa? Shed some more light into the darkness please guys. Volatility Voicemail: Listener questions and comments Question from Gerry Engle - Hola fellows. Like the programs especially Option Block and Volatility Views. I noticed you guys do not talk much about technicals. The few times you have mentioned them you seem to take a dim view of them. Why is that? Are there no technicals that you feel are useful for options traders to pay attention to? What about volatility technicals? Question from Ibrahim Hawash: Hi Mark. This is Contrails again, after several months away from options I forayed into Forex my original trading stumping ground smile emoticon I learned a lot about price action support and resistance, trend lines, pivots etc... I am looking now into options for position trading. I am so comfortable doing directional trades, bullish and bearish speculation and not yet into vol trading. My question is if I find a stock sitting on strong support and at a very low IV% (MU and PG is what I am looking at) along with confirming buying volume would you buy a OTM or ITM calls? I have a feeling you will say why not sell puts smile emoticon but let’s stick with calls for now given my account restriction. Is there a golden rule on choosing ITM vs OTM in this situation? I read that only buy ITM calls because OTM expire worthless as in hear. Also my understanding that when IV% is very low you would not buy call vertical spread and choose to buy calls, is this correct? I also have a question, do leap options IV increase at earning times along with shorter expiration options? One more thing, forgot to ask that I am looking to buy calls expiring in 2-3 months and I am looking at daily candle stick charts. Crystal Ball: Reckless prognostication. Will there be a Tuesday morning pop?

Volatility Views 158: Is VIX Without Contango Even Possible? Volatility Review: A look back at the week in vol VIX Cash: High: 15.13 - Low: 12.41 VVIX: 82.12 S&P 30-day realized Vol: 10 VIX Options: Total: 7.84m (5.84m Calls, 2.01m Puts) Single largest VIX Options trade in History. Sold VIX July 17-23 1x2 call spread to close. Bought July 17-23 1x2 call spread to close play $0.11 - essentially rolling out to July. Size was 1.08M contracts total. Crude Oil: Crude bears are starting to show their claws again. OVX 31.67 - OIV 32.18 This comes after today may set a near-record 9th week of gains for the most consecutive weekly gains in at least 30 years. Volatility Voicemail: Listener questions and comments Question from Andrew Grove - Are there any packaged products out there that will replicate a long or short delta-neutral straddle position? The key part I believe would be the adjustments as the product would require multiple adjustments to remain delta neutral. I have listened to your program for a long time and come to the conclusion that delta-neutral is the best way to capture volatility in the marketplace right now. But I do not want to tie up all of my capital and all of my time managing and adjusting one trade. I would prefer to buy or sell something that handled the lion’s share of the work for me. If there was some slippage on the execution I could live with it as the ultimate cost of using a packaged product vs. doing it myself. Thoughts? Am I crazy? I would love to get the old VolX guys opinion on this as well if possible since I assume they have insight into this issue.

Volatility Viewpoint: Today's guest is Euan Sinclair, Author of Volatility Trading Editions 1 & 2, as well as Options Trading. He discusses: What is driving the pronounced decrease in VIX? What were the primary drivers of the dramatic increase in "Vol-of-Vol" we saw at the end of 2014? CBOE is launching VIX weeklies soon. Does he feel they have the potential to succeed where VXST has failed miserably? A sneak peek of any book he currently has in the works. Volatility Review: A look back at the week from a volatility perspective VIX Cash: Low - 12.10, High - 16.36 VIX Options: Total 6.62m (4.76m Calls, 1.86m Puts) Crude oil: OVX & OIV Volatility Voicemail: Listener questions and comments Question from Mark Brant: Please address how IV chain structure can make a spread more viable or less viable and how liquidity affects such IV structures. Question from AdamVega:Hello I am a big fan, thank you for your great shows. I have been looking for a platform that I use for Backtesting. I currently use thinkorswim but Backtesting is slow and not reliable. Any suggestions? Thanks AdamVega

Volatility Review: A look back at the week from a volatility point-of-view VIX Cash: Low: 12.33 - High: 15.29 VIX Options: Another modest volume week. 75k May 20 calls purchased Wednesday for $.40. Paper buying June 23 puts for $.15. June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times. Total 6.14m (4.39m Calls, 1.75m Puts) Options volume slid in first quarter. Volatility cycles and stock trends. International Volatility: India VIX caps monthly advance as futures rollover below average. Crude Oil: OVX - 36.09, OIV - 36.95 Volatility Voicemail: Listener questions and comments Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in? Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis? Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend? Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?

Volatility Viewpoint: Today’s guest is Mike Thompson of Typhon Capital. He discusses: VIX Futures VXST The mainstream acceptance of volatility VXX and VSTOXX Volatility Review: A look back at the week from a vol perspective A groundhog day in volatility. VIX: volume down significantly. VIX Options: Put love later in the week. June 14-18-21 fly spread going up. Gold: GVZ hitting a seven month long, near the 15 handle. Crude Oil: The bulls are back in crude. Volatility Voicemail: Listener comments and questions Question from Tim Engels - Been a lot of ink lately about VIX volume being in the toilet. You guys have touched on it once or twice on the program as well. Why do you think the volume has fallen off a cliff? Question from Theist - Reading about delta neutral strategies. But the profit seems small for each adjustment, commissions seem large for the adjustments, and the values for many of the variables (delta, vega) seem questionable at best. Is this really a viable strategy over the long term or are there better way to capture volatility in the marketplace? Question from Frank Underwood - Any good mobile apps out there for volatility analysis? Seems like I am always on the go and never at my desk when a good trading idea strikes me. Crystal Ball: Reckless prognostication. Looking for VIX to rise over next week or two.

Volatility Review: A look back at the week from a volatility perspective. Greece bringing some volatility back to the table. VIX Cash: Low: 12.50 - High: 14.75 Earnings do not seem to be injecting much Vol into the market. S&P: Skew Index: 120.37 VIX Options: Our friend with the April 13 puts decided that discretion was the better part of valor - sold 90,636 of them on Tuesday for $.05. 800K contracts on Tuesday. Total 4.22m (3.12m Calls, 1.11m Puts) Elizabeth Warren: Tax the banks. Warren called for a transaction tax on firms that use computer-based trading systems to make rapid-fire transactions. She said taxing so-called high-frequency trading would make the market less volatile and give smaller investors a fighting chance. Crude Oil: The bulls are back in crude - OVX: 43.48, OIV: 42.67 Volatility Voicemail: Listener questions and comments Question from K9 - Why does no one in the US talk about VSTOXX as a volatility gauge? I think it does a better job of measuring overall Vol by taking the square root of the implied variance rather than the convoluted VIX formula. It also does not have all the outside influences polluting the calculation the way VIX does. Maybe this should be something you guys include in your program going forward? Question from Fred - My study of options is enjoyable, but it takes so long. I am going to be 200 before I know anything… Do you think expiration Friday has changes in significance in recent years? Is it not really that much of a big deal anymore? Comment from Mark Brant - Inspired by C-bass video: AAPL, Sell W234 6-Strike Iron Butterflies; Buy W7 Straddle. Credit is 20% of margin requirement...AAPL Week2 1X5 modified Iron Butterflies with long 5X gamma wings are working! Crystal Ball: Maybe check the expiration date of the contracts you trade. Just saying. Will there be an all-time high in S&P 500?

Volatility Review: A look back at the week in volatility VIX Options: April 50 calls still open - someone made a massive play in May calls. A ton of new volume in June 17-23 calls, nearing the 1M mark total for just today. Crude oil: Call option trades target return of $100 US crude oil. Other Volatility Topics: Apple Watch - can it bring back the glory days of AAPL? Volatility Voicemail: Listener questions and comments Question from Rahul Tandalkar - Sir. Can you please tell me a website where I can find implied and historical volatility for Indian stocks? Question from J Dog - So VXX is crap! We all know this. Are there any VIX ETFs that you guys like? Question from Tom Snydon - What can I not trade options on OVX? Crystal Ball: Sold to you, and more wild speculation.

Volatility Review: A look back at the week in vol VIX Cash: Low: 12.89 - High: 17.19 S&P: Skew Index: 122.86 VIX Futures: Stories from the front Question - Hi Mark: My story is about a professional trader in VIX Futures who claims he lost heavily because the electronic broker he was trading through had the wrong expiration date – it was one day early. Apparently this professional trader had a position of over $100M. Apparently the wrong expiration date had been posted for several months. He won an award for over $2m at a FINRA panel behind closed doors. My questions: What is your reaction? If you are a VIX Futures trader do you typically hold your position over days/months or do you close out at end of day? It seems also possible that if the wrong expiration date was published, a VIX Futures traders could also come out ahead on the positive side of the balance sheet? What is your take on VIX Futures? VIX Options: April 50 calls still open - someone is quite optimistic about April Vol. Total 4.49m (3.03m Calls, 1.46m Puts) International Vol Review: More from the Russians? Crude Oil: Call option trades target return of $100 US crude oil. Volatility Voicemail: Listener questions and comments Question from Charlie C - Hey Vol Viewers. OIV and OVX both hovering around 50 - which has the best chance to pop? Question from Mark - Liked the discussion about the structural volatility of the market from the last episode. Allow me to pose a related thought question to you. Mark Longo stated on the show that it would take “world peace and perfect harmony in the markets” to get the VIX below 5 for any substantial period of time. But what if the S&P were to double or even triple in value? According to the skew curve wouldn’t that bring us down into a VIX in the single digits? Perhaps even below five? Probably more feasible than world peace. Good show. I have to side against Jared in the Fed wager. The odds of a raise this year don’t look very good. If I throw my hat into the ring can I get in on the inevitable steak party that Jared will be throwing in Chicago? I like my T-bone medium rare please.

Volatility Views 151: The Fix on VIX Volatility Review: A look back at the week from a volatility perspective VIX Cash: Low: 12.54 - High: 16.37 VIX Settlement seemed somewhat controversial again this month. VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week. S&P: Options contracts that pay off should the S&P 500 lose 10 percent in the next three months, near the time of a potential Federal Reserve rate increase, are by some measures almost seven times more expensive than at the start of the year, the data show. Quadruple witching something of a non-event - with expiration every week now, it seems as though triple and quad witching have lost some of their luster. VIX Options: Big VIX trades this week - customers buying upside calls in April, particularly 22 & 26 strikes. April 50 call still open. Total 3.65m (2.50m Calls, 1.16m Puts) Volatility Index Bracketology: Someone beat Jared to the earnings volatility study - Informed traders prefer options says academic research. International Vol Review: Russian "mystery" event a bit of a letdown - Could the Israeli election have an impact? Crude Oil: The bears had their claws out again for crude oil. Brent down 3% Thursday - WTI down 2%. Volatility Voicemail: Listener questions and comments Question from The Great Donaldo - Hello to the volatility wizards. I enjoyed your coverage of the RMC conference and Marks interviews with some of the speakers. I have never been able to attend the event due to scheduling conflicts. I am also not partial to attending an event that is primarily intended to promote one firms products. So I would appreciate your informed opinions on other volatility-oriented events that you feel are worthwhile for the listening audience to attend. I do not mind some forays into the mathematical realm but I am not interested in modeling so much as strategy and theory. Thank you for all of the work that you do to shine light into the darkness. Question from Lee Daniels - What is the absolute baseline level of volatility that we could reasonably expect to see in the marketplace. I have heard you guys talk about a VIX in the low teens on earlier episodes. Is a single digit VIX feasible and if so for how long? Could we ever see a VIX below 5? What sort of situation would it take to achieve such historically low volatility levels in the marketplace?

Volatility Views 150: Doing Our VIX Term Structure Homework Volatility Review: A look back at the week in volatility: VIX Cash: Low: 14.71 - High: 17.19 Skew Index: 121.53 VIX Options: Total 5.58m (3.74m Calls, 1.85m Puts). Surprisingly light volume given the activity seen this week. Most days substantially under recent ADV. MSCI options to be listed soon. RVX: 65 Contracts open interest. FTSE volatility products coming soon. VXST: OI just 25 contracts. VolX: A lot of interest in their products down at Boca from market makers as well as domestic & international exchange. International Volatility Review: What can we expect from the Kremlin? Crude Oil: A volatile week for crude with futures having wild intraday swings. Both Brent and WTI made early gains yesterday only to give them up heading into expiration. Volatility Voicemail: Listener questions and comments Question from Carl Jedredes - What is the traditional slope of VIX futures term structure? How much premium do the long term futures typically exhibit over front month (i.e six month future 8% over front month future)? When the term structure is flat or even backward does this typically benefit ETPs like VXX that are forced to rebalance on a regular basis. Question from Beta Ray Bill - Is there some way to use implied volatility to choose your strike when trading options? Crystal Ball: The wager continues: Fed raising rates in 2015?

Volatility Views 149: History of Economic Data Volatility Viewpoint: Mark & Bill breakdown the RMC Conference. The most interesting panels and presentations, surprising revelations, and other like or dislikes. Volatility Review: A look at the week from a volatility perspective VIX Cash: Low: 13.25 - High: 15.33 Skew Index: 127.26 VIX Options: Total 4.97m (3.38m Calls, 1.59m Puts) The extended hours for VIX options began trading on Monday, while the extended hours for SPX options are expected to start on Monday, March 9. International Volatility Review: ECB plans to buy foreign debt. Crude Oil: Expect more volatility in oil says Exxon CEO Crystal Ball: Is vol creeping back in

Volatility Views 148: What Color Is the Dress? Volatility Review: A look back in the week from a volatility perspective VIX Cash: Low: 12.86, High: 15.48 Skew Index: 126.20 The extended hours for VIX options are set to begin Monday, March 2, while the extended hours for SPX options are expected to start on Monday, March 9. VIX Options: Total 4.38m (2.98m Calls, 1.40m Puts) VIX term structure hits CBOE earnings International Volatility Review Crude Oil: Volatility returning to oil. Volatility Voicemail: Listener questions and comments Question from Jordan M. - Do you have any updates on the volatility ETF from Robert Whaley that proposes to eliminate the roll yield issues with VXX? Is it coming to market any time soon? Question from Smile Creators - Hello, big fan. Thanks for the great shows. Is there a study that tracks Implied vol vs Historical vol? I am interested to see when they are following the same pattern or they deviate. Pakapiko. Question from Mr. Bochco - Where do you guys fall on the great 252 vs 365 debate when analyzing volatility? I have heard arguments for both. At the end of the day does volatility not occur even on the weekends and holidays? The Wager: Comment from AvonDude - Recent comments from the Fed this week seem to reinforce Marks stance on rates. Whomever wins the wager should buy the other guy a bottle of the fine liquor of their choice. Comment from Mike S. - Not looking good on the Fed front. I probably have to fall on the no change side of the fence after this week. I do not remember which host wagered on what but I would like to see the losing host make a donation to the other host’s favorite charity. That way everyone wins. Comment from Tom Statton - I think both co-hosts should buy Mark a steak regardless of the outcome for featuring them on this fantastic program. Well done Mark. I would buy you one as well if you ever make it to Alberta. Comment from Mark A. - No way Fed raises this year. When he loses I think Jared should fly to Chicago and host a cocktail party for all Volatility Views listeners. I would happily allow him to buy me some tasty beverages. Comment from SylvanElph - Regarding the Fed Bet - It o\is a radio program so the co-hosts cannot wear embarrassing outfits. Maybe buy the other a pizza of their choice? So Jared would have to buy Mark (and Mark) a nice Chicago deep dish and Mark would have to buy Jared a tasty NYC thin crust. Or New Haven style. Whatever his preference. Comment from Jeremy Stevens - I think the Fed will have to adjust their rates before the close of 2015. They are too terrified of inflation and stagflation to sit on their hands. Not sure why a blip in CHF in early 2015 would set the tone for Fed policy at the end of 2015? Maybe Mark can elaborate? As for the wager - How about the loser gives away 5 free subscriptions to his services to VV listeners? So Jared can give away some BGC Research and Mark can offer his Option Pit subscriptions. Crystal Ball: Andrew and Jared prognosticate wildly. VIX cash to below 13?

Volatility Views 147: Men Cause Volatility Volatility Review: A look back at the week from a volatility perspective VIX Cash: High - 16.74, Low - 15.10 S&P: 30-day IV - 13, 30-day HV - 15, Skew Index - 131.30 VIX Options: A decent volume week except for 2/19 with only 250k contracts. Total 3.39m (2.33m Calls, 1.06m Puts). Extended VIX Options trading hours start March 2. International Volatility Review: Greece is the word. Oil: The battle for $50 continues - WTI March futures back below $50, OVX at $55.75. Men create volatility? Could more women traders cut volatility? Experimental market sessions show more women traders = smaller and fewer bubbles Volatility Voicemail: Listener questions and comments Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the “lone market participant” is appreciated. Sorry I set off Jared’s racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice). Question from Brian T. - You say earnings is a crap shoot, so you simply should not play the game. I say that if you take a systematic, risk-limited short volatility approach, such as with iron condors, you maximize the potential to harvest premium, while eliminating the risk of what Mark referred to as "big blowouts". You clearly have to be judicious with your strike selection, but I have found this to be a profitable long term approach to earnings season. Question from Tim Biggs - Any data on that theta free approach to earnings? What percentage of decay occurs prior to the event vs. post-event and how does that compare to underlying movement during the period? Crystal Ball: Will the Eurozone move towards gradual progress? What does economic growth really mean? Other wild prognostications.

Volatility Views 146: Betting on Fed Volatility Volatility Review: A look back in the week from a volatility perspective VIX Cash: High - 19.28, low - 15.26 S&P: 30-Day Imp. Vol - 13, 30-Day Hist. Vol - 16. Skew Index - 129.94 VVIX: Thursday Close - 93.24 VIX Options: 700K contracts on Feb 12, for a strong up day for the market. Total 5.36m (3.28M calls, 2.08M puts). Extended VIX Options trading hours start March 2. Upcoming launch of RealVol SPY Options on BOX - good news for our former co-hosts. VXST: Current open interest: 3 contracts. RVX: Current open interest: 58 contracts. International Volatility Review: RVI - Russian Volatility Index OIL: WTI March futures are back above $50, after dipping below it again. OVX still hovering near $60, 6-month chart of OVX is pretty impressive. Volatility Voicemail: Listener questions and comments Follow-up from Uncle Ben - Thanks for answering my question last week. Your sympathy for my plight as the “lone market participant” is appreciated. Sorry I set off the racism detector with my handle. I did not mean to derail the program. It just happens to be my name (although I do like the rice). Question from Tim Biggs - Any data on that theta free approach to earnings? What percentage of decay occurs prior to the event vs. post-event and how does that compare to underlying movement during the period? Question from George - This may seem like a silly question but does anyone go out and look at old VIX cash data from 30 days ago and compare that to current realized? Is that not what VIX cash is attempting to predict? Is that disseminated anywhere as a number or index? Something along the lines of a VIX Accuracy Index? The Wager: Comment from Tom Statton - I think both co-hosts should buy Mark a steak regardless of the outcome for featuring them on this fantastic program. Well done Mark. I would buy you one as well if you ever make it to Alberta. Comment from Mark A - No way Fed raises this year. When he loses, I think Jared should fly to Chicago and host a cocktail party for all Volatility Views listeners. I would happily allow him to buy me some tasty beverages. Comment from SylvanElph - Regarding the Fed Bet - It is a radio program so the co-hosts cannot wear embarrassing outfits. Maybe buy the other a pizza of their choice? So Jared would have to buy Mark (and Mark) a nice Chicago deep dish and Mark would have to buy Jared a tasty NYC thin crust. Or New Haven style. Whatever his preference. Comment from Jeremy Stevens - I think the Fed will have to adjust their rates before the close of 2015. They are too terrified of inflation and stagflation to sit on their hands. Not sure why a blip in CHF in early 2015 would set the tone for Fed policy at the end of 2015? Maybe Mark can elaborate? As for the wager - How about the loser gives away 5 free subscriptions to his services to VV listeners? So Jared can give away some BGC Research and Mark can offer his Option Pit subscriptions. Crystal Ball: Mark and Mark prognosticate wildly.

Volatility Views 145: Debating Earnings Skew and Corporate Racism Volatility Review: A look at the week in vol: VIX Cash: High: 22.81, Low: 16.67 S&P: 30-day IV: 15, 30-day HVOL: 16, Skew Index: 127.54 VVIX: Thursday close: 98.56 VIX Options: Total 4.80m (2.86m Calls, 1.95m Puts) Market now loving CBOE numbers, stock off 5.5% - earnings were up 7.6%, but missed expectations. Extended VIX Options trading hours start March 2. VXST: Another week of anemic volume dispute significant underlying movement. RVX: Still no appreciable volume. OIL: Another crazy week for oil - rallies over 20%, then clipped, the rallied more again. Currently hovering above the $50 strike again. Volatility Voicemail: Listener questions and comments Reply from Ernitin14 - @OptionsInsider love Vol Views show. Here's my counterargument on remarks on skew shape. If everybody is hedging their short bet, vol squeeze is very likely which is exactly what happened in GOOG post earnings. Yes ATM call spread were the best plays, in case it was a win - win situation. Blow out numbers - upside explosion, so-so numbers- covering their shorts. What I am missing? Question from Uncle Ben - Liked the discussion on risk premium from the last episode. This is a topic I have always struggled with. It seems like you are chasing your tail either way. If you compare straightforward 30-day implied vol vs. historic vol, then you are comparing an indicator that is really 30 days forward with an indicator that is nearly 30 days lagging. It does not make much sense. If you attempt to extrapolate realized vol forward, you run into the same errors that plague implied volatility. There are millions of dollars spent on volatility forecasting models that cannot get it right, so what chance do I really have with my own little algorithm? Is this all a fool’s errand? Comment from Alvo - Hey guys - just a note that 30-day historical vol actually measures about 20 trading sessions, with 30-day implied vol foes out a full month. Different size sets = problems. Crystal Ball: Andrew and Jared prognosticate wildly.

Volatility Views 144: Talking Earnings Volatility Volatility Review: A look in the week from a volatility perspective VIX Cash: High: 21.55, Low: 15.52 S&P: 30-day IV: 18, 30-day HVOL: 17, Skew Index: 130.44. Goldman says nap time for put sellers. VVIX: Thurs close: 100.70, Week range: 91.85-109.99 VIX Options: Total 4.29m (2.97m Calls, 1.32m Puts) VXST: Another week of anemic volume despite significant underlying movement. RVX: Still no appreciable volume. OIL: Another crazy week for oil. Saudi prince reiterates that "we will never see $100 oil again." OPEC Chief says this may be the bottom for oil. Volatility Voicemail: Listener questions and comments Question from NINC - Hey Volatility Views guys. I know you have discussed the topic of earnings studies in the past, particularly as it relates to earnings straddles. You said there was not much research on the topic. Has the situation changed since that conversation? Has there been any new research on the topic? I know you discussed the possibility of doing such a study for this program? What is the status of that study? Please let me know when you release it as I would be very interested in the results. Thank you for this network. I am a regular listener of volatility views, options boot camp and the news rundown programs. Question from Andrew S - If you had to lean long or short going into every earnings cycle which way would you go? Me - I am tempted short but I am terrified about the blowout events. Question from Nitin Gulati - @OptionsInsider Funny how $GOOG moved today, apparently skew was bid up all day yesterday, so not a surprise. Crystal Ball: Mark and Jared prognosticate wildly.

Volatility Views 143: The Great Fed Debate Volatility Review: The week in volatility ECB takes all of the vol out of the market in one fell swoop. S&P 500 volatility streak longest since '12 as 1% moves multiply. The S&P 500 Index rose 0.5 per cent yesterday and moved 1.3 per cent from its lowest to highest levels. VXST: Another week of crappy volume. (The Mystery of Short-Term Volatility) FX Volatility: Another crazy week following the Swiss Franc crisis. Crude Oil: Crude continues to take it on the chin. Domestic crude supplies at near record levels. Iraq increasing production to offset declining revenues. Death of the Saudi King adding to the confusion. Here’s the chart that Mark was referring to from Daily FX: Volatility Voicemail: Listener questions and comments Question from Marcus N - You discussed the retracement from backwardation to contango in VIX Futures on the last episode. If I thought the retracement would be rapid and I wanted to play that retracement, would the near-term futures or options be my best bet? Question from Avrile - Risk premium - What is it? I have seen it defined many ways. Is it a products 30-day implied vs. 30-day realized? 10-day vs. 10-day? If using 30-day realized that’s a lagging indicator. Do you then have to extrapolate that forward using an algorithm, then compare that to 30-day implied to get a more accurate number? What about comparing something like front month or 30-day implied SPX volatility vs VIX Cash or VIX Future? Is that the best surrogate for the markets risk premium? Or has VIX Cash become such a polluted number that it is better to stick with straight SPX implied volatility? Crystal Ball: Mark and Jared prognosticate wildly!

Volatility Views 142: The Swiss Franc Black Swan Volatility Review: A look at the week that was: Swiss Franc: Deutsche Bank AG suffered about $150 million in losses Thursday after the Swiss National Bank abruptly removed the cap on the Swiss franc’s value, sparking a massive rally. Meanwhile, a major U.S. currency broker warned its equity was wiped out, a U.K. retail broker entered insolvency and a New Zealand foreign-exchange trading house collapsed. Crude Oil: Oil prices fell on Thursday after weak U.S. economic data spurred worries over crude oil demand. U.S. crude declined $2.23, or 4.6 percent, to settle at $46.25 a barrel. Brent crude was last down $1 to trade around $48 a barrel. Volatility Voicemail: Listener questions and comments Question from Mark Brant - @Options How long does VIX backwardation normally last and are the reversions to contango sharp or mild? Question from Analygos - I have heard you discuss previously buying options prior to earnings to capitalize on free gamma with no decay. My question is about after earnings when the premium collapses. Is that technically options decay all coming out of the option at once? Or is it a collapse of implied volatility that is erasing the premium in the options? If the latter then is the decay technically occurring every day prior to earnings and just being overcome by increasing implied volatility leading up to the earnings event? Crystal Ball: What is coming up for this week in vol? Expiration making things extra crazy.

Volatility Views 141: The Return of Euan Sinclair Volatility Viewpoint: Euan Sinclair, author of Volatility Trading Editions 1 and 2 and Options Trading,is back. Euan is an option trader with over eighteen years of professional trading experience. He currently works on strategy design and is the risk manager at Bluefin Trading. He holds a PhD in theoretical physics from the University of Bristol. He discusses: The major volatility takeaways/lessons from 2014? The dramatic increase in "vol-of-vol" at the end of the year, and the primary drivers of that? Did the flight of institutional liquidity from the markets contribute to the increase in "vol-of-vol", or is the lack of liquidity overplayed? His take on what we are seeing from a commodity vol perspective right now, particularly crude oil? His opinion of VXST, and why it has not gained more traction His opinion on the two VIX competitors in the works - Voldex and the Whaley Project A sneak peek at his new book and what he is looking out for in 2015 Crystal Ball: Non-farm payroll numbers were the only vol driver this week. Maybe the start of earnings season will inject some volatility back into this marketplace?

Volatility Views 139: Getting Angry About Volatility Volatility Review: The week in volatility: VIX Cash: Low - 12.55, High - 21.09 VIX Options: Total 6.66M (4.35M calls, 2.31M puts) VXST: Total 7,746 (5,185 calls, 2,561 puts) Oil Volatility: USO vs. XLE - Traders hedge oil ETF while energy stocks lure buyers. Volatility Voicemail: Questions and comments from our loyal listeners Question from CPunk - Hello Volatility Gurus! Long time, first time. Love your discussions of all things volatility, particularly your breakdowns of the different products. I listened to your episode with Scott Nations recently and it got me thinking about how most volatility products appear to be very flawed. VIX has obvious issues and the Voldex product does not appear to solve many of them beyond eliminating skew. The various ETPs all have very well-known issues as well. If I had to think of an ideal volatility product, it would probably be something along the lines of what your former sponsors VolX promoted - a product that essentially captures the actual volatility in the marketplace. I am not familiar with the underlying mechanics of their product to analyze it, but I think we need more products in that vein, that attempt to deliver the actual volatility in the marketplace versus some vague guesstimate that is probably wildly inaccurate. Do you agree? If you could construct your ideal volatility product, what would it be? Crystal Ball: What do we expect to see in the last few weeks of 2014?

Volatility Views 138: The Action Is In Oil Volatility Review: The week in vol VIX Cash: High: 14.75 - Low: 12.09 VIX Options: Total 5.71M (3.84M Calls, 1.86M Puts). VIX shunned as few bumps seen for S&P 500 at years end. International Vol review: Its official - America is now No. 2 Oil Volatility: Oil futures slide on Saudi price cut to U.S. Gold Volatility: Hard to be a bull in this gold market. Listener Mail: Listener questions and comments Question from Michael Roberts - I came across your program while looking for new diversification options for my clients. I find your suggestions about collars and protective puts very interesting. I have also been reading new research about volatility itself being positioned as an alternative asset class. This leads me to two questions: 1. Do you agree that volatility is an asset class? 2. What is the best process to gain exposure to that asset class for my clients? Is simply buying an options with a substantial vega component sufficient, or must I purchase a dedicated volatility asset such as VIX options or an ETF life VXX? Question from Joe Hill - SPY vs SPX vs e-Mini Options Question. Hello from Georgia. I know that these products are supposed to be similar from an implied volatility perspective, but how similar are they really? After all, they are distinct products, each with its own volume and customer flow. Do they all trade in a similar fashion, or are there times when these products will exhibit discrepancies. Last - Can we get a show on just commodity vol on of these days? Thanks for your time.

Volatility Views 137: Crying Wolf in Volatility ETPs Volatility Review: The week in vol: Global Derivatives Event: It was nice to see a lot of Vol Views listeners and former guests! Sell implied when VIX is low, buy implied when VIX is high. VIX Cash: High - 15.74, Low - 13.13 VIX Options: Total 4.34M (2.89M Calls, 1.46M Puts) VXST: Another weird volume week - 300 to 3,000 contracts on various days. Total 11k (8305 Calls, 2801 Puts) A Review of Jared's Vol ETP Report - Crying Wolf: What the VIX alarmists are missing. Crude Vol: Nat Gas and Oil Volatility Voicemail: Listener questions and comments Question from IndyJoe - I saw Marks tweet about buying high VIX/selling low VIX this week. Can he clarify what he meant by that? Seems counterintuitive. Question from Pat Cummins - I think the pounding the VIX has taken lately is overdone. I am bullish volatility in the long term. Question: What is the best way for me to express that view? You have already dissuaded me from buying VXX as that is clearly the road to ruin. Would I be better off buying and holding a 1-year future? Or is there a third option I am overlooking Question from Alagory - Which is more overpriced - VIX calls or SPX puts?

Volatility Views 136: Oil Volatility and VXST Volume Volatility Review: The week in vol VIX Cash: VIX rallies - the market rallies has been a big story of this week. A lot of outlets have been jumping on the train. VIX Options: 2.3/1 call/put VXST: A decent week from a volume perspective. OI now at 10,244 (8,015 Calls/2,229 Puts) Introducing the launch of Treasury VIX futures. Crude Vol: XLE, Brent and WTI Listener Mail: Listener questions and comments Question from Timinc - Hello volatility views hosts. I appreciate your fine program although much of it exceeds my expertise. My question involves the Black-Scholes formula. I’m a student studying quantitative finance and we’re learning about this formula now. My professor stresses the value of this formula but is it still widely used in industry? Do I need to study Black-Scholes in order to get a derivatives quant or modeling job after I graduate? Question from Alan Baxter - What is the best source for data on trading activity in the volatility swaps market? Crystal Ball: Reckless, wild prognostication ensues. Jared flies solo in looking at the year ahead.

Volatility Views 135: Under-the-Radar Swiss Gold Volatility Review: Vol premium over the past week. Implied volatility vs. realized volatility. Vol Commodities: Oil, currencies, etc. Russell 2000 - RVX VXTYN - introducing the new 10-year volatility product. Crystal Ball: What are we looking forward to in the coming weeks?

Volatility Views 134: Earnings Surprises and Greenspan Gold Fades Volatility Review: Big surprises from an earnings vol/straddle perspective this quarter. AMZN - Sold off about $30. LNKD - Closed at $202.50. TSLA next week. CBOE this morning. VIX Cash: 17.87 - 14.04 VIX Options: Total 6.53m (4.46m Calls, 2.08m Puts) VXST: Total 4927 (4918 Calls, 9 Puts) Volatility Voicemail: Listener questions and comments Question from Phillipono - Are there any good tools out there for comparing realized to implied volatility and determining the best times to sell premium?

Volatility Views 133: Skew Inversions and Dynamic Hedges Volatility Review: The week in vol VIX Cash: Most major indices up on the week - volatility returns to Rocktober. High - 23.08, Low - 15.56. VIX Options: A whopping 6.14M contracts total. OTC Volatility: Volker rule and its impact on liquidity. VXST: When is it going to catch fire? Oil/Energy: Strong investment skew, heavy puts activity. Metals: An outlook on gold/silver volatility. Volatility Voicemail: Return of the Don Comment from Don S regarding this listener question - "Let me leave you with this question: Long term which do you think will outperform - dynamically hedged SPY ATM straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not." Not sure anyone addressed this in a satisfactory manner. When you dynamically hedge an ATM straddle (meaning keeping it reasonably delta-neutral throughout), you are making a bet that the implied vol at which you buy or sell the options will turn out to be lower/higher than the actual volatility that the underlying goes on to display during the life of the trade. So, the first decision to make, which the writer did not address, when he asked about outperformance, is whether he was of a mind to be long or short the straddle. Naturally, being of sound mind, the only acceptable thing to do is to sell the straddle (!), as, historically, the implieds of the options are virtually always higher than what the realized vol of the underlying turns out to be. So, now that we have decided to sell these straddles and dynamically hedge them, trying to earn the spread between implied and realized vol, the question is, which underlying might provide, on average, the better profit potential. Typically, SPY implieds average 2-4 percentage points over realized, but, of course, there is great variability in that spread, which even goes negative, ever so briefly, from time to time. Unfortunately, I no longer have access to the comparable numbers for VIX, but, of course, we are now talking about making a bet not on the volatility differential between implieds and realized for an equity index, but rather for implied volatility itself (VIX), which means that the values we are dealing with are much higher (in the 90s, as opposed to in the teens). Again, I do not have the numbers, but I am guessing that the average spread between what amounts to implied vol of vol and actual vol of vol is somewhat greater than that of those same concepts applied to SPY. Soooo, I am guessing that, for the strategy under discussion, the vehicle of choice would be VIX, and, of course, it goes without saying that the only sane thing to be doing with the straddle would be to sell it. :-) Perhaps, next show, you would like to throw these ideas out there to see what everyone thinks. Regards,Don Crystal Ball: More reckless guesses about volatility going forward.

Volatility Views 132: Wearing Tin Foil Hats in Crude Oil Volatility Review: A week in volatility VIX Cash: Quite a week for VIX cash. VIX Options: Again, serious volume in VIX options this week. Top OI Positions: 367,046 VIX Nov-14 20 calls, 354,540 VIX Oct-14 17 calls, 244,354 VIX Jan-15 20 calls. VXST: Another wild market day - another mild volume day for VXST, only 858 contracts traded on Thursday. Energy: Saudi Arabia keeps the oil market guessing. Volatility Voicemail: Listener Questions and Comments Question from Neal Max - Sounded like you guys were a little skeptical regarding the VolDex product. What do you think of this products chances of actually making it to market? Do you think it has a shot against VIX? Crystal Ball: Insane, compliance-offending predictions regarding volatility.

Volatility Views 131: Breaking Down VolDex, SkewDex and TailDex Volatility Viewpoint: Today’s guest is Scott Nations, president and chief investment officer NationsShares. NationsShares and ISE have partnered on a new volatility product – Voldex. He discusses: Why is this methodology superior to the current VIX methodology? How would Voldex have performed over this crazy week period compared to VIX? Why do we need this product? Does he expect traders to abandon VIX for this or instead using it as a spreading tool? An overview of two new planned additional products, Skewdex and Taildex. Volatility Review VIX Cash: Insane realized and implied volatility this week. Range: 14.05-19.38. VIX Futures: VIX cash trading at a premium to all futures except April 2015. VIX Options: Nearly 1 million contracts on Thursday. Crystal Ball: Jared and Andrew guess vol recklessly.

Volatility Views 130: Talking Volatility Skew Volatility Review: What happened last week in vol? VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market. VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls. Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 54,997 VIX Nov 23 calls at $.94. Gold vol: GVZ ticking up over the past few weeks - futures options still put heavy. Oil vol: Continued put love in crude as well. Volatility Voicemail: Listener questions Question from Crazyhorse - Can some of the roll yield problems suffered by VXX and others be solved by either 1) rebalancing on a less frequent basis or 2) trading a basked of futures as opposed to simply buying the same long term contracts every time? Question from Chris Hanks, Toledo, OH - Hola volatility gang and perhaps special guest. I am a frequent listener and wanted to write in to say thanks for putting out this show every week. My Mondays suck but I get a nice little pickup on my commute when I download the latest episode of Volatility Views. I do miss Don's "sold to you" attitude, but I am sure you will get him back on one of these days. No one gets as fired up about selling vol as Don S. Let me leave you with this question: Long term, which do you think will outperform - dynamically hedged spy atm straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not. Crystal Ball: Jared and Mark make mad prognostications.

Volatility Views 129: Juicing Up BuyWrites Volatility Viewpoint: Today’s guest is Russell Rhoads, who is a senior instructor at CBOE’s Options Institute. He’s on to discuss a new white paper, A Leveraged Portfolio Management Approach Applying The CBOE S&P 500 2% OTM BuyWrite Index. Summary: Historically, the CBOE S&P 500 2% OTM BuyWrite Index has outperformed the total return that would be expected from passively holding a market portfolio. This outperformance occurred on both an absolute and risk-adjusted basis. Additionally, a leveraged strategy that matches 120% of the expected performance of BXY may enhance this performance with a similar risk profile to the market portfolio. Volatility Review: The week that was VIX Cash - A relatively quiet week until an enormous pop on Thursday. VIX Futures - further developments in VIX Futures term structure. VIX Options - Hot Strikes: 326,209 VIX Oct-14 20 Calls, 296,305 VIX Oct-14 17 Calls & 290,453 VIX Nov-14 20.0 Calls. VXST Options - On a day when VIX spikes 18%, there is still no interest in VXST. RVX actually trading a bit on Thursday. Gold still skewing towards puts - Silver puts starting to catch a bid as well. Crystal Ball: Brazilian elections. Could we see another India-like surge in VIX? Non-farms ahead.

Volatility Views 128: Gold Skew Palooza Vol Review: An update on the Alibaba IPO fury. VIX cash: High: 14.53. Low: 11.73. VIX futures: September settlement at 13.03 - right in the middle of the range. VIX options- hot strikes: 281480 VIX Oct-14 16.0 Calls 253852 VIX Oct-14 17.0 Calls 248014 VIX Oct-14 20.0 Calls Top trades: 4.4/1 Calls over puts. Paper sells OCT 18/21 call spread 16, 020 times for $0.18. Paper buys 5k DEC 25 calls for $0.67. VXST Top OI Positions: 1000 VXST 10/1 12.0 Puts 800 VXST 10/1 25.0 Calls 500 VXST 9/24 14.0 Calls Gold/metals vol: Gold skew looking somewhat steep to the downside. Volatility Voicemail: Listener questions and comments Question from John King ‏@jking321 - Could you do a show with an in-depth discussion on LiveVol vs IVolatility vs? Costs/benefits over std broker data etc. Thanks! Question from Indy04 - This might be a strange question but does implied volatility always exist? Are there options out there that essentially trade at their realized volatility level or some other type of riskless rate? Keep on rolling with the show. I love it. Big fan of the network.

Volatility Views 127: Diving Into Treasury Volatility Volatility Review: VIX Cash: Catching a bid today as the market finally said farewell to the 2,000 Strike. VIX Options: Calls are trading at a ratio of 13 to 1, with the biggest trade being a buyer of the Oct 22 calls. Call/Put Ratio - 3.8/1 VIX recalculation (part 2). CBOE Futures Exchange (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (ticker symbol VXTYN) beginning on Thursday, November 13, pending regulatory review. Metals, Energy and International vol. Volatility Voicemail: Listener questions and comments Question from Victor C - Do you think the failure of VXST has to do with the product being too much vol of vol for most people? Is it just too wild of a product for the mostly institutional VIX crowd? Question from Señor Pablo - Thanks for the show Mark, and please say Hi to Jared and Andrew for me. You guys have mentioned some of the VIX competitors in the past. It looks like we will probably get at least one of them, if not both this year. Which one, if any, do you think has the best chance in the marketplace? Question from AltasSmirked - What is a reasonable skew level for the SPX? At what level should I be looking to buy puts? Where should I be thinking of selling them? Crystal Ball: Wild volatility prognosticating is in the house.

Volatility Views 126: A Big VIX Shakeup Vol Review: VIX Cash - A shortened holiday week. Market selling off a bit on Ukraine, after news of a cease fire. Non-farms a non-event. Volatility story of the week - CBOE Incorporates SPX weeklies in VIX calculation starting Oct 6. Question from Spreadjunkie - CBOE bringing SPX weeklies into the VIX calculation - Is this a game changer? VIX Options - 4.1 Call/put. VXST. RVX - Not much going on, only 504 OI. Gold/metals volatility. Scottish independence? Volatility Voicemail: Question from Nick Valenti - I am glad to see you are adding more volatility products to the show including the new Russell VIX. I trade RUT and IWM options very actively and I have been watching this product with great interest. I have yet to pull the trigger on a contract, but I have been close a few times. Like a lot of people, I am still waiting for other traders to join me before I dive into the deep end of the pool. What do you think it will take to kickstart this product? What will the eventual catalyst be for this? Comment from Johnny Mac - My Vol pet peeve is people quoting skew with a "25 delta risk reversal" - wake up people! It is a 50 delta risk reversal. Thanks for letting me get that off my chest. Question from Nickel5 - I know Jared is a reformed iron condor trader. Do these relatively low levels of implied volatility in SPY make him want to get long some condors out there? Maybe in the Oct cycle? Also what is his view on the diagonal condor - buying longer-term guts and selling front month/weekly wings? Crystal Ball: Reckless prognostication of VIX, VXST, RVX and other volatility products.

Volatility Views 125: The Holiday Fear Premium Volatility Review: A bit more volatility this weekend as opposed to last, because of the US Labor Day weekend. Trader taking time delay/Vol out of the market ahead of the weekend? VIX Cash. Trading in the 11.24-12.73 range. VIX Options. 4.2/1 - Call/Put. Top OI Positions: VIX Sep-14 19 C, VIX Sep-14 20 C, VIX Sep-14 16 C. VXST Options. RVX Options. Metals Vol - GVZ down about a point this week. Energy Vol - Oct WTI realized vs. ICE heating oil implied intersecting. Volatility Voicemail: Question from Silas - Congrats to the Vol Crew on such an excellent program. I enjoy all of your analysis, particularly the addition of volatility breakdowns in other asset classes, including crude oil. Ia, starting to dabble more into these asset classes, but I am somewhat dismayed at the overall lack of tools for analyzing these products. What software do you typically use when breaking down volatility in products like curve oil? Thank you again for the fine program. Question from George Dietrich, Baltimore, MD - Are commodities better candidates for hedging strategies such as long puts, or spec strategies such as strangles, because they typically lack the high implied volatility levels in the lowing strikes? Crystal Ball: An outlook for VIX, VXST, RVX and other volatility products.

Volatility Views 124: Volatility Pairs Trading Volatility Review: Yellen and Putin both, but not collectively, having an effect on volatility. VIX futures: August settlement comes in a little more in line, as opposed to last month. VIX options: Top Strikes: Sept 19 calls, Sept 20 calls, Sept 16 calls. VXST options: A lot of activity in VXST: Aug 17 calls 1,500 contracts. RVX options. Volatility Voicemail: Listener questions and comments. Question from Vizible ‏@VizibleApp - What happened to Don S.? Sorry if we missed something, but loved him on the show. Great #podcast btw! Question from NOVIX - I have read some material related to pairs trading for equities and I understand the process of finding non-stationary pairs price series that can be co-integrated to form a stationary series. The basic idea being to trade on the oscillations about the equilibrium value of the spread. While I understand how this is accomplished with equities, I am not sure how suitable implied volatility pairs on equity options are identified since both implied volatility series would already be stationary and so co-integration would not be required. Can someone please explain to how suitable implied volatility pairs are identified? Question from T. Stark - Great podcast. I cannot start my week without my dose of Volatility Views. You guys really do a great job breaking complicated stuff down so that even non-pros like myself get it. The one area where I’m still somewhat confused comes in the relationship of implied vol across an expiration month. I realize that when you say October vol is X you are referring to the at-the-money volatility. But how does that at-the-money volatility relate to the rest of the strikes? If the ATM volatility gets crushed do all the rest of the strikes get crushed along with it? Or are there scenarios where only a few strikes are impacted but the rest are not? How does this relationship work? Are there models or greek variables that explain the volatility relationship between one strike and another? Thanks again for walking this noob through this stuff. Fan for life.

Volatility Views 123: VIX Roars but VXST Whimpers Volatility Review: The week in vol VIX: Russia sends tanks into Ukraine and volatility skyrockets Volatility plummeted after US involvement in the Middle East. CBOE stock as a hedge. VXST: Big moves in only 24 contracts. Why is this product not catching fire? VIX options: Settlements coming up soon. Metals: GVZ dropping earlier this week, but taking a spike recently. Volatility Voicemail: Listener questions and comments Question from Lawrence - You were discussing if straddle prices exceeded earnings moves on your last show. I use software called "LiveVol” that has data for the trailing eight quarters, that shows this data for every company for the first and second expiration. It also shows implied vol crush for the first and second expiration. Their software is amazing. I like to sell iron condors before earnings to get short Vol. I usually use unbalanced condors with a short delta. I feel the underlying moves down for often and more violent. If the underlying moves up, the short Vega reduces loss a bit, in addition to the post earnings crush, as longs sell their protective puts. Love the show! Crystal Ball: Where will VIX settle?

Volatility Views 122: Goldman Straddles and Buffett Puts Volatility Review: VIX cash range: 14.69-17.30. VIX futures trading above cash for quite a bit this week. VIX options 3.4/1 call/put ratio. Top open interest positions: 273,733 .VIX Aug-14 16.0 C, chg +7148 262,146 .VIX Sep-14 19.0 C, chg +1029 221,559 .VIX Sep-14 21.0 C, chg +24 VXST OI: 3037, ADV: 832, 4.2/1 call/put ratio RVX OI: 591 Goldman analyst events study http://www.docstoc.com/docs/158693818/Goldman-Sachs from Trading-Events-Analyst-days. Studied 3,700 analyst days from 2002 to 2012. Twice as positive for stocks vs average day. Analyst days are more significant if held far after earnings. Checking in on Warren Buffett’s equity index put trade by Russell Rhoads, CFA. Volatility Voicemail: Listener questions and comments Question from Rueben Brooks -Listened a while back to a show you and Jared did talking about N. N. Taleb and how you were surprised that, given his long-gamma leanings, he would short the ATM straddle. I found this interview he did a while back, curious on your thoughts: http://www.fxtsp.com/education/fx-trader-interviews/834-interview-with-top-trader-nassim-nicholas-taleb.html One other thing: I was very intrigued by a show you did a while back with Chris Cole over at Artemis capital. I was fascinated by his papers and his exploration of volatility arbitrage. Do you have any resources or books you could recommend where I could learn more about this? I really appreciate all the work you do. You have been by far the best resource, and aggregator of resources, regarding options education that I have found. If you end up addressing any of this on a show, could you let me know which show so I make sure I don't miss it? I try to listen to Volatility Views, Option Block, and Options Bootcamp. Thanks for your time, -Reuben

Volatility Views 121: Something Is Odd with Volatility Skew Volatility Review: VIX hovering around 16 one handle higher than it was last week. VXST is averaging around 18. Volatility skew - some very strange occurrences this week. Volatility Voicemail: Listener questions and comments. Question from TiklenIvory: What is the best way to short VIX? Straight up VIX puts, or go long XIV? Question from James Forrest: I liked the conversation regarding straddle volatility going into earnings. I agree that there should be more research into this area. Jared, I would happily add my $5 to the mix, if that will spur you into action. If you had to guess right now, what percentage of Fortune 500 names do you think outperform their straddle in any given quarter? Question from Eligo: RE: Straddle debate from episode 120. Should any straddle research into earnings incorporate dynamic hedging into the results? For example: If the underlying does not net outperform the straddle, but there are multiple opportunities to dynamically hedge during the trading session, it would net be profitable. Should this be incorporated into any future straddle research, or does this add too much complexity to the equation? Crystal Ball: How long can volatility stay in the low teens? What could possibly cause a move higher?

Volatility Views 120: Breaking down Earnings Straddles Volatility Review: A little calmer week, at least compared to last week. VIX Options:3.8 calls to puts - way off the charts! Top open interest positions 245,725 .VIX Aug-14 15.0 calls 241,232 .VIX Aug-14 16.0 calls 238,364 .VIX Sep-14 19.0 calls Decent movement in RVX, but no appreciable volume to accompany it OI: 470. Crude oil stable following recent volatility hovering around 14%. Volatility Voicemail: Listener questions and comments Question from Nick Snow - Figured this would be a good place or at least the right place for this question. What is implied vol? I mean to ask for a stock we just get one number but every strike has a different IV so when we get one is that the average of the smile or is it the ATM straddle vol? Seems like I should know this if I am trading it. Question from Mr. Higgins - Dear volatility viewers - the Proshares Ultrashort VIX (UVXY) hit a low in June. I though the spread between VIX cash and UVXY would continue to expand, but UVXY seems to have leveled out. What is your analysis of the trading relationship between these two products? Are they reliable spreading candidates? I am not much for futures so I would probably stick with straddle in each to capture the divergence. Thanks for the program - please give my regards to Don.

Volatility Views 119: Craziest Week Ever Volatility Review: crazy week for VIX cash. It had a range of 10.59 to 15.38this week. Thursday: largest jump in over a year -- the day after Jul options settled at a 7-year low settlement print of 11.03. VIX takes big jump on Ukraine, Middle East worries. Set against another Malaysian Airlines crash and rising Middle East tensions, the VIX had its greatest jump in more than a year on Thursday, closing at 14.54, up 32.18%, this represented the VIX's greatest rise since April 2013, reported Bloomberg. Gold jumps 1.5% after plane crash. GLD options breakdown: 2.1 calls to puts, Aug IV - 14%. Has been mostly hovering around 12% recently. Malaysian crash wreaks havoc on wheat futures market. Volatility Voicemail: Listener questions and comments Question from George: I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF can be better indicator to make sure where the SPY, so the most assets, head. How do you use these indicators together for your work? I would use other indicators too such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George Question from Anthony: I just downloaded the CBOE skew index data and worked a little excel fu. The average of the skew index since inception is 117.43. It went out on Wednesday at 134.86 - if my reading of this is correct then that shows a substantial premium to SPX puts going into Thursday’s correction - which says a lot of people were hedged? Of course this is substantially lower than the recent high of 143.26 set on 6/20. So apparently fewer people were concerned about a selloff prior to the actual drop. After Thursday’s selloff the index dropped again to 131.65. That surprised me since I’d think the panic would spark more put buying. Does this indicate the market isn’t as concerned as the selloff might initially indicate?

Volatility Views 118: The VIXFather Turns on His Creation Volatility Review: VIX Cash: the week’s range was 11.01-13.23. Thanks to concerns about Portugal's banks repaying debt, Europe's VStoxx Index and the VIX jumped on Thursday. Will earnings season usher in volatility? VIX Options. VXST Options. SPX Skew. Robert Whaley, the inventor of the CBOE Volatility Index, or VIX, warned that investors are not getting what they pay for when they buy volatility-linked products. Mr. Whaley, now a professor at the Vanderbilt University Owen Graduate School of Management, addressed the issue of their effectiveness on Thursday at ETF.com’s Global Macro ETF Strategist Conference in New York. Volatility Voicemail: Listener questions and comments Question from Morgan Shebanek - Owwwwww!!! Just downloaded the mobile app. Pretty nifty even if it is redundant as all pertinent episodes are automatically put into my Podcast Que. Enjoyed the latest episode and yes I can attest as to the accuracy and timeliness of your "Vol Call" As a retail investor who has a couple regular accounts but no futures trading capability I have a question. So I want to utilize a trade on Vol? Ok, what the heck am I supposed to use?? TVIX & VXX? They look like terrible products. VXST? Can't trade it. The options are listed but when I tried to trade? No go. OoooK. So I feel like I am left using puts on SPY or QQQ. Maybe some RVX if the Small caps look like they are going to roll but I digress. Please help me find the proper product. I am not looking to hedge but rather playing a "trade" in Vol when I feel the timing is correct. Thanks for all the Mad Knowledge. Keep it up! Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other volatility products for the upcoming week.

Volatility Views 117: Getting Your Face Ripped Off By Vol Volatility review: VIX cash had a range of 10.92 - 12.51 last week and has been on an uptrend for most of the week. A look at VIX futures. A riddle from Don. VXST, RVX options. Gold/metals vol: GVZ range of 12.64-13 last week. General downtrend in gold vol after sharp spike the prior week Volatility Voicemail: Listener questions and comments Question from One of the Men ‏@optionideamen: @Options VXX going to collapse into the 4th of July holiday. Buy the 7/11 28p. Winner. U can thank me later. Freebie. Question from Atlantan - I find the topic of volatility ETPs and their net impact on volume in the primary products very interesting. When products like VIX futures were conceived the notion of retail trading those products was inconceivable. To say nothing of retail oriented VIX products like VXX and others. But it seems like these products are the big drivers of volume these days. I might even go so far as to say they are essential. Do you agree? Is it even possible in the current environment to have a successful volatility future or option without a related ETP providing a steady source of volume? Fun show. I look forward to my weekly dose of all things volatility. Any chance of some ag vol rundowns in future episodes? Question from Giuseppe Varino - To what do you attribute the recent vol divergence between the VIX and the Russell 2000? It seems as though Russell vol was unjustifiably inflated. Or do you feel this premium was justified? Do you expect this scenario to reemerge anytime soon or was this a relatively one-off situation?

Volatility Views 116: The Mystery of Gold Volatility Futures Volatility Review: VIX cash hovering below the 11 handle yet again and the narrative has shifted from "VIX is too low" to "We may see a single digit VIX soon," which Andrew predicted this not too long ago. Top OI Strikes: July 13 Put - 416K, July 16 Call - 385K, July 20 Call - 371K & Sep 19 Call - 261K. RVX: OI still hovering around 5K contracts. Janet Yellen torpedoed a key catalyst for market volatility, characterizing the recent inflation data as "noisy". GVZ jumps 20% in one session. Oil volatility returns on Iraq fears. Currency volatility plummets. Volatility Voicemail: Listener questions and comments Question from J. Ingraham: loved the discussion of GVZ on the network this week. I’m very intrigued by this product. Like Mark said, GLD and VIX should be two great tastes that taste great together. Yet this product does no appreciable volume. I’ve tried to trade this several times but the lack of volume and terrible spreads kept me out of it. Why do you think GVZ has essentially failed as a trading product? Question from Cigar Store Indian: Great show. Thanks for breaking down the problems with volatility ETFs like VXX. I’ve dumped that product from my portfolio after listening to your program. Thanks for helping me dodge a bullet on that one. I also have a question about another ETF product GLD. This product doesn’t seem to have the same issues with regards to term structure. Am I correct in the estimation that this product is safe to buy and hold in my portfolio for longer than a few hours? Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other volatility products.

Volatility Views 115: VIX Says Poo to You Volatility Review: VIX cash broke the 11-handle last week while we were recording, but it has since rebounded over concerns in Iraq. VIX futures started to see some backwardation creeping into the curve last week. Is that still the case this week? The death of volatility forces traders to get creative. The Economist asks "Is this the calm before the storm? Bank of America's market risk index falls to lowest level since 2000. Iraq concerns spike crude price and volatility. Volatility Voicemail: Question from Indigo Blue - What’s up with gold volatility? The contract is selling off like mad and yet volatility is at near record lows. I have been taking advantage of this opportunity to load up on some GLD premium, primarily verticals. I have also been think about ratio/repair trades in the gold futures options. Thought on this crazy gold volatility environment? Question from VIXinator - Do you think this is a good environment for a cheap VIX vertical - maybe Jul 16/20 CS for $.35 or Sep 17/20 CS for $.60? Question from Andy Braga - What do you think about Apple as a dispersion candidate going forward? Do you think the split will take the wind out of its sails from a volatility perspective, or is it perhaps more attractive here? CRYSTAL BALL An outlook for VIX, RVX, VIX ETPs and other volatility products.

Volatility Views114: The VIX Is Dead. Long Live the VIX. Volatility Review: Another slow week from a vol perspective - VIX Cash vacillating around 11.50 most of the week. Is VIX and volatility too quiet? Is the VIX too cheap? VIX and VXST options. New volatility ETFs launch. Gold volatility hits 14-month low. Volatility Voicemail: Listener comments and questions. Comment from Angelthorn - Great show last week guys! Finally people not afraid to stand up to the "VIX is cheap" hype machine and back it up with some data. I am join to sell some Vol in your honor. Question from George - I do not know whether the VIX index or the implied volatility and historical volatility of the SPY ETF is a better indicator to make sure where the SPY and indeed most assets are headed. How do you use these indicators together for your work? I would use other indicators too, such as moving averages, volume underlying price, RSI and other major supports and resistance levels of the underlying prices. Thank You. Regards, George Question from TheAnalyst - I was able to track down a copy of recent BGC research notes through a colleague. I found a comment in the most recent research note, surprising given recent statements to the contrary on Volatility Views. “The one month implied volatility of VIX options as measured by VVIX was featured in our last Volatility Tracker update, and the estimate remains near record lows. Given this discount, VIX options still look more attractive for equity portfolio hedgers than e.g. at the money SPX or SPY puts.” It was my impression from the last episode that the panel, particularly both hosts named Mark, took a dim view of VIX as a hedging tool. Yet the most recent BGC research appears to recommend them. I very much enjoy this program and hope you can shine some light on this discrepancy for me. Crystal Ball: An outlook for VIX, RVX VIX ETPs and other volatility products.

Volatility Views 113: Fighting Low VIX Hysteria Volatility Review: A truncated holiday week. VIX cash hovered around 11.50 most of the week. Call/Put hovering at a ridiculous 3.3/1. Is the volatility "crash" reason to worry? Record highs for nine CBOE indexes. Volatility Voicemail: Listener questions and comments Question from Jim Charles, Lexington, KY - I know your recent guest Euan Sinclair downplayed the VIX call/put ratio as being due to systemic issues with the products, but that indicator has only risen since that episode. Leading me to believe there is something to it. Where do you guys stand now on VIX call/put? Are we poised for a pop or is this just the result of the CBOE beating the mean reversion drum back to 20? Question from Annabelle Schmidt - Your guys profiled a sizable VIX vertical call spread in the September expiration cycle. Mark mentioned that it might be tied to an OTC variance trade. Is there any way for customer to get more information on that dark portion of the volatility market? It seems that quite a bit of the daily activity actually occurs in the OTC realm, so we are only getting half the picture if we just look at listed VIX trades. Great show! Great discussions! Hopefully Jared will stay on the program now that he has a new job. Question from Sienna78 - S&P 500 at record high, VIX at record low, portfolio looking good. VIX Aug 12/16 calls for $2 or SPY Jul 190/170 puts for $2.30 - best protection? Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.

Volatility Views 112: How Low Will It Go? Volatility Review: VIX cash broke the 12 handle - drifted to a low of 11.68. Is the VIX in a deep sleep? Or has it permanently changed? Is low volatility here to stay? India VIX slumps post-election. Volatility Voicemail: What do you want to know? Question from CNans - Gamma vs. Vega scalping - You have discussed gamma scalping on early episodes, as a way to pay for long volatility positions. Is it not also possible to scalp vega by legging into spreads intraday? Or is scalping a particular activity linked to gamma trading? Would it be possible to do a show entirely devoted to listener questions? That is my favorite part of the program because I always learn so much from your answers. Comment from Sly @sportsmentalist: Hey Mark, really enjoyed the Vol views episode with Sinclair. You should do more quant oriented episodes