Volatility Views

Volatility Views 111: Volatility Trading Volatility Viewpoint: Our guest today is Euan Sinclair, Trader at Bluefin Trading, and author of Volatility Trading and Option Trading. Volatility Voicemail: Reader questions and comments Question from SoloHan - Great show! Just discovered it and I am working through the back catalog as we speak. I just have one question so far, and I apologize if you have covered this in the past. I am an avid VXX trader. It’s a core component of my portfolio along with SPY and FB. I have heard Mark dismiss TVIX in the past as only for very short- term trades and if you by-and-hold VXX, you will lose money. Can you explain this please? What am I doing wrong by investing in VXX? Thanks again for this insightful program. Question from Sea Shanty - Can you please explain the difference between RVX options and IWM options? Are they not both ways to trade Russell volatility? Luv the show. Mark is a great host and Jared brings that rural Virginia sensibility to volatility. Keep ‘em coming

Volatility Views 110: Is Volatility Dying? Volatility Review: April volume numbers are in. Is volatility dying? A new volatility index fund will launch soon in Australia. Demand for VIX future remains low in India despite high volatility. Volatility review in other asset classes including: ags, metals and fixed income. Volatility Voicemail: So many questions! Question from Allan S - I hear a lot about gamma scalping on the network. But what about volatility scalping. Isn't that really what you're doing? Aren't most options traders really volatility traders? Thank you for clarifying. Question from Jim Thompson, New Mexico - What does the volatility panel think of flash boys - particularly as it pertains to Volatility. Are these same players active in derivatives and, if so, are they causing our exacerbating volatility? Great show Mark. Jared has been an excellent addition to the team. Crystal Ball: An outlook for VIX, RVX, VIX ETPs and other products.

Volatility Views 108: VIX & More with Bill Luby Volatility Review: Today’s guest is Bill Luby, founder of the VIXandMore.com blog. It was a relatively quiet week for VIX, mostly drifting down toward the 13 handle until today. An aggressive selloff boosted volatility across the board. VIX Futures are catching bids as well. VIX options activity today: 4/1 calls over puts. Is there any sign of life in VXST? India VIX reaches record highs. Kospi 200 volatility index hits record lows last week. Volatility Voicemail: Panels for advisors, volatility re: valuations, earnings, scanning tools, and more. Question from Sanjay Patel - I have to agree with the hosts regarding the discussion from episode 104 regarding VIX ETPs and RIAs or family offices. I have been active in the advisor community for several decades, following all of the latest research and attending many industry conferences. I have never encountered a single study or panel devoted to this issue or a fellow advisor who utilizes these products. My evidence is all anecdotal but I would think that if advisors made up a significant portion of those flows I would have encountered that by now. I just wanted to share my thoughts with your listeners. Thank you for reading my question. Please continue to produce this fine program as well as the Advisors Option. They speak to very unique audience. Question from Even_Star - Is it possible to run options valuations models using actual rather than implied volatility levels? I think this would give a truer approximation of the options value when you strip away all of the nonsense that comes from implied volatility. Question from Haweye - Aside from Apple last week and Google last cycle, it seems like most companies are dramatically underperforming their straddles during earnings season. Microsoft and Amazon are simply the latest names to fall victim to this trend. To what do you attribute this trend? Why are traders so consistently overestimating volatility going into earnings announcements this year? This would seem to be a good environment for a risk defined premium harvesting strategy, such as an iron condor or iron fly. Question from James Norman - Love the Volatility Views show. Great content. Great guests. Keep them coming. I would like to ask a question about tools, in particular scanners. You have discussed scanners for unusual activity and changes in implied Vol on previous shows. Do you know of any tools that scan for changes in implied volatility skew? I am looking to capture skew distortions that allow me to leg into verticals, ratios and risk reversals at highly attractive levels. Does such a tool exist? I did not know where else to turn, but I know Mark and the Volatility Views team will not let me down! Crystal Ball: FOMC, Q1 GDP, ISM and the employment report (plus earnings) - all in one week!

Volatility Views 107: Another Day, Another Selloff Volatility Review: Another day, another selloff. VIX cash pops one handle to nearly 17. VIX call/put hovering around 2.6 - high but not at all-time highs. VIX cash trading at a premium to near-term futures. Does the VIX "fully" reflect the markets fear? CBOE launches a new Vol product - Short-term Volatility Index (VXST). Emerging market Vol preview. Volatility Viewpoint: What was Russell’s take on RMC this year? Volatility Voicemail: International VIX? Question from Vegaman - Great podcast. Love the recent rundown of RMC since I’m never able to attend the show. My question - do you know if any international versions of the VIX are in the offing? You’ve discussed the India VIX on previous shows but that seems to be the only non-U.S. version that gets mentioned. Thanks to the folks at Russell for making this great show possible. Oh - and I’m streaming the show while submitting this question from the mobile app. Very cool. Crystal Ball: An outlook of VIX, RVX, VIX ETPs and other volatility products.

Volatility Views 106: HFT and Volatility Volatility Review: It was a mild week with the VIX around the 13-handle for most of the week. Did premiums increase going into the non-farms announcement, or did the market shrug as with other recent non-farms? March VIX futures rose 20% year-over-year. VIX futures also set a new quarterly volume record when 12.38 million contracts traded, up 35% compared to the first quarter of 2013. Volatility Voicemail: You direct the conversation Question from George - Big fan of the show - been listening for years. I think Jared is a great addition to the panel. There is a lot of talk about HFT firms manipulating stock markets in the wake of the Michael Lewis book Flash Boys. I have seen lots of talk about price manipulation, but I keep coming back to all of your discussions on Volatility Views, and it makes me wonder - why is no one talking about volatility as it relates to HFT? Are the firms adding volatility to the marketplace? Could these firms be responsible for a lot of the vol of vol that we see in the marketplace right now? Particularly in very active name or in some of the volatility ETFs? Keep up the great show! Question from EVO16 - I am a regular user of VXX. I have heard you refer repeatedly to the cost of rolling this product and how it negatively impacts holders. Is there anything I as a regular VXX owner can do to minimize this? Are there other ETFs out there that attempt to do this? Crystal Ball: An outlook for VIX, RVX and VIX ETPs.

Volatility Views 105: Happy Anniversary, VIX! Volatility Review: VIX Futures turns 10 years old! VIX spot products - when could we see them? Russell VIX and metals - gold volatility. Volatility Voicemail: Question from Burt Skerton - Hello Options Insider! I have been listening to your podcast for quite a while, and have been trading successfully as a result of the valuable information that you have provided, so for that I thank you. I am confused however about a situation I am seeing. I have a position in the VIX, where I bought the Nov 15 put for $0.80, with the underlying at the time of purchase listed at around 1,650. Today the underlying has dropped to around 1,300+, but the option is only trading around $1.30. It seems that the option should be worth more than that because it has about $2 of intrinsic value. So in theory, could someone with a large account just buy a few contracts, exercise them immediately, and sell the underlying on the open market for a huge profit? Thanks for clearing this up for me, keep on rocking! Question from Brighton Capital - Very informative show with Jarrod Woodyard yesterday, do you have a similar post-FIA/Boca discussion in the works? Question from @vikingwrath - The market is iffy here. What are your thoughts on UVXY in the short term? Crystal Ball: USDA quarterly grain stock report coming out soon for ags. Interesting vol Products: a lot of vol in German renewables.

Volatility Views 104: Revisiting Risk Management Volatility Review: Vol is being bid up. VXST options coming April 10, and the full day of VIX futures trading in mid-June. Nat gas futures tapering off a bit. Metals chat includes gold, silver and copper. Volatility Viewpoint: A review of the many panels at the Risk Management Conference from this last weekend. Crystal Ball: An outlook for VIX, RVX and VIX ETPS.

Volatility Views 103: The Russian Ripple Effect Volatility Review: A mild selloff on the street caused by the ever-growing tensions in Ukraine. This would be a perfect time for VXST, but you will have to wait until April 10. TVIX gets a second life, whether it merits it or not. CBOE to expand VIX hours. Volatility Voicemail: What do you want to know? Question from Charles Engel - Is there any way to buy and hold VXX without paying the inherent roll risk? Comment from IfThen - Bitcoin cut in half after Mt. Gox - talk about volatility! Question from C-Bug - Are there any products on the horizon that you think can dethrone VIX from the volatility throne? Vol Dex? Question from Tom Wills, Eugene, OR - I remember you discussing a VIX call strategy that could out-perform direct SPX put spreads on an older episode, but I'm not sure which of your 100 episodes it was. Please help! Crystal Ball: An outlook for VIX, RVX, and other VIX ETPs.

Volatility Views 102: What Is a VIX Covered Call Volatility Review: VIX jumped 14% on March 3 to nearly 16, with the tension in Ukraine, but on the following day fell 12%. Monday was the big day across the board for VIX, volumes trailed off the rest of the week. May 18/Aug 20 straddle swap - paper sold Aug bought may 5k-6k times for $1.65. A good month for VIX Futures. CBOE February VIX also hit record heights. More "showshine boys" from Chris Cole. Volatility Voicemail: Question from Bryan Tong - When will we get VXST options? Soon? Question from Enten - If I buy and write VIX calls against it, is it technically a covered calls? Will my broker recognize it as a covered position? Question from Declan Smith, Dublin - Why do so many people buy VIX calls to hedge their long premium SPX-SPY positions? Do they not know that they are already long the implied volatility of the S&P - aka VIX? If anything they should be selling those calls or buying puts. Question from Tim J. - What is the settlement process for VXST? Crystal Ball: An outlook for VIX, RVX, and VIX ETPs.

Volatility Views 101: Buying Vol at Any Price Volatility Viewpoint: The team is joined by special guest Jared Woodard, Founder Clinamen Financial Group and Condor Options. He gives an overview of the Vol Tracker and global map of implied volatility. Goes over some of the interesting findings you pulled out of your piece "Buying Volatility at any Price". Discusses his your take on what we have been seeing recently out there in the world of natural gas volatility What he’s been seeing in the realm of currency. Reviews how the premium levels in different emerging markets have changed since he wrote your piece "Emerging Market Confusion". Volatility Review: Vol in the 20 range. Is this a long-term average? Will realized volatility catch another tail wind? The plethora of VIX products - Is it still a reliable index? Crystal Ball: An outlook of VIX, RVX and other vol products/indexes.

Volatility Views 100: Volatility Tourists and Shoe Shine Boys Volatility Viewpoint: This week’s guest is Chris Cole, Managing Director at Artemis Capital Management. They discuss: How he incorporates vol into his trading? How he defines a low vol market? His feelings about VXST? Volatility Review: The first week of VXST. The long term Jan 30-40 put spread that went up this week. Was that risky? Playing the wait and see game with RVX. Volatility Voicemail: Question from Neil Higgins, Birmingham, UK What impact, if any, do you think the entrance of China into the options market will have on volatility? Will it spawn a whole nation of VIX call buyers? Also, what is your view on the performance of the India VIX vs. S&P 500 VIX? Is it a better barometer of market volatility since it does not have all of the ETP baggage that bogs down the US VIX? Mark if you ever take the show on the road to England, let me be the first to offer to buy you a pint. Great stuff all around. Crystal Ball: What is there out there to inject some juice into the markets?

Volatility Views 99: Debunking BXM vs. PUT Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index. They discuss: How he got involved in creating the put-write index with he CBOE What the response has been to the put-write index Why he thinks the Put-Write remains in the shadow of BXM Why he thinks commodity-based volatility products like GVZ, etc. have failed to take off in the marketplace His take on the recent move in nat gas and the volatility levels out there Volatility Review: VIX options are on fire lately, with an ADV of nearly 700k contracts recently. Still heavy interest in calls (2.4/1 calls to puts), but nowhere near as strong as it was a few weeks ago when it hit nearly 3 to 1. Realized vol is still beating implied vol, but the gap is closing. As with VIX, the bulk of open interest in RVX is in the calls. Volatility Voicemail: The vol experts will take your questions now Question from Mr. T Bill - I know the focus of your program is equity volatility, but I think there might be an audience for fixed income volatility as well. You could discuss the performance of implied vs realized across various treasury options and futures. You could even mix in some discussion of ETFs like TLT (March and April are both trading at an 11 implied vol - flat term structure - trading opportunity?) Any chance you might consider adding this to future shows? Thanks and I love the program. Glad its back on the air. My weeks just were not the same without Vol Views. Please give my best to Don. I hope he can come back on the program some day. Crystal Ball: An outlook for VIX, RVX and other vol products/indices.

Volatility Views 98: The Rise of Short-Term Volatility Volatility Review: A crazy week for VIX call buyers - they did not get the pop they were expecting. Looks like that big VIX call writer last week was on the right course. Volatility Viewpoint: Our guest today is Jay Caauwe - CBOE Futures Exchange. Hot on the heels of two new records: 2013 was a record year and January was another record month. Are you still on-track for a Feb 13 launch for VXST? What about the options? What has the response been to the extended VIX hours? What has the customer response been to RVX so far? What use cases are you seeing for it? Any other Russell volatility products on the horizon? Crystal Ball: An Outlook for VIX options/futures, RVX & ETPs.

Volatility View 97: Consulting Volatility Volatility Review: So much for single digit VIX cash in Q1. VIX options call/put nearly 3 to 1 right now, hovering at record size. People still loving VIX upside - size open interest all the easy up to the Feb 60 strike. Current RVX open interest at 2700 contracts, traded 250 lot yesterday, the zealots are out in RVX. Volatility Voicemail: Comment from Jason Ungar - Hi, Mark: I hope you are well. I just heard your (latest, I think) podcast which included a question about the PUTs consistent outperformance of the BXM. I know you wanted to look into this, and I think I may be able to help. While it is tempting to ascribe the differential to the PUTs puts carrying a higher IV than the BXMs calls, there is almost invariably only a 5 point spread between the two option's strikes, and this is too narrow to capture any significant amount of skew. The actual reason for the difference is a bit more complicated and has to do with the indexes' settlement methodologies. As I am sure you know, index options settle against the Special Opening Quotation, which was instituted by the CME as a way to price expiring S&P 500 futures. The SOQ captures the opening price of all 500 components of the S&P 500, and the anomaly is that on expiration Fridays the SOQ often comes in at a premium to the cash open. The precise reason for this is unknown, but it may have to do with the action of market makers buying back the futures they used to hedge short put positions. The CME and CBOE are aware of this (see the included "Understanding the SOQ" pamphlet and note the consistent positive spread between the SOQ and the cash open and the reference to the SOQ "occasionally departing from index values".) The reason the high SOQ is relevant is that it causes the BXM to purchase expiring ITM calls at a premium and the PUT to purchase expiring ITM puts at a discount. This is compounded by the tendency of the market to open strong on expiration and then to tail off. This is good for the PUT, which is out of the market for the first two hours of trading, and bad for the BXM, which is long the market until new calls are sold beginning at 11:30 eastern. You can do an easy test to confirm this. Just line up the daily returns for both indexes (available for download at cboe.com), and note that the greatest differentials (usually in the PUT's favor) almost always occur on expiration Fridays. I have included a JAI paper on the PUT I coauthored with Matt Moran as well as a follow up article. I would be happy to discuss any of this. All the best, Jason Ungar Question from Hannibal Smith - What is the Volatility Views panels take on the recent announced VolDex product from ISE and Nations Shares? Is it a credible competitor to VIX? Crystal Ball: Heading for more of the same trouble in VIX land?

Volatility Views 96: Harvesting Volatility Risk Premium Volatility Review: An ugly, ugly day across the board for Vol. S&P down 2%. VIX settlement last Wednesday. What is it about Feb that brings out the VIX call buyers en masse? Volatility Viewpoint: Today’s guest is Scott Maidel, Senior Portfolio Manager of Equity Derivatives at Russell Investments. They discuss: Short volatility strategies & framework An update on the call overriding portfolio Why does a volatility risk premium exist? Is volatility an asset class? What are alternatives for managing portfolio volatility? Strategy construction techniques for harvesting volatility risk premium Will implied volatility underperform realized volatility in the coming months? What are some favorite tools/products/techniques for capturing implied vs. realized? How does the volatility premium in products like RVX differ from traditional S&P volatility products? The ideal use case for a volatility product like VIX/RVX? Crystal Ball: Weak China, Argentina, and worse-than-expected housing numbers, etc. has combined into a massive weight on the market, and volatility has only recently come to life. What should we expect going forward?

Volatility Views 95: When the Crazies Emerge Volatility Review: Activity review for VIX futures, VIX options, RVX and VIX-related ETPs. Extended hours working for VIX. VXST approval expected in February. The 2013 numbers are in: VIX futures 2013 annual ADV - 159K - Up 67% from 2012. VIX options 2013 annual ADV - 567K - Up 28% from 2012. SPX options 2013 annual ADV - 823K - Up 18% from 2012. Volatility Voicemail: What questions do you have for us? Comment from nrlbuild: Great to have Volatility Views back on the air...but what about Don Schlesinger? Breakin' my heart man! Keep up the good work, Ned Question from Greg: I'd been looking at the CBOE's Put-write vs. Buy-write strategy that rolls the ATM monthly options short. On the surface it appears the PW outperformed with less volatility over the last 25 years. It appears the PW outperforms over longer periods because any or all of the following: 1) Investors have overestimated future dividend payments 2) Investors have overestimated future interest rates 3) The random timing from the call or put being slightly ITM or OTM during more pronounced market moves It's important to note that implied volatility should not explain a significant difference here. Both Calls and Put values are positively correlated with volatility. If you have a taxable account and your underlying holdings are targeted to be held at least 1 year, it would seem covered call would win out due to the stock and dividend being taxed at LT rates. Put premiums and bond interest are both taxed at ST rates. Commissions are a slight advantage to the PW strategy but in the world of online discount brokerages I would think this is insignificant. Thoughts? Question from: expertmagician: I just found you! Just started using Volatility ETFs, and have never used futures or options. What is the best way to learn about various ways to hedge S&P or Russell using VIX ETFs? Great podcast! I would love to see an RVX ETF. Problem is with contango and contract roll exposure with ETFs. So, I am looking for a way to do this because I do not have the time to learn and actively trade futures or options. Crystal Ball: Outlook at VIX options, futures, RVX and other volatility products activity next week.

Volatility Views 94: We Are Back! Volatility Views is back from hiatus and in this episode, Mark is joined by Mark Sebastian and Pat Fay, Director of Listed Derivatives, Russell Indexes Volatility Review: RVX options and futures are back. Why bring them back? What’s unique to the RVX relative to the VIX? An overview/analysis of all the recent trading activity in VIX options and futures as well as VIX-related ETPs. Volatility Voicemail: What Do You Want to Know? Comment from Mr. Inc.: @Options Great to see that Volatility Views is returning to the schedule. My fav show. Cannot wait to hear it again. Question from Joseph Hill, Spokane, WA: Great episode with Russell Rhoads from the CBOE. I hope Vol Views will be back on a more regular basis going forward. I also have a question about vol trading. I like the idea of VIX options, but I am not heavily invested in S&P 500 stocks. I think something like the NASDAQ VIX for my tech portfolio and Russell VIX for my small cap. My question is - Are these products identical to regular VIX options except for a different underlying? Or do they have different calculation formulas, settlement dates, etc.? Any plans to launch a futures show? Question from SID S., Des Moines, IA: What is a good way to trade corn volatility? Do I have to do straddles on the big futures options or is there something else? Maybe a corn VIX that offers a more direct approach? Crystal Ball: Our expectation from the upcoming week in VIX, RVX, ETPs and more.

Volatility Views 93: Returning in Style Volatility Viewpoint: Mark’s guest is Russell Rhoads, Senior Instructor, Options Institute. What does The Options Institute do? What is your opinion on the massive influx of retail traders into sophisticated institutional products like VIX options? What is your opinion on this new shorter-duration VIX products? Volatility Review: Last-minute hedging activity in the broad indices ahead of the shutdown attributed to a short squeeze in volatility. Did the aggressive selling activity prior to the deadline a surprise to you? We are seeing some backwardation in the near-end of the VIX curve right now - a rare occurrence. How will weekly VIX change the marketplace? Listener Mail: What do you want to know? Question from Endzone - Will the sing name VIX products ever see the light of day Question from George Santiago, San Diego, CA - I love the volatility views program and am looking forward to its return. Mark, Don and the gang put on a very informative program. I wold like to ask a question about variance. The CFE launched a variance product several years ago that received little traction. They have since pulled it. What was the problem with that product? Do you feel the relaunched version has nay chance in the marketplace? Crystal Ball: Dangerous roads ahead as we navigate the shutdown. Watch out for another short squeeze in volatility. Eventually premium has to erode - something has to give.

Volatility Views 92: Zero Sum Game? Volatility Viewpoint: We shake it up a bit and discuss the biggest news of the week first, namely the New York Times article, "Growth in Options Trading Helps Brokers but not Small Investors." The Crystal Ball: We discuss the future of Vol Views itself. A short summer hiatus will cover the rest of June, but we're hoping to be back in July with a new and improved format, more voices, new segments, but the same Vol Views you know and love.

Volatility Views 91: Historical Lows Volatility Review: Realized volatility plummeted. NASDAQ sits at 12.06 and S&P is even lower at 10.01. Don and Mark Sebastian called it. Listener Mail: We answer listener questions. Question from Jackson Engles, Garden City, NY: When you are analyzing historical volatility, what time frame is most relevant? The past 30 days? The past three months, six months, etc.? What do you focus on in your analysis Question from Timothy VanAllen, Baltimore, MD: I hope Mark didn't lose "the Voice of Options" at his unusual activity event. I couldn't make that one, but if you guys end up doing a Vol Views 100 live, I hope to be able to attend. My question has to do with vol skew. We hear a lot about the vol smile, but nothing really exhibits it. Can you guys think of any underlyings that really spike from a volatility perspective once they move away from the ATM in either direction? Question from ATL16: Dollar/Yen is crazy lately. What's a good source for FX vol info or analysis? Question from Phil Thomas, London, ON: In what conditions would the Vol Views Squad ever consider using upside VXX or VIX calls/verticals as a portfolio hedge? Or would you always stick with the good old S&P put spread/ratio spread? Question from Mr. Pop: Quick question -- What is your favorite position for trading volatility? The Crystal Ball: Fading the short-term, buying the long-term. How long can VIX stay this low?

Volatility Views 90: Sell or Sell Not, There is no Buy. Volatility Review: The dollar hit a historic level with the Yen last week, and this has had an effect on the currencies Vol. The inversion of realized volatility, where it's higher than VIX, continues -- a rather unusual occurrence. Volatility Viewpoints: Dennis Chen. He is the co-author, along with Vol Views's own Mark Sebastian, of The Options Trader's Hedge Fund. Listener Mail: Comment from Hawkeye: In honor of May the 4th, "Buy not, sell or sell not, there is no buy." - from Don "Yoda" Schlesinger. Thanks to all the volatility masters for such a great podcast! Question from Mr. Todd: I found Mark L's comment about VXX being the #3 exchange traded product quite surprising. You guys have slammed that product frequently on this program. Why do you think it has succeeded among the entire universe of VIX ETPs? Thanks for the greats shows - when Mark "The Voice of Options" speaks I listen! The Crystal Ball: This curious situation with VIX really throws a wrench into the machine -- not sure where we go from here.

Volatility Views 89: Moving in Lockstep Volatility Review: Market up 1% after some surprise news from the non-farms report -- better than expected. We had a unique week where the market was up and VIX was up as well, for 4 days in a row! Listener Mail: Mark and Don take your questions. Comment by AsymmetricRisk on the Value of Gamma episode: Best Vol Views ever, by far, full of actionable insight. A whole new level for Vol Views. Keep up the good work. Question from Hawkeye: I just picked up Mark Sebastian's book The Option Trader's Hedge Fund. I am looking at the example where he uses a double diagonal, then "weights the vega." I understand why he wants to weight them, but I don't understand where he got the actual weight values he used from. Can anyone help? Thanks. Question from Tom B, Houston, TX: Hey Vol Viewers - My question is for Don and Bob from the Volatility Exchange. With the recent crash at the CBOE, are you guys at VolX at all concerned about putting all of your eggs in one basket when it comes to listing exclusively on one exchange? Would it be better for RealVol futures to be listed on all relevant exchanges? Thank you for this program. I look forward to it every week even though most of it goes right over my head. Mark L has the best voice in options, Mark S is a zany character and Don can recite volatility calculation like nobody's business. Keep it up! Question from Tim L, Long Beach, CA: Does anyone offer the equivalent of FLEX options for volatility? If so, would you recommend them? Question from Athelas: What did Vix traders do during the CBOE crash? SPX has many outlets but there aren't any for VIX that I am aware of. Question from Tiny Tim: Where do the Vol Viewers stand on Vol before earnings? If you're long Vol, do you get out before the announcement? If you're short Vol, do you get out after the announcement? The Crystal Ball: Implied Volatility has possibly hit its bottom. These 1% moves a day could continue.

Volatility Views 88: Reestablishing the Norm Volatility Review: Vol has spiked in the last week, going nearly as high as during the Italian elections. CBOE computers go down. How does the inability to trade VIX affect the overall markets? Listener Mail: Mark and Don will take your questions now. Question from Phil Z. - Mark, love the show! Could you explain what you, Don, and Mark S. mean when you say VIX has "roll risk"? Question from Tom S. - Do you agree with the theory of your guest that near-term S&P OTM puts are the most resilient to time decay? The Crystal Ball: VIX should stay high for a while, but will not go above 14%.

Volatility Views 87: It All Comes Down to Timing Volatility Review: The VIX shot up at the beginning of the week, but was selling off by the end of the week. There was a broad vol story happening this week, particularly in the commodities with gold vol spiking 500% over two weeks. Volatility Viewpoint: Bob Krause discusses the RealVol Index, available at VolX, which features nine daily indexes. Bob also talks about how a real-time value can be calculated from a daily value. Listener Mail: Tell us what you want to know. Question from Blake M, Troy, NY: If I trade bullish risk reversals, does the volatility premium give me an inherent advantage over collar/bearish risk reversal trades? Question from Mitten, Toronto, ON: When does VolX plan to launch a RealVol contract on commodities? I think a metals contract would be very popular and profitable for the exchange. Question from Mike P: Mark, are you aware of any research, or can you bring on any guest to discuss to the performance of at-the-money straddles during earnings cycles? It can be either from the short or long side. I'm surprised at the lack of available information on this topic, given the importance of the subject matter. This impacts pretty much every options trader at least once every quarter. Any light that you could shine on this through your fantastic radio network and website would be very much appreciated. The Crystal Ball: Apple and other earnings next week, which have an impact on vol premium. The bulls could be coming back in force.

Volatility Views: The Value of Gamma Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver. Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as money flows in from Asia. Lowest realized vol in Gold was charted in early April, with vol spiking ever since. Vol of vol is around 170, and is likely going over 200. Volatility Viewpoint: Today guest is Shreyas Chari, Principal at Satwic Capital Partners. He discusses gamma and its relative value in the marketplace, as well as other aspects of volatility. The Crystal Ball: Weekly options are becoming more efficiently priced.

Volatility Views 85: Responding to Great Listener Questions Volatility Review: It is somewhat surprising to see how little the recent European crisis has impacted the VIX. Perhaps the market over-reacted to the news in Cypress. NASDAQ 21-day realized volatility is below that of the S&P. Listener Mail: Keep those questions coming in. Question from Jim Petchi: I have been listening to Volatility Views for a while, but I still do not understand how the volatility of a specific option relates to the probability of the change in stock price. Does the implied vol of a specific option (like AAPL today at 443, with a April vol of 29%) mean that AAPL has a 29% chance of making a one standard day deviation move, which is 67%, in that time frame? If not, is there some way of relating the implied vol with probability? Question from A Heiner: (in reference to "Risk Reversals Trade BPI" an unusual activity article) What does this mean? I apologize but I do not understand the market and what this says about the future of BPI and its price. Can you break it down for me? The Crystal Ball: The crisis in the Mediterranean will likely get resolved soon, and in a way the market finds favorable. Happy Holidays everyone! We will be back in two weeks.

Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4 Volatility Views 84: May You Live in Interesting Times Volatility Review: We are back after a short break last weekend. Most major indexes have reached near-record lows highs. As a consequence, because of the inverse relationship, volatilities are extremely low. Could this be the norm going forward? Is there a line drawn in the sand with options' implied volatilities? Listener Mail: Our team tackles your questions. Question from Phil Fan: Do you ever plan to host a live recording of Volatility Views? If so, when and where? Please put me on the list. Question from Tim Moore: The host frequently says that vol traders don't understand basic math. What does he mean by that? Question from X64: Are there any good tools out there that show up-to-the-minute, even intraday, realized volatility? Question from Aston Meyer, Brooklyn, NY: I enjoyed your recent show with Randy Swan. However, do you really think it is realistic for a client to expect his financial advisor to have a working understanding of volatility, in addition to all the other things they keep track of for their clients (stock selection, tax implications, risk tolerance, etc.)? Thank you for this wonderful program, I have learned quite a bit. Question from StatArb: Do you think they'll pull all the vol swaps onto SEF's along with the CDS's? Crystal Ball: Very rarely have realized and implied volatility been this close to each other, making this an interesting period. VIX settlement next week.

Volatility Views 83: Check Your Levels Volatility Review: We had quite a roller coaster week in terms of implied and realized vol. The importance of vol of vol has been showcased. Listener Mail: We have a huge mail bag today. Question from Big Ned: Is it possible for an options trader to ever truly be flat, aside from closing his positions? Question from Alex Gumble: How do market makers manage their volatility exposure when everyone else in the pit (or bin) has the same position? That seems like a difficult prospect. Question from Mikhail, Ukraine: Why do I need to worry about Vega? I only sell strangles and iron condors. The risk is clearly defined. If price is good, I sell. I price is not good, I don't sell. It’s very simple. Question from Nix01: I liked Mark's article "VIX Activity - Hedge or Sign" from 2/27. Can he elaborate on the show? Comment from Rich@PinProjects: Rule of 16, nice one! Thanks @Options #Volatility. Question from Talos_A: Insider trading has been making many headlines. Do you feel sudden spikes/drops in volatility on a strike are the best indicators or unusual activity/insider trading? Question from Nickel Silver: Where can I buy shares of VolX? Is it publicly traded? The Crystal Ball: Sequestration! Keep an eye on Europe as well. Where can vol go next?

Volatility Views 82: Scalp Gamma, Trade Vega Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect. The Mail Bag: So many questions! Question from Tim Ross: I’ve heard the hosts refer to "scalping gamma" before on the program. What does that mean and should I be doing that in my own trading account? Question from Nitin Gulati: Mark, Volatility Views is the best educational show in world of options trading and education. No one could have assembled such a great team of hosts. Don often refers to “vol of vol” in his comments, but how can this serve as a useful tool in a retail trader’s arsenal? On second thought, we often use vol cones to understand how realized vol is at lower levels on some individual names, as well as indexes. If implied vol is priced in lower further out, doesn't that mean the market is pricing a muted move in the future? How would a trader differentiate if he only wants vega, since gamma might not be cheap? Question/comment from Southbaytrader1: Looking forward to the weekly fix from your show. Good humor in a world of darkness! When's the next stand-up tour? I enjoyed the vol series discussing Taleb's strategies--interesting to hear competing viewpoints. I would like to hear more on vol futures versus cash, assignment risk, and possible spread strategies for mitigating cash outlays. Your thoughts on margin would be great too. Question from TBill01: What do you guys think of the recent spike in VIX? It seems to be way out of whack with actual movement of S&P. See? I listen! Question from Umberto Toli: Do you feel the current options tax treatments put forth in congress, particularly the covered call tax treatment, will stifle volume and/or drive exchange volume into the OTC realm? If so, what impact do you feel this would have on overall S&P and NASDAQ volatility? Question from Et_Moor16: I am thinking about dispersion trading in AAPL, V, QQQ, GOOG, and AMZN. How much do you think I need in my account to do it? Question from Finn Tompkins: What does the Vol Views crew think of the underperformance of the emerging markets VIX relative to the actual VIX? Is tail risk just overpriced in the U.S. or is it a bargain in the emerging markets? The Crystal Ball: Is the current level of realized volatility sustainable?

Volatility Views 81: Capturing Volatility Premium Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so. If there is any edge, it’s in March VIX futures. Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses: His paper, Capturing Volatility Premium through Call Overwriting (http://www.russell.com/US/insights-research/capturing-the-volatility-premium.aspx) The ways to capture the volatility differential between realized and implied Quantifying the term “overwriting” Findings that overwriting can outperform the S&P 500 in the long-term How the message is being received by the retail audience How the paper quantifies the impact of the roll on weekly options and when the best time is to do so Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.

Volatility Views 80: The Listeners Take Over Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else. Listener Mail: Our listeners are keeping us busy with questions. Question from JoJo - I love the show! Have you thought about bringing on a CTA? Question from Justin Deveroe - Can you walk me through a few potential use-cases for a NASDAQ vol contract? I like the show and I'm intrigued by the idea, I'm just not sure how to trade a product like that. Question from Little Tim - Why do you think GLD is "underperforming" right now from a volatility perspective? SLV seems to be stealing all of the thunder in the volatility realm these days.Question from Theodore Grey - I enjoyed your recent shows featuring financial advisors, but I found the reticence of many advisors to even implement basic hedges very troubling. Why do you think so many advisors and asset managers lack even basic knowledge of volatility or how to hedge a portfolio with options? Question from Allie, Anchorage, AK - I have about $25,000 in my trading account. I've learned a lot about the realized vs. implied discrepancy by listening to this program, and I would like to capture that in my own trading. Unfortunately delta neutral trading is pretty much out of the question with my account balance. What do you recommend for someone like me who would like to practice what you guys preach, but doesn't have access to an institutional level account? I'm sure many of your listeners are in a similar situation. Question from Monster6 - Correlation is a growing concern across asset classes; it's all but impossible to diversify away risk in this marketplace. Would you guys advise your listeners that a volatility/derivative component is the best way to truly hedge/protect a portfolio these days? If so, which would you recommend? The Crystal Ball: Perhaps the Russell will be our salvation for a little action over the weekend. Looking for price increases in all the major indexes in the future.

Volatility Views 79: Derivatives Strategy ConsultingVolatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low? Will VIX have an 11-handle by next week?Volatility Viewpoint: Today's guest is Mark Shepherd, Founder of DSC, Derivatives Strategy Consultants. He discusses what types of structured products his firm offers, how he advises clients in a low volatility environment, and how he hedges his clients. The Crystal Ball: What will juice volatility in the coming weeks? The metals remain the last bastion of volatility in this market.

Volatility Views 78: Making Money in Spite of Yourself Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Implied vols, as measured by VIX, are currently at the same level as 21-day realized S&P vol, but are still overpriced with respect to shorter, 10-day realized. Listener Mail: Don, Mark, and Mark dive into the listener mailbag. Email question from Neil Ducat: I like the discussion of commodity volatility on your recent episodes. Are there any plans to include a regular commodity vol update in your Vol Review segment? Email question from Tim S.: The commodity discussion on your recent episode was illuminating. I would like to ask your opinion on this: Given the success of commodity options and futures, why haven't commodity volatility products (like gold VIX, etc.) really taken off and captured the imagination of the investing public? Twitter question from Mr. Auto: With Apple and other recent names blowing through their straddles post-earnings, would Don concede that there are indeed times when it is appropriate to buy volatility? Comment from Alfonso Strolli, Florence, Italy: Ciao Vol Views crew! I find your program very informative. Mark Longo is indeed the voice of options, and certainly the best in the world at what he does. Don provides the perspective of a veteran of many volatility battles, and Mark Sebastian is nothing but entertaining. Thank you for this great and unique program. Keep up the good work! Email question from Tim42: Has Don ever bought an underlying, or does he sell those too? Email question from Ed: I am very interested in SPX and SPX volatility (aka VIX). I understand Mark Longo is a former SPX market maker, what are his impressions of the current trading range of SPX vol vs. his time in the pit? Does it perform differently now than it did then? Also, if possible, could he share his favorite trading story from his SPX days? Thank you very much. The Crystal Ball: Gold and silver catching eyes of those looking for volatility. Email question from Donald Simmons: With volatility trending lower and no relief in sight, what do the hosts think of interesting strategies for a time of stagnant volatility?

Volatility Views 77: Volatility from a Wealth Advisor Perspective Volatility Review: Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a very long-term historical viewpoint. NASDAQ volatility has been moving roughly the same as S&P. Volatility Viewpoint: Today's guest is: Randy Swan, Co-founder of Swan Wealth Advisors. He discusses: Overlays How, as a wealth advisor, he tailors strategies How he incorporates volatility and volatility levels into his strategies How he hedges the S&P 500 How he feels about some advisors still clinging to outmoded traditions And more Crystal Ball:NASDAQ and S&P outlook. It seems like the one thing we were looking for to juice the market and give us some vol in the near future has been taken away from us -- hence the massive selloff.

Volatility Views 76: Commodity Futures and Volatility Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review. Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of Trade. He discusses strategies to use going into crop reports, skew, volatility arbitrage, the impact of one commodity on another, the impact of weather, and more. Crystal Ball: NASDAQ and S&P outlook. It looks like it might be more of the same with little vol movement. We're stuck in the mid-winter summer doldrums.

Volatility Views 75: New Year, New Questions Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review. Mail Bag: Keep those questions coming. · Tweet from Southbay Trader: I especially like Volatility Views! · Tweet from Billmoo: OIR - Top Financial Podcast of 2012! · Email from Allen Jacobs - Danbury, CT: Can you guys talk about dispersion trading? I've heard that term quite a bit recently. I think it has to do with volatility trading, but I'm not sure how or why, but I think I've turned to the right people for help. Thanks for your show Mark, it's a big help to people like me, who aspire to one day be volatility pros like you guys. · Tweet from Leroy: Why weren't people aggressively shorting vol pre-cliff deal like the debt deal? · Email from Anonymous: I run the vol book at a local shop. I found your show about Mr. Black Swan very illuminating. I've read all of Mr. Taleb's books and even met him several times. Like you, I assumed his trading style to be heavily long premium, and was surprised to hear the opposite. I would expect former market makers like "the Marks" and a former upstairs trader like Don to be aggressively short ATM premium, but not Mr. Taleb. He appears to be preparing himself for his black swan events by back spreading and being net long units, so it isn't a complete cop-out - he's not just writing ATM straddle and heading for the hills. Like all of you and your recent guest (Jared Woodward), I too am left with a somewhat bitter taste in my mouth after learning this information, it doesn't fit with the overall message and marketing of his work. · Email from Theodore Grant - Pittsburgh, PA: Mark, Volatility Views is my favorite show on your network! I wish there were more podcasts out there talking about volatility trading - you guys truly stand alone. My question has to do with tail risk, one of your favorite subjects. You guys always talk about tail risk and how it's become dramatically overpriced in indexes like the S&P 500 and even large cap stocks like Google. What about in commodity products like GLD, corn, oil, etc.? In those products the tail risk is found on the upside. Do you see the same overpricing of premium in the upside calls in those products as we currently see in downside SPY and Google puts? Thank you. The Crystal Ball: Earnings season kicks off next week. Are we heading towards the winter doldrums?

Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4 Volatility Views 74: Digging Deep into the Listener Mailbag Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff." Listener Mail: So many questions for us to answer. Tweet from Doc Hudson: What is your pick for volatility trade/product/development of the year? Tweet from Man of Steel: What do people mean by “selling or buying skew”? What are those trades? Tweet from VIXen - Why are iron condors so hot right now? Seems like everyone is selling them these days no matter the vol landscape. Email from Sam Felis: Why are the front-month VIX futures trading above the cash right now? I need the Vol Views pros to explain this to me. Tweet from Sam Dash: Don -- sell or don't sell vol in 2013? Give me your thoughts? The Crystal Ball: What can we expect to see in 2013?

Volatility Views 73: Once More unto the Black Swan Breach Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol. Listener Mail: Back to Black Swans. Comment from Asymmetric Risk: According to Don, Nassim will lose money over the long run because the out of the money options he buys have a higher implied volatility than the close to the money options he sells. Since he is paying a spread, Don thinks this is a bad strategy. Far be it for me to disagree with Don, but speaking for Nassim (and I feel confident speaking for Nassim because I've had dozens of conversations with him on this exact topic) Nassim would agree he is paying a spread but the spread between ATM and OTM options is systemically underpriced. Nassim's strategy is based on his belief that asset prices are not normally distributed -- the bell is flatter and the tails are fatter. So options markets overprice one standard deviation risk ("I always sell ATM straddles") and underprice two standard deviation risk (Black Swans). Your critique of him is misplaced because you're focusing on 5- and 10-sigma events which are not required for his strategy to work. He ran a large option book at a major investment bank and was profitable on a monthly basis. Tweet from Don M.: Shouldn't Nassim be a net buyer of tail puts if he feels tail risk is underpriced? If he sells ATM, does he buy OTM on a ratio? Make no sense to me. Email from Tim Vicks, Fredericksburg, VA: Let me see if I have this straight: Black Swans are extreme outlier events that are unpredictable, yet so catastrophic as to alter the course of human events. But the way to prepare for these events is to sell premium? What am I missing? The Crystal Ball: Sebastian foresees a massive spike in realized vol with little to no spike in implied vol. Is it time to own gamma and be short vega? Still waiting for some news out of Washington.

Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin;} Volatility Views 72: Closing the Book on Black Swans Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week. Listener Mail: Mark, Andrew, and Don answer listener questions. Comment from Teddy: This is a great article. I really hope you guys discuss this on the next episode of Volatility Views. I'm curious about this new low vol VIX. What is the point of it? Comment from Oscar (about Woodard's article): This is a good article, and given the last episode of Vol Views, this is very timely. When are you going to have Condors Options on the show? It seems like they would fit nicely with Mark, Don and Mark. Comment from Asymmetric Risk: I've never read any of Nassim's books, much less his research. However I've probably traded more options with him than any of his counterparties, going back to the 80's when we were the two most active currency options traders globally. I would describe him as a buyer of back spreads, and very well positioned for gaps or jumps. Many of which were not black swans per se, for example, the sudden 10% currency move we had when the Swiss National Bank put a floor on the Euro recently. Your critique of his strategy was unduly harsh, because while he is set up for black swans, he isn't dependent on them to be profitable, as you guys characterize him. Email from Mark S: Should I even pay attention to the vega numbers when trading weekly options? It seems like vol is mostly irrelevant in such a short-dated option and that any measurement of that vol would be highly prone to error. Weeklies seem to be gamma/theta beasts, so that's where I expend the bulk of my effort and analysis. Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin;} The Crystal Ball: We're still waiting for a settlement in Washington on "the fiscal cliff." The Crystal Ball: We're still waiting for a settlement in Washington on "the fiscal cliff."

Volatility Views 71: Condor Options Takes on Black Swans Volatility Review: Near-term vol of vol has been extremely low of late. NASDAQ and S&P vol review: over the past two weeks vol has been almost unchanged. How has our frame of reference for vol changed? Volatility Viewpoint: Today's guest is Jared Woodard, the founder of Condor Options. He discusses his recent article about volatility and black swan events. What was the response from Taleb? A major bombshell is dropped. Plus, Jared also gives his take on volatility risk premium. The Crystal Ball: The fear of the weekend. What could happen with "the fiscal cliff"? Here is the link to the article on Condor Options' website.

Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-parent:""; mso-padding-alt:0in 5.4pt 0in 5.4pt; mso-para-margin-top:0in; mso-para-margin-right:0in; mso-para-margin-bottom:10.0pt; mso-para-margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:"Calibri","sans-serif"; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:"Times New Roman"; mso-bidi-theme-font:minor-bidi;} Volatility Views 70: Stop Worrying about Black Swans Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol. Volatility Viewpoint: Some interesting topics emerged from this week's global derivatives conference: Is vol cheap? When VIX cash hit 13.5 this year, the cost of the six-month hedge was the same as the day after Lehman defaulted. VIX ETPs are problematic, part 1: They are not very adaptable to new volatility regimes. VIX ETPs are problematic, part 2: In the last 15 minutes of the trading day, VIX futures are far more volatile than VIX or SPX themselves, indicating the impact of these structured products on seeking alpha and roll yield. Is too much tail risk priced into the market? S&P puts and VIX calls are priced as though black swan events are imminent and occur with alarming regularity, as opposed to being the rare events that they truly are. Implied vs. realized volatility premium: Implied volatility premium, as opposed to its realized counterpart, is higher in short-duration VIX options. In general, this favors strategies that sell shorter-dated options and buy longer-dated options. Crystal Ball: Looking ahead at NASDAQ volatility and the VIX.

Volatility Views 69: Unlocking the Secrets of the Vol SurfaceVolatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol.Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed products.Crystal Ball: We are hoping for a major announcement, any day now, concerning VolX. Stay tuned. Assets with inelastic demand and sensitivity to the US dollar will rally.

Volatility Views 68: The Dark Art of Futures OptionsVolatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol.Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels.The Crystal Ball: NASDAQ vol going into the big numbers tonight ahead of AAPL earnings. How will earnings affect realized vol? All the big tech names are outperforming. Looking ahead to S&P vol.

Volatility Views 67: VolContract Futures Overlays: The Holy Grail? Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th. Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "VolContract Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of VolContracts in conjunction with an equity portfolio. The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.

Volatility Views 66: A Week without VolatilityVolatility Review: The week in vol that never happened. Yes, it was a very quiet week. NASDAQ and S&P both dropped off severely since the last week.Listener Mail: Our listeners drive the bus for a while Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER) Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX is underperforming? (Via Tweet from @XZTON) Does VolX have any plans to launch any realized volatility products on commodities such as ags, metals, etc.? Thanks and keep up the great work. (Via Email from Sid K., Des Moines, IA) What do you guys think of Apple call verticals here? Does Apple skew make buying them more attractive going into earnings? (Via Tweet from @Duncan6) Why is NASDAQ historically a more volatile index than the S&P500? Is it simply because it contains more tech stocks, so that generates more volatility than large Fortune 100 type stocks? Also, can you recommend any good products for trading NASDAQ volatility? Thanks for answering my question and for this fantastic, one-of-a-kind program. (Via Facebook from Alexander S.) Crystal Ball: Looking ahead at VIX, NASDAQ, and S&P. Less than a month away from the general election.

Normal 0 false false false EN-US X-NONE X-NONE MicrosoftInternetExplorer4 Volatility Views 65: Contango Tango Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ. Volatility Viewpoint: Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more. Crystal Ball: Don't expect much to happen in the next week or so. Non-farms and the VP debate upcoming.

Volatility Views 64: Missing the Fat, Juicy Puts of YoreVolatility Review: Looking back at a four-day time horizon. At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 13.Volatility Mailbag: The team lets the listeners steer the conversation. Email from Michael: "Does volatility play a role in dividend exercise/assignment? Is Vega a major factor in most dividend scenarios?" Tweet from Ian K: "Can you talk a little about commodity volatility skew? Why is it so different than equity skew?" Facebook question from Christian Garcia: "Is it worth it to be stuck on the screen all day with regard to gamma scalping? Does Mark Sebastian's formula (pay-to-the-decay) work on futures options?" Crystal Ball: The team attempts to peer into the murky ether of upcoming volatility.

Volatility Views 63: The Low End of the Volatility Spectrum Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ. Listener Questions: The listeners direct the conversation. Comment from Lee on Mark Sebastian's "Arrogant VIX Trade" story: "Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fighting a losing battle because our head tells us we are right when everything else is telling you otherwise. It really highlights the need to follow a plan, stick to you risk reward no matter what happens and act like a robot with no emotion when trading. Regards, Lee" Facebook Question from Tom Sevens: “You guys are always talking about the implied volatility premium vs. realized. But it seems like implied vol is always priced at a premium to realized, so is there ever a reason why anyone would want to do the opposite trade - buy implied and sell realized vol?” Tweet from @GIN4: “Are there any products out there that replicate vol trades (straddles, iron condors, etc.) to save me the hassle?” Email from Ed S.: "I really want to understand option volatility. I have even subscribed to sites that ANALYZE volatility, but I can never figure out what to do with the number it generates. I don't know if the result is particularly high, medium or low. This is very distressing to me, because I know vol is very important. But it simply eludes me. Your help is appreciated." Tweet from @TOMOTON: “Both Marks slammed buying 20,000 Feb 70 VIX calls for $0.15. What trade would you prefer to see?” Crystal Ball: Looking ahead to a slow upcoming week in vol.

Volatility Views 62: Bad Money ManagersVolatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch.Listener Mail: Letting the listeners take control of the conversation. I loved last week's show. I'm very glad to have Vol Views back in the saddle! My financial advisor recently recommended that I allocate a portion of my portfolio over to VXX because "VIX is low." I didn't know what he was talking about. When I Googled VXX I came across this program and have learned quite a bit. Thank you for informing me, but I'm still uncertain as to his VXX recommendation, especially after hearing your comments about TVIX. Should I allocate some of my portfolio to VXX? Why are VIX cash and front month VIX futures the same right now? Don - Is there ever a case when you would buy vol? You guys are always talking about Volatility skew. I recently noticed that, in Apple, the calls were bid substantially over the puts. Is that an unusual phenomenon? Are there any other names you can mention where this is the case? Are there any tools that let you trade off of vol cones? Crystal Ball: Looking ahead to next week's VIX cash and VIX futures. NASDAQ preview.

Volatility Views 61: A Short Straddle for CowardsVolatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring. Dan discusses Market Taker and how he approaches volatility with a new client. He also talks about mentoring students who want to dive into sophisticated vol products, like VIX options, for example. Does he counsel the novice trader to avoid these products? How does he train students to be aware of volatility levels for each trade that they make? They also discuss gamma scalping and delta neutral trading, and where Dan falls in the volatility hedge vs. direct hedge debate.Mailbag: Answering listener mail.. When is Volatility Views coming back live?. Someone bought 20,000 Feb 75 calls in the VIX yesterday. That's near the ultimate all-time high for the VIX. Why do so many people dramatically overestimate VIX, particularly to the upside? People seem to be ignorant of the historical range of VIX, let alone the typical VIX movement. Perhaps this is more of a comment than a question, but it's been bothering me lately and I wanted to hear your learned opinions on the matter.. Is there such a thing as "the gamma of vega"? Crystal Ball: NASDAQ vol outlook.