Volatility Views

Volatility Views 27: Stealing the Mean Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX -- A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review. Volatility Viewpoint: A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a better hedge for options traders. Listener Mailbag: Volatility Trading for RetailHi Guys: I imagine I am one of the many retail options traders who regularly tune into your program, even though much of it is way over my head. I've heard you guys discuss delta neutral trading in the past. My question is whether you think this is an appropriate strategy for retail options traders to adopt. Is it viable to trade delta neutral with a regular online brokerage account these days? Also, I know Mark Longo has said on previous programs that retail tends to be directionally oriented and professionals trade vol. I'm sure that's the case for a reason. Why do you think so many retail traders fall into the directional vs. vol camp? Thanks for the show. I'm learning something new every week -Facebook question from Dabney K, Ontario, Canada. New VolContractsDon's hinted at new vol contracts coming soon on equity indices. Will these utilize the same formula as the euro or will there be slight tweaks for the different underlyings? - Twitter question from Oseo Crystal Ball: Mark Sebastian weighs in on the upcoming week. Also, an outlook of Euro vol for the remainder of October.

Volatility Views 26: Live from FIA Chicago Taped live before a packed audience, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast Money, then you're half way to understanding how great this episode is.

Volatility Views 25: Skewness and Kurtosis Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts a week ago Thursday, and where they settled this past Friday - a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review. Volatility Viewpoint: A quick primer on mean, median, standard deviation, skew-ness, and kurtosis of distributions, and why we don't remove the mean for vol calculations. Plus, explaining negative market skew-ness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating. Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility in such a short time frame?" Crystal Ball: S&P, Nasdaq, and commodity Vol outlook. Euro VolContracts outlook. What's coming up at VolX and Option Pit?

Volatility Views 24: Precious Metals Volatility ExplosionVolatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver -- the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review -- volatility certainly got scary for a little while. Euro vol review. Mailbag: "I've been listening to the show for some time and have become intrigued by the concept of VolContracts. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade VolContracts? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with VolContracts? Also, since they are listed by the CME and track realized vol of Euro futures, I assume that I will need a futures account to trade them. Lastly, are these listed on Globex so I can trade them electronically or do I need to put an order into a pit?" "Bob Krause advocated the use of volatility cones on a recent show, and I know Don has discussed them in the past as well. However, Mark made an excellent point in a recent episode that, in this environment, vol cones may not be the best barometer for where you should work your orders. It got me wondering if maybe there were certain market environments where vol cones were extremely useful, and other times, such as the current environment, when waiting for mean reversion is the quickest way to blowing out. Long Term Capital immediately comes to mind. I'm wondering what you guys think on this issue. I think I know where Mark stands, but I wonder where Don falls on this since I know he is an ardent fan of vol cones." Crystal Ball: Metal vols -- have we just witnessed the bottom of gold and silver? Mark Sebastian predicts VIX to hit 50 in the next three weeks. We are halfway through the Oct VolContract, and as of Thursday the contract settled at 15.87 -- you would need 18 volatility on the Euro, going forward, to justify that price.

Volatility Views 23: Can You Eat Risk-Adjusted Returns?Volatility Review: VIX futures vs. VIX cash -- many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility. Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion. Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol -- with the period of arb availability gone, can we find a new relationship to exploit?

Volatility Views 22: Bringing Don to the Dark SideVolatility Review: A broad market volatility review – it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review – where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com's Mark Sebastian gives his review of the week. Volatility Viewpoint: In this combo Volatility Viewpoint/Listener Mail segment, Mark and Don answer a question from the Options Insider Forum: "I enjoyed the conversation last week between Mark and Bob about the Volatility Feedback Effect. They mentioned that Don is not a fan of this theory and that Bob and Don have had many fights on the subject. I'm curious what Don's issues are with this concept and what he feels is the truth on the matter." Indeed, Don gets his rebuttal, and gives his two cents about the volatility feedback effect. Crystal Ball: Mark Sebastian's outlook for the coming week, as well as an outlook of S&P 500 volatility and Euro vol.

Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from OptionPit.com's Mark Sebastian. Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks inverse correlation - is this specifically to address the VIX negative correlation perception? How can we tell if the market is bullish or bearish? Skew and the somewhat controversial topic of the volatility feedback effect are also on the docket. Is the market trying to forecast future returns? As volatility rises, the market must fall, but does it work the other way as well? Listener Questions: Mark and Bob reach into the dark recesses of the mailbag. Why exactly is selling a three-month VolContract not the same as selling three consecutive one-month VolContracts? Is it analogous to the difference between writing a three-month option vs. three consecutive front-month options? Crystal Ball: An outlook of SPX & VIX. Could we pick up a free weekend on Friday? Euro vol outlook - How will the one- and three-month VolContracts fair?

Volatility Views 20: Divergence & Convergence Volatility Review: A rundown of VIX, Euro VolContracts, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in implied volatility suggest? Mark Sebastian gives his volatility review. The Mail Bag: Don and Mark reach into the mail bag and answer listener questions. 1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.

Volatility Review: Volatility contracts have calmed a little - a surprise given what the recent history for the previous contacts has been. A rundown of the weekly VIX, Euro VolContracts, and the equity markets. Plus Mark Sebastian gives his volatility review. Volatility Viewpoints: Special guest Euan Sinclair author of several books including "Option Trading" and "Volatility Trading" and risk manager at Blue Fin Trading discusses measuring volatility. Euan's concept of barrier method or first exit time method vs. the standard close-to-close method.Crystal Ball: An outlook on the Euro vol; Mark Sebastian looks into the crystal ball for the coming week.

Volatility Views 18: The Chicago WayVolatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review. Volatility Viewpoint: Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders. Commodities - the sexy world of ags and metals. Delta neutral vs. realized vol. The Crystal Ball: An outlook on the Euro Vol. Also Mark Sebastian looks into the crystal ball for the coming week.

Volatility Views 17: Busting Volatility Skew MythsVOLATILITY REVIEW: The debt ceiling deal and its effect on the market. Euro VolContracts trading on the CME. VOLATILITY VIEWPOINT: Busting Skew Myths!!!! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew. CRYSTAL BALL: An outlook on the weekend risk- What could happen? PLUS: Mark Sebastian gives his forecast for the coming week.

Volatility Views 16: Risk PremiumVolatility Review: Interesting week with the market not doing much, but volatility increased anyway. The market's "in a pickle" until the debt issue is resolved. July 8 was the fifth expiration for the Euro VolContract, which showed greater than 29% movement in the price during the life of the contract. The August contract has provided 16% vol movement in the first three days of the contract.Listener Mail: Mark and Don answer questions from listeners, including: Why did an option price drop as the stock price went up, and; what is a sellers' premium in options?Crystal Ball: Mark foresees no debt deal over the weekend. If anything can push VIX to 30, will this be the event that does it? Front month Euro vol likely to go lower.

Volatility Views 15: Know Your VolatilityVolatility Review: Vol gets demolished. Volatility modeling is not accurate. Range-bound volatility. Euro vol at expiration looking calmer than previous expirations.Volatility Viewpoint: Featuring Mike Cavanaugh from Know Your Options, Inc. The gang discusses the role of volatility in their collar strategies, the great VIX disconnect, self-directed trading, VolX products, and appropriate hedging techniques for different audiences.Crystal Ball: Earnings season. European debt woes. Uptick in vol for currencies, and overall volatility. Friday was the Euro VolContract expiration. August contract coming up. Euro vol abatement indicated by GARCH model.

Volatility Views 14: The Unknown World of Volatility Technical AnalysisVolatility Review: Much ado about nothing? Big steps forward and back, but where is vol going? Will the long holiday weekend pull the vigor out of the markets? Euro VolContracts see higher than usual levels of volatility.Volatility Viewpoint: Mark and Don interview Kirk Northington, author of Volatility-Based Technical Analysis, founder of Northington Trading, LLC, and Meta Swing Platform, and the man behind TradingTheInvisible.com and MetaSwing.comCrystal Ball: Volatility cannot stay this high. VIX will fall to 18 before expiration. Watch out for employment numbers on 7/8. Mark thinks that currency vol will plummet by the end of June; Don has heard interviews to the contrary.

Volatility Views 13: VIX and MoreVolatility Review: Mark, Don, and special guest Bill Luby talk about the roller coaster week of volatility and if premium sellers were artificially keeping the VIX down. They also explore whether the VIX has underperformed given recent market conditions, as well as whether the product should even be promoted as a hedging tool. Euro vol update with an inversion occurring on Wednesday.Volatility Viewpoint: Are VIX futures irrelevant? Inherent differences between realized and implied volatility. VIX as a hedge. VIX futures discussion 2.0: the other side of the coin. VIX changes wish list.Crystal Ball: Europe situation making predictions cloudy. Bill's looking for a binary market. Euro VolContract prognostications.Listener Mail: Excel questions lead to religious discussion.

Volatility Views 12: Tasty VolVolatility Review: Euro vol update. Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month VolContracts will be in the mid 10 range. Is the market finally starting to respect volatility?Volatility Viewpoint: Mark and Don talk to Tom Sosnoff, CEO of Tastytrade, and founder of Thinkorswim. They discuss the impact of weeklies on option volatility; the difficulties associated with launching new products in the options market; whether futures contracts are even relevant to retail customers and much more...Crystal Ball: There is still room for the S&P 500 to drop.

Volatility Views 11: Good Sources of VolatilityVolatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month VolContracts. Don't write off the last trading day; every data point matters.Volatility Viewpoint: Mark and Don discuss their resources for volatility news and information.Crystal Ball: Will the S&P 500 hit a critical psychological point? Where will VIX go if it does? July 1-month and September 3-month VolContracts trading now.

Volatility Views 10: Options Die A Little Every DayVolatility Review: Hit the bids and then hit the road? Significant fear uptick. Should VIX skew exist? Commodities adjustments set volatility running. Euro vol: simultaneous expiration of the June 1- and June 3-month VolContracts on Friday. When do remaining time frames open the door for arbitrage opportunities?Strategy Session: If realized volatility is such a good way to capture and trade vol, what incentive is there to short a realized-vol product?Mail Bag: What are Mark and Don's views of trading vol going into earnings?Crystal Ball: Super low realized vol for IBM. Euro vol expiration Friday. Will "sell in May and go away" apply here as well?

Volatility Views 9: Managing Ratio and Calendar Spreads Volatility Review: The May 1-month Euro VolContract settlement ended at 12.77, more than 50% higher than March or April. What will June bring? Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity. Strategy Session: 1x2 ratio spread. Don discloses that he sold premium. Spread management, or finding the right parking place. Resisting the dark side. Calendar spreads and choosing which way to cheer. Greek management. Position management goes beyond expiration dates. Listener Mail: A suggestion comes in for a potential new segment reviewing OTC trading activity. What do Mark and Don think of the listed versions of OTC vol products? See: OTC cabal. Blackjack tips. Crystal Ball: Looking at potential arbitrage opportunities through June Euro VolContract expiration. Volatility cone updates.

Volatility Views 8: Live From OIC 2011Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange. Volatility Review: Euro vol contract update: stable, but at a high level, hanging out at the 12.50 range. Bob gives a detailed overview of how the product works.Crystal Ball: The news makes it reasonable to think that volatility will stay high. What is coming up next for VolX? New volatility indices: three different time periods for three new indices, a historical lookback, the volatility of volatility, and a GARCH-based forecast.

Volatility Views Episode 7: Venturing Into The Volatility Mailbag Week In Review: Market and IV both rally, crushing call spreads. Euro vol has surprising pop, with May settlement significantly higher than March or April. Listener Mail: Selling ITM Covered Calls To Capture Skew; What is the time frame for new VolX Products? Will there be realized volatility contracts on AAPL? SPY? Volatility cones for equities? Comments on Robert Engle interview. Crystal Ball: Commodity selloff continues. Volatility is priced like there might be an increase in realized vol. Volatility begets volatility. June Euro vol contract now available.

Volatility Views 6: Volatility Discussion with Nobel Laureate Robert EngleMark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including: Professor Engle's move from physics to economics ARCH and GARCH models, and how the ARCH model was born The Volatility Institute Vlab SoFiE Professor Engle's work with the SEC's Flash Crash Advisory Committee The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.

Volatility Views 5: The Thwack of VolatilityVolatility Review: Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday. Euro VolContract update. Sebastian talks about the thwack of volatility.Strategy Session: Dynamic vs. static hedging for professional traders. Don recommends two articles: Volatility Hedging - Turn Up the Static! Volatility Exposure for Strategic Asset Allocation Listener Mail: Keep those cards and letters coming! Don and Mark tackle the disadvantages of variance swaps, the stickiness of ATM volatility, and individual name VIX products. To access the Volatility Views section of the forum, click here.Crystal Ball: Stabilization of vol? Keep an eye on commodities. Euro vol is half way through the one-month May contract.

Volatility Views 4: The Many Flavors of Volatility ConesVolatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro vol contract. "Sell" was the word in vol last week. Contango craziness.Strategy Session: Contango - a basic introduction; Mean reversion - beyond basic introduction; Volatility cones as a trading signal: they come in many flavors.Crystal Ball: Interesting vol ahead, both in the Euro contracts, and in the market in general. VIX cash fluctuations. Sebastian predicts that S&P will downgrade U.S. debt on Monday. Are you ready for "Sell in May and go away"?

Volatility Views Episode 3: Root-Mean-Square Week in Review: Slow and low? That's the volatility understatement of the year. Ten-day realized vol is near two-year lows. Is this the eye of the hurricane or the calm after the storm? Implied vol really low, although IV ended up on the week in the S&P 500. Market doesn't completely trust the low vol levels.Strategy Session: Continuing last week's discussion, we begin looking into logical errors when deriving volatility over discrete periods. The simple answer: Root-Mean-Square. Don walks us through the math, as well as the usefulness of this method when looking to hedge volatility exposure over a longer period of time. Cheap volatility and buying or selling premium? Mark and Don discuss their own thoughts on these two matters. Crystal Ball: Yay...no government shutdown, which may actually put a damper on upcoming vol. However, if oil continues to rally, and indications of interest are rates rising, we'll see increases in IV. Good news doesn't rally market = warning sign. Upcoming numbers to watch: Retail sales; beige book; Michigan sentiment; PPI; CPI. GVZ: Gold vol index starts trading options at CBOE starting 4/12. When will oil and the broader market diverge?

Volatility Views Episode Two: The Shadowy World of Volatility SwapsMark and Don are joined by Mark Sebastian from Option Pit. There is no shortage of opinions on volatility this week. Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro VolContracts (TM) show a sharp volatility decline over March; VolX adds RSJ as a market maker. Volatility Viewpoint: Exploring the shadowy world of volatility & variance swaps; Using OTC volatility and variance swap markets to capture vol. The nature of the payoffs. Realized volatility options in the cards. Inferred vol. Crystal Ball: Sebastian thinks that vol has hit a bottom and that it will be ticking up. Don wonders if that means that the market will fall? Not necessarily...

Volatility Views Premiere Episode: Can Delta Neutral Capture Pure Volatility?In the debut episode, Mark and Don are joined by Dan Passarelli from Market Taker Mentoring. Volatility Week In Review: Volatility taking a steep downturn as concerns lessen; Skew Index - Can it predict Black Swans?; why has volatility dropped; the phenomenon of markets dropping precipitously and rising more steadily; Euro vol discussion. Strategy Session: Delta neutral trading: what is it? why do it? how to do it. Crystal Ball: Good time to pick up downside protection; currencies looking to the upside for vol

Volatility Views: Preview TwoIn this second sneak preview of Volatility View, Mark and Don record live from the croquet fields in Boca Raton.Topics discussed include: Japanese devastation spikes volatility How the volatility smile turned into a smirk A brief history of portfolio protection VolX contracts on the Euro move 32% in the first month In the Volatility Viewpoint segment, Don and Mark discuss the new volatility products being rolled out on specific names, and how or if they are useful to retail investors.

Volatility Views Sneak Preview Welcome to Volatility Views, the latest addition to The Options Insider Radio Network. Volatility Views is brought to you in collaboration with VolX - The Volatility Exchange.In this preview episode, Mark introduces the audience to Don Schlesinger, Chief Strategy Officer & Vice Chairman for VolX. Learn about Don's diverse history from school teacher, to Morgan Stanley, to blackjack aficionado. Listeners will also get a bit of history on the Exchange, plans for the future, and an idea of what to expect from the new show.To leave questions for Mark and Don, you can log onto The Options Insider website, and go to the forum area, or you can call 312.544.9356.Also, you can reach the VolX group at [email protected], or by calling 888-VOLX-CORP, or 888.865.9267 You can also check out VolX at www.volx.us.