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Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Nov 24, 2014

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?