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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.

Mar 23, 2015

Volatility Views 151: The Fix on VIX

Volatility Review: A look back at the week from a volatility perspective


  • VIX Cash: Low: 12.54 - High: 16.37
  • VIX Settlement seemed somewhat controversial again this month.
  • VIX ETFs: TVIX and VIXY shares outstanding doubled over the past 5 weeks going into the bankers meeting this week.
  • S&P: Options contracts that pay off should the S&P 500 lose 10 percent in the next three months, near the time of a potential Federal Reserve rate increase, are by some measures almost seven times more expensive than at the start of the year, the data show.
  • Quadruple witching something of a non-event - with expiration every week now, it seems as though triple and quad witching have lost some of their luster.
  • VIX Options: Big VIX trades this week - customers buying upside calls in April, particularly 22 & 26 strikes. April 50 call still open.
  • Total 3.65m (2.50m Calls, 1.16m Puts)
  • Volatility Index Bracketology: Someone beat Jared to the earnings volatility study - Informed traders prefer options says academic research.
  • International Vol Review: Russian "mystery" event a bit of a letdown - Could the Israeli election have an impact?
  • Crude Oil: The bears had their claws out again for crude oil. Brent down 3% Thursday - WTI down 2%.


Volatility Voicemail: Listener questions and comments


  • Question from The Great Donaldo - Hello to the volatility wizards. I enjoyed your coverage of the RMC conference and Marks interviews with some of the speakers. I have never been able to attend the event due to scheduling conflicts. I am also not partial to attending an event that is primarily intended to promote one firms products. So I would appreciate your informed opinions on other volatility-oriented events that you feel are worthwhile for the listening audience to attend. I do not mind some forays into the mathematical realm but I am not interested in modeling so much as strategy and theory. Thank you for all of the work that you do to shine light into the darkness.
  • Question from Lee Daniels - What is the absolute baseline level of volatility that we could reasonably expect to see in the marketplace. I have heard you guys talk about a VIX in the low teens on earlier episodes. Is a single digit VIX feasible and if so for how long? Could we ever see a VIX below 5? What sort of situation would it take to achieve such historically low volatility levels in the marketplace?