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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.

May 4, 2015

Volatility Review: A look back at the week from a volatility point-of-view 

  • VIX Cash: Low: 12.33 - High: 15.29
  • VIX Options: Another modest volume week.
  • 75k May 20 calls purchased Wednesday for $.40.
  • Paper buying June 23 puts for $.15.
  • June 17-20 call spread vs 14.5 puts went up nearly 30k times. May/June 13.5 put spread trade 10,000 times.
  • Total 6.14m (4.39m Calls, 1.75m Puts)
  • Options volume slid in first quarter.
  • Volatility cycles and stock trends.
  • International Volatility: India VIX caps monthly advance as futures rollover below average.
  • Crude Oil: OVX - 36.09, OIV - 36.95

Volatility Voicemail: Listener questions and comments

  • Question from Eli - Would you agree that VXX shares are a useful intraday way to trade volatility? What is the longest you would consider holding that before the roll yield effect begins to kick in?
  • Question from Oaklander - Do VIX options suffer the same from time decay as regular options? Are there peculiarities to the VIX formula that make the options perform differently on a theta basis?
  • Question from Charlie B - Long VXX vs short OTM front month VIX call. Can this be considered a covered call? What other sorts of "volatility yield" strategies can you recommend?

Crystal Ball: Wild prognosticating? You betcha. Non-farms have been rather “meh” lately, with people selling vol into non-farms. What’s the outlook for this week?