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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 6, 2017

Volatility Viewpoint: This episode features a special guest: David Hait, Founder of OptionMetrics.

He discusses:

  • A overview of Option Metrics and the Feb. 21 release on skew
  • What is the flavor of choice for skew at Option Metrics?
  • Why does he think we are seeing such a bid in VIX futures right now?
  • How does this term structure compare to historical levels?
  • What his your outlook for volatility under Trump?

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

  • VIX Cash - 11.71, unchanged from last week.
  • VVIX - 83.61, also unchanged from last week.
  • CBOE Skew Index - 133.6. Front month premium to cash: 1.4, less than last week. Two month premium to cash: 3.25, slightly less than last week.

Russell's Weekly Rundown:

  • VIX Options: A mild volume week. ADV - 575k. Mon - 437k, Tues - 455k, Weds - 492k, Thurs - 275k. Total 9.70m (7.04m Calls, 2.66m Puts)
  • SNAP: The first big IPO of the year is off to the races. It was supposed to list at $17, opened at $24 and traded up to nearly $26.

Options Pop Quiz: If $SNAP opens at $17 what price would you give the ATM straddle expiring 3/10? AKA how much movement do you expect? (Our listeners totally called this one)

  • 13% - Between $1 - $2
  • 13% - Between $2 - $3
  • 19% - Between $3 - $4
  • 55% - Over $4 - aka over 23%

Volatility Voice Mail: Options #QuestionOfTheWeek

$VIX has already hit single digits under @realDonaldTrump. How low will it get during the rest of his term?

  • 29% - It won't break 10 again
  • 22% - Between 9-10
  • 22% - Between 8 - 9
  • 27% - Below 8

Question Number 2: $SNAP closed at $24.50. If #Options were available tomorrow would you rather:

  • 45% - Buy 1 month $24 put
  • 11% - Buy 1 month $25 call
  • 19% - Stay the heck away
  • 25% - I would rather sell premium

Listener questions and comments:

  • Comment from Hawkeye - Mark, I call MAJOR umbrage for you taking credit for MY idea of calling Russell "Dr. VIX"! As you can see in the forwarded email below, I have it IN WRITING that I proposed that moniker for the good Dr. back on November 17, 2015. You should feel ASHAMED of yourself in your weak attempt to take credit for my idea, ESPECIALLY since I sat right next to you and Uncle Mike at the Lobster and Meatball fest in Chicago a couple years ago, eating tasty steaks on Sebastian dime. Have you no shame, sir? Is your memory that short? Umbrage! I hereby give you permission to send the residual checks to my PayPal account. On another note, here is another idea that you CAN keep:
    The business show should use as its motto The Business Show! It is an audio train wreck -- you cannot stop listening no matter how much you know you shouldn't. While I am at it, I really like Nick and the new revitalized Futures shows. Even though I do not trade futures options, I still use the concepts to trade some of the ETFs/ETNs. Get the Typhon guys back on and see if you can get the Viceroy and Don S. back on for a mega-reunion show sometime. Keep up the great work! Hawkeye
  • Question from Kmar65 - Have you all covered the situation with Catalyst and the HFXAX fund recently? I try to get to all the webcasts but must have missed it if you had. Expected max drawdown was 5% and they blew through that. Gives one cause for pause re options strategies. would be great to understand how it happened and how it could/should have been avoided. Thanks in advance!

Crystal Ball: Your prognostication headquarters

Last week:

  • Mark L. - 11.25
  • Mark S. - 11.50
  • Russell - 12.34
  • Guest - 12.65

This week:

  • Mark L. - 11.55
  • Mark S. - 11.00
  • Russell - 12.00