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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 8, 2017

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

  • VIX Cash - 10.46, practically unchanged from last week.
  • VVIX - 78, same as last week.
  • CBOE Skew Index - 130.5, 12 point lower than last week.

Russell's Weekly Rundown:

  • VIX Options: Mon - 572k, Tues - 746k, Weds - 469k, Thurs - 657k, ADV - 734k
  • VIX Call/Put: 3/1: Total 9.68m (7.26m Calls, 2.42m Puts)
  • CBOE begins trading options on VelocityShares EVIX - contract based on VSTOXX Short-Term Futures Investable Index

Earnings Volatility:

  • Tesla Close - $311, ATM Straddle approx. - $17, approx. 5.5%
  • FB: Close - $151.80, ATM Straddle - $5.63, approx. 3.7%

Volatility Voicemail: AAPL Earnings Pop Quiz

AAPL $146.50, Weekly straddle $5 (3.5%). IV30 = 21%, Weekly 155 Call= $.27, 138 Put = $.27 Would you rather?

  • Buy Straddle/ Iron Fly, 18%
  • Sell Straddle/Iron Fly, 34%
  • Buy Call, 44%
  • Buy Put, 7%

Earnings Season Flash Poll

ZNGA reports earnings today. Stock is trading $2.87. #Options ADV 3K. Do you trade options on cheap stocks?

  • Yes, down to $10
  • Yes, down to $5
  • Rarely
  • No, the stock is an option

Listener questions and comments:

  • Thank you for the fan art, inspired by Don Schlesinger, sent in by Hawkeye.
  • Comment from Don S. - Mark, listening to the recent Vol Views from RMC, I was going to write to you, in any event, when, all of a sudden, I heard my name invoked with respect to buying options ("I hope Don Schlesinger is not listening")! Well, I was listening, so will share a few views on vol. :-). I am continually amused by the staying power of the traditional topics. Thirty-three years ago, when I began in the industry, but most especially after the 1987 crash, when the skew was born, it became axiomatic to me that the only good thing to do with an option was to sell it or not sell it. Today, you have invented new-fangled terminology, such as "risk premium harvesting" (which I find adorable!) to describe exactly the same thing: to sell options because their implied volatilities are, on average, considerably higher than what realized volatility of the underlying goes on to display. I am not sure why we need the new vocabulary, but whatever makes people happy. You can either be the insurance company or be the policy owner. Which one makes the most money?
  • Question from @fksthlm - Did something just break in VIX ETFs? Was the move 11:45 Wednesday, hindsight guess I was only surprised to the sensitivity to futures at this level

Crystal Ball: Wild and reckless prognostication

Last week:

  • Mark L. - 11.50
  • Mark S. - 11
  • Russell - 11.95

This week:

  • Mark L. - 10.55
  • Mark S. - 9.95
  • Russell - 10.10