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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.

Jul 24, 2017

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

The Numbers:

  • VIX Cash - 9.58, VVIX - 76
  • VXN - 14.36, CBOE Skew Index - 130
  • VIX Options - ADV: 671k, Total 7.32m (5.82m Calls, 1.49m Puts)

Russell's Weekly Rundown:

Volatility Flash Poll: Someone bought 235k $VIX Aug 30/35 Call Spreads for a whopping $.05. Theory time - Why would someone buy this spread?

  • "Hedge" Short OTC Vol
  • Bullish Volatility Spec
  • Someone had $1.2M to burn
  • "Hedge" Equity Portfolio

Volatility Voicemail: Listener questions and comments

  • Question from FContangotrader: When you buy put calendar in $VXX and took delivery of stock becomes synthetic call, great way to gain cheap delta while you short.

Options question of the week: Earnings Season is back! $MSFT & $EBAY are up next. $MSFT ATM Straddle = 3.5%. $EBAY ATM Straddle = 7% Which trade would you make?

  • 41% - Buy $MSFT Straddle 3.5%
  • 28% - Buy $EBAY Straddle 7%
  • 21% - Sell $MSFT Straddle 3.5%
  • 10% - Sell $EBAY Straddle 7%

More questions and comments:

  • Question from Avery Thompkins & HSchwartz - Russell any progress on creating a VIX calc spreadsheet?
  • Question from Ballen - What is your take on this article?  Time to Stop Calling the VIX the “Fear Index”
  • Question from MMouse - Check out this chart. Short volatility for the win! Why would you buy VIX?

Crystal Ball: Wild and reckless prognostication

Last week:

  • Mark L. - 10.25
  • Ghost of Russell - 13.74
  • Andrew - 9.99
  • Guest - 9.75

This week:

  • Mark L. - 10.25
  • Russell - 9.76
  • Mark S. - 10.04