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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.

Sep 24, 2018

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

VIX Cash - 12.2, down 2.2 points from last show

  • RVX - 13.9, down 2 points from last week
  • VVIX - 91, nine handles lower than last show
  • Cboe SKEW Index Tops 150 for Record Four Straight Trading Days; Some Cite Surge in Black-Swan Hedging
  • VIX Options - ADV: 467k, VIX call/put: 2.8/1, Total 6.86m (5.04m Calls, 1.82m Puts)
  • More size Oct/Nov risk reversal on Weds - over 50k on the tape.
  • VXX - 26.65, over 1 point lower than last show.

Volatility Voicemail: Options question of the week

Some people look to analysts for their market outlook. We prefer to analyze actual options positions. This week we're looking at SPY. In a nutshell - what do you think is the largest options position in SPY right now? No cheating - what does your gut tell you?

  • 16% - SPY Mar 255.0 P
  • 32% - SPY Oct 272.0 P
  • 34% - SPY Dec 31st 320.0 C
  • 18% - SPY Sep 300.0 C

Listener questions and comments:

  • Question from Godfr3y - I'm long VXX from 28.30 and long Jan 25 puts from $.55. Today I sold the Oct05 29.50 call for $.56. Thoughts? Should I just scrap the shares?
  • Question from Piers - I'm long a bunch of VXX puts. I'm wondering if it is cheaper to buy VXX stock rather than the OTM calls to hedge against vol spikes over short periods like weekends or a few days. The underlying isn't going to suffer the same theta as the options and you get more deltas.

Crystal Ball: Wild prognostication

Last week:

  • Mark L. - 11.67
  • Mark S. - 12.15

Next week:

  • Mark L. - 11.25
  • Mark S. - 12.14