RealVol on the Radio — Volatility Views

3 Jun 2013—

Volatility Viewpoint: We shake it up a bit and discuss the biggest news of the week first, namely the New York Times article, "Growth in Options Trading Helps Brokers but not Small Investors."

The Crystal Ball: We discuss the future of Vol Views itself. A short summer hiatus will cover the rest of June, but we're hoping to be back in July with a new and improved format, more voices, new segments, but the same Vol Views you know and love.

19 May 2013—

Volatility Review: Realized volatility plummeted. NASDAQ sits at 12.06 and S&P is even lower at 10.01. Don and Mark Sebastian called it.

 Listener Mail: We answer listener questions.

• Question from Jackson Engles, Garden City, NY: When you are analyzing historical volatility, what time frame is most relevant?  The past 30 days? The past three months, six months, etc.? What do you focus on in your analysis?
• Question from Timothy VanAllen, Baltimore, MD: I hope Mark didn't lose "the Voice of Options" at his unusual activity event. I couldn't make that one, but if you guys end up doing a Vol Views 100 live, I hope to be able to attend. My question has to do with vol skew. We hear a lot about the vol smile, but nothing really exhibits it. Can you guys think of any underlyings that really spike from a volatility perspective once they move away from the ATM in either direction?
• Question from ATL16: Dollar/Yen is crazy lately. What's a good source for FX vol info or analysis?
• Question from Phil Thomas, London, ON: In what conditions would the Vol Views Squad ever consider using upside VXX or VIX calls/verticals as a portfolio hedge? Or would you always stick with the good old S&P put spread/ratio spread?
• Question from Mr. Pop: Quick question -- What is your favorite position for trading volatility?

The Crystal Ball: Fading the short-term, buying the long-term. How long can VIX stay this low?

13 May 2013—

Volatility Review:
The dollar hit a historic level with the yen last week, and this has had an effect on the currencies Vol. The inversion of realized volatility, where it's higher than VIX, continues — a rather unusual occurrence. 

Volatility Viewpoints:
Dennis Chen. He is the co-author, with Vol Views's own Mark Sebastian, of The Options Trader's Hedge Fund. 

Listener Mail:
Comment from Hawkeye: In honor of May the 4th, "Buy not, sell or sell not, there is no buy." — from Don "Yoda" Schlesinger. Thanks to all the volatility masters for such a great podcast!

Question from Mr. Todd: I found Mark L's comment about VXX being the #3 exchange traded product quite surprising. You guys have slammed that product frequently on this program. Why do you think it has succeeded among the entire universe of VIX ETPs? Thanks for the greats shows — when Mark "The Voice of Options" speaks I listen!

The Crystal Ball:
This curious situation with VIX really throws a wrench into the machine — not sure where we go from here.

6 May 2013—

Volatility Review: Market up 1% after some surprise news from the non-farms report — better than expected. We had a unique week where the market was up and VIX was up as well, for four days in a row.

Listener Mail: Mark and Don take your questions.

• Comment by AsymmetricRisk on the Value of Gamma episode: Best Vol Views ever, by far, full of actionable insight. A whole new level for Vol Views. Keep up the good work.
• Question from Hawkeye: I just picked up Mark Sebastian's book The Option Trader's Hedge Fund. I am looking at the example where he uses a double diagonal, then "weights the vega." I understand why he wants to weight them, but I don't understand where he got the actual weight values he used from. Can anyone help? Thanks.
• Question from Tom B, Houston, TX: Hey Vol Viewers - My question is for Don and Bob from the Volatility Exchange. With the recent crash at the CBOE, are you guys at VolX at all concerned about putting all of your eggs in one basket when it comes to listing exclusively on one exchange? Would it be better for RealVol futures to be listed on all relevant exchanges? Thank you for this program. I look forward to it every week even though most of it goes right over my head. Mark L has the best voice in options, Mark S is a zany character and Don can recite volatility calculation like nobody's business. Keep it up!
• Question from Tim L, Long Beach, CA: Does anyone offer the equivalent of FLEX options for volatility? If so, would you recommend them?
• Question from Athelas: What did VIX traders do during the CBOE crash? SPX has many outlets but there aren't any for VIX that I am aware of.
• Question from Tiny Tim: Where do the Vol Viewers stand on Vol before earnings? If you're long Vol, do you get out before the announcement? If you're short Vol, do you get out after the announcement?
  

The Crystal Ball: Implied Volatility has possibly hit its bottom. These 1% moves a day could continue.

29 Apr 2013—

Volatility Review: Vol has spiked in the last week, going nearly as high as during the Italian elections. CBOE computers go down. How does the inability to trade VIX affect the overall markets?

Listener Mail: Mark and Don will take your questions now.
Question from Phil Z. - Mark, love the show! Could you explain what you, Don, and Mark S. mean when you say VIX has "roll risk"?
Question from Tom S. - Do you agree with the theory of your guest that near-term S&P OTM puts are the most resilient to time decay?

The Crystal Ball: VIX should stay high for a while, but will not go above 14%.

22 Apr 2013—

Volatility Review: The VIX shot up at the beginning of the week, but was selling off by the end of the week. There was a broad vol story happening this week, particularly in the commodities with gold vol spiking 500% over two weeks.  

Volatility Viewpoint: Bob Krause discusses the RealVol Index, available at VolX, which features nine daily indexes. Bob also talks about how a real-time value can be calculated from a daily value.  

Listener Mail: Tell us what you want to know.

• Question from Blake M, Troy, NY: If I trade bullish risk reversals, does the volatility premium give me an inherent advantage over collar/bearish risk reversal trades?
• Question from Mitten, Toronto, ON: When does VolX plan to launch a RealVol contract on commodities? I think a metals contract would be very popular and profitable for the exchange.
• Question from Mike P: Mark, are you aware of any research, or can you bring on any guest to discuss to the performance of at-the-money straddles during earnings cycles? It can be either from the short or long side. I'm surprised at the lack of available information on this topic, given the importance of the subject matter. This impacts pretty much every options trader at least once every quarter. Any light that you could shine on this through your fantastic radio network and website would be very much appreciated.

The Crystal Ball: Apple and other earnings next week, which have an impact on vol premium. The bulls could be coming back in force.

15 Apr 2013—

Volatility Review: Gold vol is getting crushed and is off about 4%, with similar action happening in silver.  Money is leaving gold and entering bonds and stocks. The Bernanke straddle is in full effect as money flows in from Asia. Lowest realized vol in gold was charted in early April, with vol spiking ever since. Vol of vol is around 170, and is likely going over 200. 

Volatility Viewpoint: Today guest is Shreyas Chari, Principal at Satwic Capital Partners. He discusses gamma and its relative value in the marketplace, as well as other aspects of volatility.

The Crystal Ball: Weekly options are becoming more efficiently priced.

25 Mar 2013—

Volatility Review: It is somewhat surprising to see how little the recent European crisis has impacted the VIX. Perhaps the market over-reacted to the news in Cypress. NASDAQ 21-day realized volatility is below that of the S&P.

Listener Mail: Keep those questions coming in.

• Question from Jim Petchi: I have been listening to Volatility Views for a while, but I still do not understand how the volatility of a specific option relates to the probability of the change in stock price. Does the implied vol of a specific option (like AAPL today at 443, with a April vol of 29%) mean that AAPL has a 29% chance of making a one standard day deviation move, which is 67%, in that time frame? If not, is there some way of relating the implied vol with probability?
• Question from A Heiner: (in reference to "Risk Reversals Trade BPI" an unusual activity article) What does this mean? I apologize but I do not understand the market and what this says about the future of BPI and its price. Can you break it down for me?

The Crystal Ball: The crisis in the Mediterranean will likely get resolved soon, and in a way the market finds favorable. Happy Holidays everyone! We will be back in two weeks.

18 Mar 2013—

Volatility Review: We are back after a short break last weekend. Most major indexes have reached near-record lows highs.  As a consequence, because of the inverse relationship, volatilities are extremely low.  Could this be the norm going forward? Is there a line drawn in the sand with options' implied volatilities?

Listener Mail: Our team tackles your questions.

• Question from Phil Fan: Do you ever plan to host a live recording of Volatility Views? If so, when and where? Please put me on the list.
• Question from Tim Moore: The host frequently says that vol traders don't understand basic math. What does he mean by that?
• Question from X64: Are there any good tools out there that show up-to-the-minute, even intraday, realized volatility?
• Question from Aston Meyer, Brooklyn, NY: I enjoyed your recent show with Randy Swan. However, do you really think it is realistic for a client to expect his financial advisor to have a working understanding of volatility, in addition to all the other things they keep track of for their clients (stock selection, tax implications, risk tolerance, etc.)? Thank you for this wonderful program, I have learned quite a bit.
• Question from StatArb: Do you think they'll pull all the vol swaps onto SEF's along with the CDS's?

Crystal Ball: Very rarely have realized and implied volatility been this close to each other, making this an interesting period. VIX settlement next week.

4 Mar 2013—

Volatility Review: We had quite a roller coaster week in terms of implied and realized vol. The importance of vol of vol has been showcased.

Listener Mail: We have a huge mail bag today.

• Question from Big Ned: Is it possible for an options trader to ever truly be flat, aside from closing his positions?
• Question from Alex Gumble: How do market makers manage their volatility exposure when everyone else in the pit (or bin) has the same position? That seems like a difficult prospect.
• Question from Mikhail, Ukraine: Why do I need to worry about Vega? I only sell strangles and iron condors. The risk is clearly defined. If price is good, I sell. If the price is not good, I don't sell. It’s very simple.
• Question from Nix01: I liked Mark's article "VIX Activity - Hedge or Sign" from 2/27. Can he elaborate on the show?
• Comment from Rich@PinProjects: Rule of 16, nice one! Thanks @Options #Volatility.
• Question from Talos_A: Insider trading has been making many headlines. Do you feel sudden spikes/drops in volatility on a strike are the best indicators or unusual activity/insider trading?
• Question from Nickel Silver: Where can I buy shares of VolX? Is it publicly traded?

The Crystal Ball: Sequestration! Keep an eye on Europe as well. Where can vol go next?

25 Feb 2013—

Volatility Review: What is going to shake up the world of volatility? We did see a small pop this week. The weekend effect.

The Mail Bag: So many questions!

• Question from Tim Ross: I’ve heard the hosts refer to "scalping gamma" before on the program. What does that mean and should I be doing that in my own trading account?
• Question from Nitin Gulati: Mark, Volatility Views is the best educational show in the world of options trading and education. No one could have assembled such a great team of hosts. Don often refers to “vol of vol” in his comments, but how can this serve as a useful tool in a retail trader’s arsenal? On second thought, we often use vol cones to understand how realized vol is at lower levels on some individual names, as well as indexes. If implied vol is priced in lower further out, doesn't that mean the market is pricing a muted move in the future? How would a trader differentiate if he only wants vega, since gamma might not be cheap?
• Question/comment from Southbaytrader1: Looking forward to the weekly fix from your show. Good humor in a world of darkness! When's the next stand-up tour? I enjoyed the vol series discussing Taleb's strategies--interesting to hear competing viewpoints. I would like to hear more on vol futures versus cash, assignment risk, and possible spread strategies for mitigating cash outlays. Your thoughts on margin would be great too.
• Question from TBill01: What do you guys think of the recent spike in VIX? It seems to be way out of whack with actual movement of S&P. See? I listen!
• Question from Umberto Toli: Do you feel the current options tax treatments put forth in congress, particularly the covered call tax treatment, will stifle volume and/or drive exchange volume into the OTC realm? If so, what impact do you feel this would have on overall S&P and NASDAQ volatility?
• Question from Et_Moor16: I am thinking about dispersion trading in AAPL, V, QQQ, GOOG, and AMZN. How much do you think I need in my account to do it?
• Question from Finn Tompkins: What does the Vol Views crew think of the underperformance of the emerging markets VIX relative to the actual VIX? Is tail risk just overpriced in the U.S. or is it a bargain in the emerging markets?

 The Crystal Ball: Is the current level of realized volatility sustainable?

19 Feb 2013—

Volatility Review: It’s about as blah as it can be with very little happening in the world of volatility. It’s not to say we told you so. If there is any edge, it’s in March VIX futures.

Volatility Viewpoint: Today's guest is Scott Maidel, Senior Portfolio Manager, at Russell Investments. He discusses:

• His paper, Capturing Volatility Premium through Call Overwriting
• The ways to capture the volatility differential between realized and implied
• Quantifying the term “overwriting”
• Findings that overwriting can outperform the S&P 500 in the long-term
• How the message is being received by the retail audience
• How the paper quantifies the impact of the roll on weekly options and when the best time is to do so

Crystal Ball: Is VIX at 11 possible? Skew may be the best way to go for now. Don and Andrew find common ground.

11 Feb 2013—

Volatility Review: NASDAQ realized vol hits 11.33, a continued downtrend not only in NASDAQ, but also S&P vol. The Russell is garnering premium over everything else. 

Listener Mail: Our listeners are keeping us busy with questions.

• Question from JoJo - I love the show! Have you thought about bringing on a CTA?
• Question from Justin Deveroe - Can you walk me through a few potential use-cases for a NASDAQ vol contract? I like the show and I'm intrigued by the idea, I'm just not sure how to trade a product like that.
• Question from Little Tim - Why do you think GLD is "underperforming" right now from a volatility perspective? SLV seems to be stealing all of the thunder in the volatility realm these days.
• Question from Theodore Grey - I enjoyed your recent shows featuring financial advisors, but I found the reticence of many advisors to even implement basic hedges very troubling. Why do you think so many advisors and asset managers lack even basic knowledge of volatility or how to hedge a portfolio with options?
• Question from Allie, Anchorage, AK - I have about $25,000 in my trading account. I've learned a lot about the realized vs. implied discrepancy by listening to this program, and I would like to capture that in my own trading. Unfortunately delta neutral trading is pretty much out of the question with my account balance. What do you recommend for someone like me who would like to practice what you guys preach, but doesn't have access to an institutional level account? I'm sure many of your listeners are in a similar situation.
• Question from Monster6 - Correlation is a growing concern across asset classes; it's all but impossible to diversify away risk in this marketplace. Would you guys advise your listeners that a volatility/derivative component is the best way to truly hedge/protect a portfolio these days? If so, which would you recommend?

The Crystal Ball: Perhaps the Russell will be our salvation for a little action over the weekend. Looking for price increases in all the major indexes in the future.  

4 Feb 2013—

Volatility Review: Premium coming out post non-farm payrolls. How long can volatility stay this low?  Will VIX have an 11-handle by next week?

Volatility Viewpoint: Today's guest is Mark Shepherd, Founder of DSC, Derivatives Strategy Consultants. He discusses what types of structured products his firm offers, how he advises clients in a low volatility environment, and how he hedges his clients.

The Crystal Ball: What will juice volatility in the coming weeks? The metals remain the last bastion of volatility in this market.

28 Jan 2013—

Volatility Review: Apple set fire to their earnings estimates, and then plunged to murky depths. NASDAQ vol. Realized Implied vols, as measured by VIX, are currently at the same level as 21-day realized S&P vol, but are still overpriced with respect to shorter, 10-day realized.

Listener Mail: Don, Mark, and Mark dive into the listener mailbag.

• Email question from Neil Ducat: I like the discussion of commodity volatility on your recent episodes. Are there any plans to include a regular commodity vol update in your Vol Review segment?
• Email question from Tim S.: The commodity discussion on your recent episode was illuminating. I would like to ask your opinion on this: Given the success of commodity options and futures, why haven't commodity volatility products (like gold VIX, etc.) really taken off and captured the imagination of the investing public?
• Twitter question from Mr. Auto: With Apple and other recent names blowing through their straddles post-earnings, would Don concede that there are indeed times when it is appropriate to buy volatility?
• Comment from Alfonso Strolli, Florence, Italy: Ciao Vol Views crew! I find your program very informative. Mark Longo is indeed the voice of options, and certainly the best in the world at what he does. Don provides the perspective of a veteran of many volatility battles, and Mark Sebastian is nothing but entertaining. Thank you for this great and unique program. Keep up the good work!
• Email question from Tim42: Has Don ever bought an underlying, or does he sell those too?
• Email question from Ed: I am very interested in SPX and SPX volatility (aka VIX). I understand Mark Longo is a former SPX market maker, what are his impressions of the current trading range of SPX vol vs. his time in the pit? Does it perform differently now than it did then? Also, if possible, could he share his favorite trading story from his SPX days? Thank you very much.

The Crystal Ball: Gold and silver catching eyes of those looking for volatility.

Email question from Donald Simmons: With volatility trending lower and no relief in sight, what do the hosts think of interesting strategies for a time of stagnant volatility?

23 Jan 2013—

Volatility Review: Bob Krause pinch hits for Don in this episode. Volatility has recently jumped in corn and interest rates, but is still at very low levels when compared to a very long-term historical viewpoint. NASDAQ volatility has been moving roughly the same as S&P.

Volatility Viewpoint: Today's guest is: Randy Swan, Co-founder of Swan Wealth Advisors. He discusses:

• overlays
• how he incorporates volatility and volatility levels into his strategies
• how he hedges the S&P 500
• how he feels about some advisors still clinging to outmoded traditions
• and more

Crystal Ball: NASDAQ and S&P outlook. It seems like the one thing we were looking for to juice the market and give us some vol in the near future has been taken away from us -- hence the massive selloff.

14 Jan 2013—

Volatility Views: Not much happening from a volatility perspective. NASDAQ vol review. VIX review.

Volatility Viewpoint: Today's guest is Rob Heineman, a commodities broker at the Chicago Board of Trade. He discusses strategies to use going into crop reports, skew, volatility arbitrage, the impact of one commodity on another, the impact of weather, and more.

Crystal Ball: NASDAQ and S&P outlook. It looks like it might be more of the same with little vol movement. We're stuck in the mid-winter summer doldrums.

7 Jan 2013—

Volatility Review: Happy 2013 to all our Volatility Views listeners! The market rallied across the board and then sold off after a deal was finally struck in Washington. S&P vol review.

Mail Bag: Keep those questions coming.

• Tweet from Southbay Trader: I especially like Volatility Views!
• Tweet from Billmoo: OIR - Top Financial Podcast of 2012!
• Email from Allen Jacobs - Danbury, CT: Can you guys talk about dispersion trading? I've heard that term quite a bit recently. I think it has to do with volatility trading, but I'm not sure how or why, but I think I've turned to the right people for help. Thanks for your show Mark, it's a big help to people like me, who aspire to one day be volatility pros like you guys.
• Tweet from Leroy: Why weren't people aggressively shorting vol pre-cliff deal like the debt deal?
• Email from Anonymous: I run the vol book at a local shop. I found your show about Mr. Black Swan very illuminating. I've read all of Mr. Taleb's books and even met him several times. Like you, I assumed his trading style to be heavily long premium, and was surprised to hear the opposite. I would expect former market makers like "the Marks" and a former upstairs trader like Don to be aggressively short ATM premium, but not Mr. Taleb. He appears to be preparing himself for his black swan events by back spreading and being net long units, so it isn't a complete cop-out - he's not just writing ATM straddle and heading for the hills. Like all of you and your recent guest (Jared Woodward), I too am left with a somewhat bitter taste in my mouth after learning this information, it doesn't fit with the overall message and marketing of his work.
• Email from Theodore Grant - Pittsburgh, PA: Mark, Volatility Views is my favorite show on your network! I wish there were more podcasts out there talking about volatility trading - you guys truly stand alone. My question has to do with tail risk, one of your favorite subjects. You guys always talk about tail risk and how it's become dramatically overpriced in indexes like the S&P 500 and even large cap stocks like Google. What about in commodity products like GLD, corn, oil, etc.? In those products the tail risk is found on the upside. Do you see the same overpricing of premium in the upside calls in those products as we currently see in downside SPY and Google puts? Thank you.

The Crystal Ball: Earnings season kicks off next week. Are we heading towards the winter doldrums?

24 Dec 2012—

Volatility Review: Most indices down 1% fueled by rumors out of Washington about a collapse in the deal over the impending "fiscal cliff."

Listener Mail: So many questions for us to answer.

• Tweet from Doc Hudson: What is your pick for volatility trade/product/development of the year?
• Tweet from Man of Steel: What do people mean by “selling or buying skew”? What are those trades?
• Tweet from VIXen - Why are iron condors so hot right now? Seems like everyone is selling them these days no matter the vol landscape.
• Email from Sam Felis: Why are the front-month VIX futures trading above the cash right now? I need the Vol Views pros to explain this to me.
• Tweet from Sam Dash: Don -- sell or don't sell vol in 2013? Give me your thoughts?

The Crystal Ball: What can we expect to see in 2013?

17 Dec 2012—

Volatility Review: NASDAQ vol hits 13.08. Apple, despite its tremendous movement, is having little effect on NASDAQ volatility. S&P realized vol versus implied vol.

Listener Mail: Back to Black Swans.

• Comment from Asymmetric Risk: According to Don, Nassim will lose money over the long run because the out of the money options he buys have a higher implied volatility than the close to the money options he sells. Since he is paying a spread, Don thinks this is a bad strategy. Far be it for me to disagree with Don, but speaking for Nassim (and I feel confident speaking for Nassim because I've had dozens of conversations with him on this exact topic) Nassim would agree he is paying a spread but the spread between ATM and OTM options is systemically underpriced. Nassim's strategy is based on his belief that asset prices are not normally distributed -- the bell is flatter and the tails are fatter. So options markets overprice one standard deviation risk ("I always sell ATM straddles") and underprice two standard deviation risk (Black Swans). Your critique of him is misplaced because you're focusing on 5- and 10-sigma events which are not required for his strategy to work. He ran a large option book at a major investment bank and was profitable on a monthly basis.
• Tweet from Don M.: Shouldn't Nassim be a net buyer of tail puts if he feels tail risk is underpriced? If he sells ATM, does he buy OTM on a ratio? Make no sense to me.
• Email from Tim Vicks, Fredericksburg, VA: Let me see if I have this straight: Black Swans are extreme outlier events that are unpredictable, yet so catastrophic as to alter the course of human events. But the way to prepare for these events is to sell premium? What am I missing?

The Crystal Ball: Sebastian foresees a massive spike in realized vol with little to no spike in implied vol. Is it time to own gamma and be short vega? Still waiting for some news out of Washington.

10 Dec 2012—

Volatility Review: It was a very slow week in volatility, with the VIX sticking close to 16. Near-term VIX futures were trading at 0.50 below the cash contract at one point this week.

Listener Mail: Mark, Andrew, and Don answer listener questions.

• Comment from Teddy: This is a great article. I really hope you guys discuss this on the next episode of Volatility Views. I'm curious about this new low vol VIX. What is the point of it?
• Comment from Oscar (about Woodard's article): This is a good article, and given the last episode of Vol Views, this is very timely. When are you going to have Condors Options on the show? It seems like they would fit nicely with Mark, Don and Mark.
• Comment from Asymmetric Risk: I've never read any of Nassim's books, much less his research. However I've probably traded more options with him than any of his counterparties, going back to the 80's when we were the two most active currency options traders globally. I would describe him as a buyer of back spreads, and very well positioned for gaps or jumps. Many of which were not black swans per se, for example, the sudden 10% currency move we had when the Swiss National Bank put a floor on the Euro recently. Your critique of his strategy was unduly harsh, because while he is set up for black swans, he isn't dependent on them to be profitable, as you guys characterize him.
• Email from Mark S: Should I even pay attention to the vega numbers when trading weekly options? It seems like vol is mostly irrelevant in such a short-dated option and that any measurement of that vol would be highly prone to error. Weeklies seem to be gamma/theta beasts, so that's where I expend the bulk of my effort and analysis.

The Crystal Ball: We're still waiting for a settlement in Washington on "the fiscal cliff."

3 Dec 2012—

Volatility Review: Near-term vol of vol has been extremely low of late. NASDAQ and S&P vol review: over the past two weeks vol has been almost unchanged. How has our frame of reference for vol changed?

Volatility Viewpoint: Today's guest is Jared Woodard, the founder of Condor Options. He discusses his recent article about volatility and black swan events. What was the response from Taleb? A major bombshell is dropped. Plus, Jared also gives his take on volatility risk premium.

The Crystal Ball: The fear of the weekend. What could happen with "the fiscal cliff"?

19 Nov 2012—

Volatility Review: Selloffs continue, though the VIX has not changed much. VIX review. NASDAQ vol review. Almost no change in realized vol.

Volatility Viewpoint: Some interesting topics emerged from this week's global derivatives conference:

• Is vol cheap? When VIX cash hit 13.5 this year, the cost of the six-month hedge was the same as the day after Lehman defaulted.
• VIX ETPs are problematic, part 1: They are not very adaptable to new volatility regimes.
• VIX ETPs are problematic, part 2: In the last 15 minutes of the trading day, VIX futures are far more volatile than VIX or SPX themselves, indicating the impact of these structured products on seeking alpha and roll yield.
• Is too much tail risk priced into the market? S&P puts and VIX calls are priced as though black swan events are imminent and occur with alarming regularity, as opposed to being the rare events that they truly are.
• Implied vs. realized volatility premium: Implied volatility premium, as opposed to its realized counterpart, is higher in short-duration VIX options. In general, this favors strategies that sell shorter-dated options and buy longer-dated options.

Crystal Ball: Looking ahead at NASDAQ volatility and the VIX.

12 Nov 2012—

Volatility Review: The post-election selloff seems to be over for now. A bit of politics, plus a two-week rundown of S&P and NASDAQ vol.

Volatility Viewpoint: Today's guest is Alberto Cherubini, the founder of EQ Finance, who discusses volatility surface models, exotic trades, as well as OTC vol and how it is impacting that of listed products. Mr Cherubini can be reached at eqfltd.com.

Crystal Ball: We are hoping for a major announcement, any day now, concerning VolX. Stay tuned. Assets with inelastic demand and sensitivity to the US dollar will rally.

29 Oct 2012—

Volatility Review: NASDAQ vol and how it has been affected by earnings. Implied risk premium. S&P vol.

Volatility Viewpoint: Today's guest is Jeff Lewandowski from Foremost Trading. He discusses his transition from CBOE to futures, as well as the odd shape of commodity volatility skew, smile skew, and premium levels.

The Crystal Ball: NASDAQ vol going into the big numbers tonight ahead of AAPL earnings. How will earnings affect realized vol? All the big tech names are outperforming. Looking ahead to S&P vol.

22 Oct 2012—

Volatility Review: What's going on with the VIX rallying on a slow day like today? NASDAQ rundown. This is the first time we've moved down more than 1% since June 26th.

Volatility Viewpoint: Today's guest is Nick Li, a Quantitative Analyst for VolX. He tells us about the paper "RealVol Futures Overlay on an S&P 500 Portfolio," which compares some different implementations of RealVol futures in conjunction with an equity portfolio.

The Crystal Ball: Realized volatility should tick up a bit, but it depends on earnings.

15 Oct 2012—

Volatility Review: The week in vol that never happened.  Yes, it was a very quiet week. NASDAQ and S&P vol both dropped severely since last week.

Listener Mail: Our listeners drive the bus for a while

• Did Don start off as a vol seller or did he have a few losing long vol trades first that turned him to the dark side? (Via Tweet from @THIMSTER)
• Do you guys subscribe to the notion that the market is fully hedged with VIX, which is why VIX is underperforming? (Via Tweet from @XZTON)
• Does VolX have any plans to launch any realized volatility products on commodities such as ags, metals, etc.? Thanks and keep up the great work. (Via Email from Sid K., Des Moines, IA)
• What do you guys think of Apple call verticals here? Does Apple skew make buying them more attractive going into earnings? (Via Tweet from @Duncan6)
• Why is NASDAQ historically a more volatile index than the S&P500? Is it simply because it contains more tech stocks, so that generates more volatility than large Fortune 100 type stocks? Also, can you recommend any good products for trading NASDAQ volatility? Thanks for answering my question and for this fantastic, one-of-a-kind program. (Via Facebook from Alexander S.)

8 Oct 2012—

Volatility Review: The VIX is back at 14. We're definitely in a lower volatility environment. The May futures are currently trading around 24, which is almost three times current S&P realized volatility. Not much movement in NASDAQ.

Volatility Viewpoint: Today's guest is Mike Cavanaugh, president of Know Your Options, Inc. Mike talks about hedging stock portfolios with options and volatility products, the trouble with opening rotations, and more.

Crystal Ball: Don't expect much to happen in the next week or so. Non-farms and the VP debate upcoming.

29 Sep 2012—

Volatility Review:  Looking back at a four-day time horizon.  At this point, most of the indices are unchanged on the day. Don starts us off reporting that we saw actual movement in realized vol for both NASDAQ and S&P. NASDAQ components making the index rather interesting. (Yes, that means AAPL.) S&P implied vol being driven by the European cocktail of news of the day. Does skew have it all wrong? Andrew sees a floor in VIX around 13.

Volatility Mailbag:  The team lets the listeners steer the conversation.

• Email from Michael: "Does volatility play a role in dividend exercise/assignment? Is Vega a major factor in most dividend scenarios?"
• Tweet from Ian K: "Can you talk a little about commodity volatility skew? Why is it so different than equity skew?"
• Facebook question from Christian Garcia: "Is it worth it to be stuck on the screen all day with regard to gamma scalping? Does Mark Sebastian's formula (pay-to-the-decay) work on futures options?"

24 Sep 2012—

Volatility Review: Vol didn't get a boost going into the weekend, but it didn't sell off either. Very dull week in NASDAQ.

Listener Questions: The listeners direct the conversation.

• Comment from Lee on Mark Sebastian's “Arrogant VIX Trade” story: “Possibly one of the most honest and transparent posts I've seen about a losing trade and the reasoning behind it. Well done and thanks for the honesty. We have all been there, fighting a losing battle because our head tells us we are right when everything else is telling you otherwise. It really highlights the need to follow a plan, stick to you risk reward no matter what happens and act like a robot with no emotion when trading. Regards, Lee”
• Facebook Question from Tom Sevens: “You guys are always talking about the implied volatility premium vs. realized. But it seems like implied vol is always priced at a premium to realized, so is there ever a reason why anyone would want to do the opposite trade - buy implied and sell realized vol?”
• Tweet from @GIN4: “Are there any products out there that replicate vol trades (straddles, iron condors, etc.) to save me the hassle?”
• Email from Ed S.: “I really want to understand option volatility. I have even subscribed to sites that ANALYZE volatility, but I can never figure out what to do with the number it generates. I don't know if the result is particularly high, medium or low. This is very distressing to me, because I know vol is very important. But it simply eludes me. Your help is appreciated.”
• Tweet from @TOMOTON “Both Marks slammed buying 20,000 Feb 70 VIX calls for $0.15. What trade would you prefer to see?”

15 Sep 2012—

Volatility Review: The team takes a moment to discuss the problem with buying a put versus selling the stock and going to cash. Big events to move vol this week, including Apple iPhone 5 launch.

Listener Mail: Letting the listeners take control of the conversation.

• I loved last week's show. I'm very glad to have Vol Views back in the saddle!
• My financial advisor recently recommended that I allocate a portion of my portfolio over to VXX because "VIX is low." I didn't know what he was talking about. When I Googled VXX I came across this program and have learned quite a bit. Thank you for informing me, but I'm still uncertain as to his VXX recommendation, especially after hearing your comments about TVIX. Should I allocate some of my portfolio to VXX?
• Why are VIX cash and front month VIX futures the same right now?
• Don - Is there ever a case when you would buy vol?
• You guys are always talking about Volatility skew. I recently noticed that, in Apple, the calls were bid substantially over the puts. Is that an unusual phenomenon? Are there any other names you can mention where this is the case?
• Are there any tools that let you trade off of vol cones?

Crystal Ball: Looking ahead to next week's VIX cash and VIX futures. NASDAQ preview.

7 Sep 2012—

Volatility Review: Vol review from the last few weeks. Short story: vol has marched downward to near-record lows. Volatility Viewpoint: This week, Mark and Don are joined by Dan Passarelli, Market Taker Mentoring. Dan discusses Market Taker and how he approaches volatility with a new client. He also talks about mentoring students who want to dive into sophisticated vol products, like VIX options, for example. Does he counsel the novice trader to avoid these products? How does he train students to be aware of volatility levels for each trade that they make? They also discuss gamma scalping and delta neutral trading, and where Dan falls in the volatility hedge vs. direct hedge debate.

Mailbag: Answering listener mail.

• When is Volatility Views coming back live?
• Someone bought 20,000 Feb 75 calls in the VIX yesterday. That's near the ultimate all-time high for the VIX. Why do so many people dramatically overestimate VIX, particularly to the upside? People seem to be ignorant of the historical range of VIX, let alone the typical VIX movement. Perhaps this is more of a comment than a question, but it's been bothering me lately and I wanted to hear your learned opinions on the matter.
• Is there such a thing as "the gamma of vega"?

Crystal Ball: NASDAQ vol outlook.

21 Aug 2012—

Volatility Review: NASDAQ overview over the last month, since our last show. How low can the vol go? A buyer's opportunity.

Volatility Viewpoint: Today's guest is Mike Dever, Founder and CEO of Brandywine Asset Management, and author of Jackass Investing: Don't Do It. Profit From It. He starts with his unique approach to volatility. Is it possible, given such broad correlation among asset classes, to be able to really diversify? The book says you can increase returns, while reducing risk at the same time. Is this preaching the wisdom of using derivatives? The "loser's concept." What does he say to readers who are concerned about the current state of regulation and oversight in options and derivatives?

Crystal  Ball: Looking ahead for the next month of NASDAQ vol and VIX.

The NPR show discussing randomness that Bob mentioned can be found here: http://www.radiolab.org/2009/jun/15/

26 Jun 2012—

Volatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected. 

Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexity, and vol of vol.

Listener Mail: Addressing Listener Questions

Vol Views Gang — Which will we hit first a VIX of 40 or 14? (Via Twitter from TEXASTEA)
Why don't more brokerage firms allow you to quote options by vol levels instead of price/premium levels? You'd think this would be a very desirable feature, particularly to the type of educated clientele that listens to a show like Volatility Views. That's certainly a desirable clientele for a broker. I know I would certainly like that feature. Can you guys weigh in on this and hopefully help me spread the word for this feature among online brokerage firms. (On a side note - I can't wait for Volatility Views to get back to its regular schedule. I never thought I would be this excited for the end of summer.)  (Via Facebook From Alex K., Tucson, AZ)

Does the Volatility Views team feel that the new method for listing weeklies will lead to a reduced volatility of volatility in those products? Thank you very much for your fine program.
(Via email from Alessandro Ropa, Barcelona, Spain)

Crystal Ball: Looking ahead at the next month for VIX and NASDAQ Vol.

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18 Jun 2012—

Volatility Review: NASDAQ realized volatility makes a slight upward move, and until we get any evidence to the contrary, this action will likely continue.

Volatility Viewpoint: Today's guest is Dr. Madhu Kalimipalli, Associate Professor of Finance and Director of the Financial Services Research Center at the School of Business at Wilfrid Laurier University in Waterloo, Ontario, Canada.

• His research, in which he looks at correlations between overall equity market vol and the treasury markets.
• What kind of skews he sees in the bond markets insofar as implied volatility is concerned.
• Which variable is preferable to use, VIX or the stock turnover, or both?
• How the volatility of a particular underlying correlates to corporate bonds on the underlying.
• If he finds a more exact bond spread relationship in the near-term as opposed to the long-term.
• How actual equity or stock market volatility matters in terms of pricing when you throw in the liquidity factor.

Crystal Ball: Greek elections on Sunday. Could send us off in any direction. The movement of volatility will creep back up to normal levels again.

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12 Jun 2012—

Volatility Review: VIX is back this week, after it ended unchanged at 0.0 before last week's Option Block episodes. Time will tell as we see what happens in Europe. NASDAQ one- and three-month realized volatility has had almost no movement at all, but the trend is surely upward.  

Volatility Viewpoint: Long-time panelist Mark Sebastian gets the chance to sit in the guest's seat and discusses what Option Pit is and the world of options education.

Mail Bag: Answering listener questions.
CBOE is in the process of changing the way they list weekly options. How do you think the change will impact weekly options volatility, as well as the way they perform? Thanks again and I love the show. You guys make my commute to work a little more bearable. (Via Facebook from Chris Monty)

In a time spread, which risk/opportunity should I really focus on: gamma or vega? It seems like trading time spreads is essentially finding a proper balance between these two. (Via email from Theodore Johnson, Boise, ID)

I'm and expat American currently living and trading in Germany. As an old-school options trader, I've always considered myself first-and-foremost a volatility trader. I mostly view my positions and I'm always looking for interesting new products like RealVol futures, VIX, etc., that will provide me with a new way to hedge/trade volatility. When I moved to Frankfurt, I was very surprised to find that most of my European colleagues don't share that perspective. They aren't up on the latest vol products/research and don't tend to view themselves as vol traders. I've found this baffling so I thought I would write to the authority on volatility to see if I am completely nuts or if this is a well-documented situation. Is vol trading, and the interest in vol products, primarily a localized American phenomenon, or am I just hanging with the wrong crowd over here? (Via email from Charles Stephens, Frankfurt, Germany)

Crystal Ball: We'll have to keep an eye on Europe, but expect little change in realized volatility. There will be a break in S&P in one direction or the other.

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4 Jun 2012—

Volatility Review: Broad selloffs across the markets, due to the poor jobless claims numbers. One-month realized volatility on the NASDAQ was up about half a percentage point to 17.40, and the three-month edged higher to 16.02. Reacting, rather than predicting, was the order of the day.

Listener Mail: We're Going Listener Mail Crazy Again This Week

• How do you guys feel the addition of Facebook will impact NASDAQ volatility in the future? (Via Twitter from DAMIAN14)
• What's your opinion of Facebook's option vol and options trading so far? (Via email from Tim L. in Portland, OR)
• Any update on the NASDAQ RealVol futures? (Via Twitter from EuroDJ)
• Is delta neutral hedging the only way to trade realized volatility in the options market right now (outside of RealVol futures on the Euro, of course)? I like what you guys talk about every week and I'm looking for ways to capture that good ol' "realized vol." (Via Facebook from Steve K., Victoria, BC)
• I just wanted to write in to let you guys know that I love this show. Volatility Views is unique in the options podcast world. No one else is out there talking about the stuff you guys talk about or bringing on the guests you guys get. It truly is a fantastic, one-of-a-kind program. So thanks again for putting together such a great show. And Mark - thanks also for The Options Insider Radio Network. You truly are "the voice of options." (Via email from Dick Framingham - Rochester, NY)
• Mark "Voice of Options" Longo, Don "sold to you" Schlesinger and Mark "tinny seabass" Sebastian - I have a pressing question that requires your vast expertise. Why, in the name of God, does the VIX have a skew? Shouldn't that information already be represented in the SPX options or am I completely missing the boat on this? Thanks again and I love the network. That new Options Boot Camp show is fantastic. (Via Facebook from Tim Bond, Tulsa, OK)
• Why do you think so many attempts to bring OTC vol to exchanges have failed - CBOE variance, etc. (Via Twitter from AXEMAN74)
• I know you guys have talked about selling vol when others are buying. Like when a newsletter recommends buying a particular put, for example. How exactly do I execute that trade? Do I wait until late in the day when everyone is done buying, then sell that same option? Can I sell nearby strikes instead? What about the stock? Do I have to hedge delta neutral or one-to-one to really capture the vol premium? I am really interested in this strategy, but a little fuzzy on the actual execution. (Via email from Joe Eftes, Sacramento, CA)

Crystal Ball: We could see 30 shortly in the VIX. All-time low for 10- and 30-year bonds. More volatility — it's going to get worse before it gets better. 

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29 May 2012—

Volatility Review: The play between pre- and post-election Greek volatility has seen big action. Ultimately though, the EU will let the Greeks decided their own fate. Andrew G. does not want to own pre-election juice. Given realized volatility, there has not been much change in the NASDAQ. The three-month realized vol has actually risen somewhat — replacing volatility that was extremely low just a short while ago.

Volatility Viewpoint: Today's guest is Andrew Patton, Associate Professor of Economics and Finance at Duke University. He is the author or co-author of several academic papers, including "Good Volatility, Bad Volatility."  Prof. Patton discusses some of its findings, including the importance of directional movement in forecasting future volatility.

Crystal Ball:  In VIX, Andrew G. is just waiting for the Greek election to sell June, buy July, and unleash the time spread.  NASDAQ one-month realized may roll over a little bit. The short term might be dropping more, but that is not a ringing endorsement.

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21 May 2012—

Volatility Review: NASDAQ one-month vol came in a little bit, and at the same time the three-month vol went up slightly. The risk premium between implied and realized volatility has widened further.  A crazy scenario of implied vs. realized volatility in VIX.

Listener Mail: Mark, Don, and Mark take on listener questions.

• All of this talk about JP Morgan has left me wondering, what kind of derivatives hedge loses $2.3 billion? How is that even possible? Help me Volatility Views hosts, you are my only hope! (Todd Lundgren, Pittsburgh, PA)
• I Know Bob and Don are big fans of vol cones. How about a vol cone update on the major indices (VIX, NASDAQ, Euro, etc.) for your loyal listeners? Where should I be buying, or perhaps not buying VIX here? (TEDMAS via Facebook)
• Hey Don, what index is next from VolX after NASDAQ? Russell? Emerging Markets? Thanks. (Via Twitter from UNCLESTEVE)
• Mark is fond of calling NASDAQ "Apple Plus." I know he's joking, but it raises an interesting question about how much the Apple tail is wagging the NASDAQ dog? What percent of NASDAQ vol, or even vol of Vol, is directly attributable to Apple? I'm sure your listeners, me included, would like to know. Also, quick side question for Mark – Is there any way to buy Options Insider gear? I love the logo and I want to do my part to get the word out about the network. (Steve K., Oklahoma City, OK)
• Vol crew, why is the VIX term structure coming in so dramatically? The VIX ETPs and annuities are still net buyers of long-term vol. (Max Shreck, Atlanta, GA)
• Has the rise of weeklies rendered existing vol studies, and maybe even conventional vol wisdom, moot? (Via Twitter from Todd Dupres)

Crystal Ball: We might start to see levels of realized vol taper off a bit in NASDAQ. The three-month vol of vol is actually lower than the vol of the S&P itself.   VIX could reach 30 sooner than later. Bonds are in even worse condition.

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14 May 2012—

Volatility Review: There is an extra note of tension in the market with S&P vol waiting for the other shoe to drop. NASDAQ vol is slightly higher.  JPMorgan news does little to rattle VIX.

Volatility Viewpoint: Today's guest, Todd Petzel, the Chief Investment Officer at Offit Capital, sits down with Mark and Don, and discusses myriad aspects of volatility and risk management.  Topics include:

• The instruments he uses to manage portfolio risk
• Structured VIX products
• Go-to products
• Financial investors and their lacking use of options
• Pending regulations concerning position limits

Crystal Ball: Sebastian sees the market bouncing around in the short term. A safe trade may be shorting U.S. treasuries. There is still a continued contraction between implied risk premium and realized vol levels. Vol may go higher, but without anything dramatic moving it.

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7 May 2012—

Volatility Review: Listeners from last week may remember Don made a timid prediction that the realized volatility of NASDAQ could be going a bit higher, and it managed to inch up a few basis points. It was a strong down week for equities. Since this selloff was gradual, the actual market volatility was not significant. Greek and French elections this weekend may fuel some volatility moves next week.

Volatility Viewpoint: Today's guest is Dr. Richard Sandor, "the father of financial futures," and Chairman and CEO of Environmental Financial Products. Dr. Sandor discusses his new book "Good Derivatives," and his storied career. He distinguishes between regulated and unregulated derivatives, discusses what it takes to create a new market, and his involvement in the issue of acid rain.

Crystal Ball: There may be an increase in realized volatility on NASDAQ in the next week. Putting a cap on volatility at 20%. Upcoming elections in both France and Greece.

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30 Apr 2012—

Volatility Review: VIX options were absolutely crushed this week. Apple after earnings and its effect on NASDAQ vol.  Don and Sebastian weigh in on VVIX.

Volatility Viewpoint: Volatility Views welcomes back Euan Sinclair, author and risk manager at Bluefin Trading, to discuss risk management and his work on the barrier (or first time) method for calculating volatility. Euan gives a quick sneak preview of the updates to his book. The group also discusses Euan's opinion on vol of vol, and if the universe of ETPs has dramatically affected the vol of vol.

Crystal Ball: Sebastian is looking at a 14-handle in the VIX and observed that S&P realized volatility was already in the 14s and would probably  maintain those levels. Now that Apple's earnings are out of the way, what to look for in the NASDAQ? Getting close to the summer doldrums.

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23 Apr 2012—

Volatility Review: NASDAQ (aka Apple+) is starting to see a rise in realized volatility, as had been anticipated. VIX looks like it is settling back into a range, so we will have to see if it holds where it is or moves yet again. We seem to be in flux; there's no real trend here.

Listener Mail: Via email from Tim Siffron, Lansing, MI.
I love your show and the great guests you guys manage to wrangle, but I was a little out of my depth with last week's guest. It's been a while since I took a stats course, so your discussion of jump frameworks and stochastic volatility models for pricing OTC variant swaps was a tad out of my league. Can you give a quick, plain English summary of the take-aways from that discussion, for those of us who may have had trouble following along? Thanks and looking forward to the NASDAQ contracts.

Via Twitter from Joe X4.
Mark and Don: Who is your favorite Vol Views guest so far? Love the show.

Via email from Aston VaLance, Hoboken, NJ.
Mark L, Mark S and Don: Now that you are discussing NASDAQ vol on the show, do you find that it performs dramatically differently from S&P vol? If so, how much of that difference do you attribute to the relative dearth of NASDAQ vol products versus the explosion of S&P volatility ETPs? Mark L has said many times on the show that the VIX has many masters these days, not just SPX front-month volatility. On the flip side, it seems that NASDAQ vol only has one master. Are these various masters pulling the VIX in different directions from NASDAQ vol? Also, would the lack of NASDAQ vol ETPs "polluting the waters" make NASDAQ implied vol a more pure product from a volatility perspective?

Via the Options Insider forum, from Captain Options.
What causes VIX term structure? Mark L, Don and company: The Vol Views show has discussed the term structure of VIX futures many times in the past; most recently the emphasis has been on the incredibly steep slope of that term structure. I wonder if you could voice your opinions on what you think is actually causing such a steep slope in that product. As my handle suggests, I am more of an options guy than a futures guy, so I'm not particularly familiar with futures term structures and how they should work. I hope my question isn't too remedial for this esteemed panel. And Don, may I say, "Sold to you." Wow. That felt great!

Crystal Ball: NASDAQ volatility at nearly historic lows, which Don predicts will rise over the short term. However, he did not say "buy 'em." Remember his motto re options: "Sell, or don't sell." Sebastian discusses shocking bond movement, earnings season, and Apple.

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16 Apr 2012—

Volatility Review: It's funny how it didn't take long for our prediction of a range-bound VIX to be proven wrong! The VVIX has been high. Is a tradable VIX of VIX in the works? What have the NASDAQ and SPX vol of vol six-month averages been? One-year? Don gives some remarkable numbers. Apple on the move downwards; some are eager to buy Apple at 600. NASDAQ vol cones, like most volatility readings, are at historical lows.

Volatility Viewpoint: Today's guests, Thomas Thorsen and Emil Stamp, are the authors of the master's thesis, "Pricing of Variance and Volatility Swaps in a Stochastic Volatility and Jump Framework." The gang discusses pricing models of OTC variance swaps, the different models the authors created, and the accuracy of the models for both forecasting realized volatility, as well as pricing of variance swaps and GARCH models in real-world applications.

Crystal Ball: Are you still shorting the VIX? Are higher levels forecasted for the future?  Perception versus reality.

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9 Apr 2012—

Volatility Review:  Not much vol action to report with the markets closed on recording day (Friday). Steep contango in VIX futures has lessened in the past few weeks.  Long holiday weekend volatility didn't fully come out of VIX futures and index options, which is highly interesting and unusual. Also an unusual situation — unemployment numbers were released on a day when the market was closed. Don and Mark discuss contango.  NASDAQ volatility update.

Volatility Viewpoint: Mark and Don are joined by David Palmer, Volatility Book Portfolio Manager at Hudson Bay Capital. They discuss the evolution of skew, the growing market of products tied to VIX, and how they're manipulating the underlying, the halting of TVIX share creation, OTC versus listed trading, volatility arbitrage opportunities, rational arbitrage, and hedging and downside protection.

Crystal Ball: Nothing to rant about in S&P land, at least until we reach the next unknown unknown. Summer doldrums are coming. The impact of having such low levels of realized volatility.

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3 Apr 2012—

Volatility Review:  VIX review, with interesting corresponding elements relative to VIX and VIX skew. Monday massive overreaction to the market rally. NASDAQ vol review, driven by AAPL, which is slowing down a bit. 

Volatility Viewpoint: Mark, Bob, and Mark are joined by Peter Christoffersen, Professor of Finance, Rotman School of Management at the University of Toronto, and author of Elements of Financial Risk Management.   Prof. Christoffersen discusses dynamic volatility, the Sharpe ratio, and practical applications for the average investor.  Mark asks Prof. Christoffersen whether it's possible to have a truly diversified portfolio without having some kind of volatility asset.  He also discusses his research on skew and its impact on the underlying instrument. 

Crystal Ball: Looking deep into the murky ether of the future of volatility, Mark and Mark pontificate on the contango environment of VIX futures, with Sebastian seeing VIX staying between 14 and 17. Will AAPL vol come in?  As AAPL goes, so goes the NASDAQ. There might be an increase in volatility post-Easter, with the beginning of earnings season.

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27 Mar 2012—

Volatility Review: Slaughter of the VIX April future, with May poised for the same.  Credit Suisse released more creation units and TVIX crushed long positions - going from 13 to 6.5 in a week. Euro vol review — March 1- and 3-month contracts expired last week. NASDAQ vol update.

Volatility Viewpoint: Mark, Bob, and Mark have the great pleasure to discuss volatility with the Godfather:  Anthony Neuberger, Professor of Finance at Warwick Business School.  The gang discusses his seminal paper, "The Log Contract and Other Power Contracts.”  They also discuss tail risk and skew risk. Mark asks Prof. Neuberger if the market is correctly pricing in tail risk.

Crystal Ball: Sebastian sees VIX staying between 14 and 16, with a lot of erosion in VXX.  Watch out for contango.  Euro vol is a coin flip right now. NASDAQ vol might be too expensive right now because of Apple.

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19 Mar 2012—

Mark is joined by Volatility Exchange CEO Bob Krause croquet courtside at the FIA Boca Conference. 

Volatility Viewpoint: Mechanics of the forthcoming  NASDAQ-100 RealVol futures.  Bob gives details on the genesis of the product, the formula, how it captures movement, the agreement with NASDAQ, the difference between RealVol futures and other NASDAQ-based volatility products, the specifications, why VolX chose to use only the closing price in the RealVol daily formula, and more.

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12 Mar 2012—

Volatility Review: Vol is down and SPX is up. Even the  news of the new iPad wasn't enough to boost the market. Don opines on Apple.  Nasdaq vol still flat-lined.  Euro vol — the  1-month and 3-month March contracts expire  soon.  

Listener Mail: Nasdaq RealVol futures, TVIX, the nature of  RealVol futures, and avoiding the VIX.

1. Will the new Nasdaq RealVol futures be  exclusive to the Nasdaq, like the Euro and CME, or multi-listed?  
2. What's your take on the ongoing TVIX drama? Cause? Was it shady? Is TVIX  done?  
3. I'm new to the show, so I apologize if you guys have  discussed this in earlier episodes, but I'm intrigued by the concept of  RealVol futures and how they work. Would the new Nasdaq products be normal  futures and options in the truest sense? In other words, do normal strategies  such as verticals, time spreads, etc. apply in RealVol futures products? Or, do I  need to relearn my trading fundamentals and apply some new concepts to fully  capitalize on these instruments? 
4. I hear you guys talking about the  problems with using VIX as a proxy for SPX volatility: Poor settlement, too  many masters affecting the VIX, etc. So instead of VIX, I'm thinking of  getting a pure realized vol position using delta-neutral ATM straddles in SPY.  The contract size is smaller, so it's easier for me to trade. As long as I  make my hedges and adjustments accurately, this should be a vastly superior  proxy for the true S&P volatility. Am I correct or am I nuts?  

Crystal Ball: Non-farms may be a non-event. Load up on VIX downside.  Hopefully the Nasdaq vol can break out of this flat line and the other shoe will drop. Otherwise it's difficult to  make any predictions.

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5 Mar 2012—

Volatility Review: The VIX was gaining ground again, but became mired in a holding pattern. What was the cause of the influx of capital in TVIX? NASDAQ vol is still flat-lining. Euro vol review.

Volatility Viewpoint: Sanjay Tolia of Bengal Capital is the featured guest.  A great conversation included questions such as: Are high levels of correlation taking away from single-stock option trading? Are high levels of correlation taking away from running balanced volatility portfolios? Are VIX products good or bad for retail investors? Are weekly options good or bad for retail clients? Is their explosive growth good for the industry?

Crystal Ball: Until people start hitting the bid or lifting offers, VIX levels are going to stay in this range. Expect a similar stall in NASDAQ. Don predicts that Euro vol expiration settlement price next week will be lower than the 10.27 of Thursday night, and will settle in the mid-9s.

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27 Feb 2012—

Volatility Review: Euro vol review. How has the Greek settlement affected Euro vol? Nasdaq vol review.  S&P's more dramatic brother, Nasdaq, is an interesting beast these days. Many of the swings in the S&P are greatly exaggerated in the Nasdaq, due in part to the tech-heavy nature of the index. How has that played out from a vol perspective? Are we seeing the same degree of selloff in the Nasdaq vol? An explosion of volume recently in the TVIX. There is something very interesting going on.
 
Volatility Viewpoint: Don discusses expected pricing of RealVol futures — information he touched upon before, but that needed some clarification.

Listener Mail:
Question 1: I know Mark has said several times in the past that the difference between retail options traders vs. pro options traders is that retail trades direction while professionals trade volatility. I wonder if you guys can elaborate on this a little more, as I'm a little confused by the distinction. Do pros implement different strategies? Different products? How do they trade volatility and how does that differ from the way retail trades options?
Question 2: Nasdaq or SPX — Which has had the greater "vol of vol" over the past few months?
 
Crystal Ball: The continued discrepancy between the VIX futures and VIX cash — how will that play out? Will the Nasdaq continue to hover in this range, or will we see a turn south sometime in the near future?

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21 Feb 2012—

Volatility Review: SPX/VIX review — some level disparities between the VIX cash and the VIX futures.  Euro vol is in single-digit territory.  Nasdaq RealVol futures preview.

Listener Mail:  Comment on the Great Volatility Skew Debate, Don's comments on volatility, and questions about Nasdaq RealVol futures.

Crystal Ball: How will the disparity between VIX cash and VIX futures unwind? Where will Euro vol go next?

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13 Feb 2012—

Volatility Review: Euro vol review. March Euro RealVol futures has an interesting phenomenon brewing — realized vol calculation is 7.93, and the inferred volatility is 10.84. How or where will they meet? Major correlation break in VIX/S&P 500.

Volatility Viewpoint: Not afraid of controversy, the panel discusses the notion of VIX settlement price manipulation with Henry Schwartz, founder and CEO of Trade Alert.

Crystal Ball: Short VIX going into the weekend, but then watch out for the unknown unknown. Don makes a shaky prediction that the Euro vol will dip lower.

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6 Feb 2012—

Volatility Review:  How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest Don has remembered since 1994. Lofty numbers have skewed people's ideas of "normal," and it's time to reassess the definition of it.  Expiration day for the February Euro RealVol futures.

Volatility Viewpoint:  Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd.

Crystal Ball: Dipping into the murky depths of volatility.  Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks.

Information on the volatility workshop that Simon discussed can be found here.

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30 Jan 2012—

Volatility Review:  What is going on with the VIX? How low can it go?  Sebas sees VIX going to 16. Don gives a Euro RealVol futures update, noting the equity-like behavior (underlying increased, while vol dropped).  Looking forward to the Nasdaq 100 RealVol futures.

Volatility Viewpoint:  Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance.  Professor Bilson also proposes two new types of contracts for the marketplace.

Crytsal Ball:  Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect.  Don thinks that the vol levels on the Euro RealVol futures look just about right.

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23 Jan 2012—

Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week — Bob Krause called it correctly. Two weeks to go in the Feb RealVol futures.

Volatility Viewpoint: Don gets a chance to give his views on last week’s topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management.  

Mailbag: RealVol futures on the NASDAQ!!!
“Woohoo! This is what I've been waiting for, a realized RealVol futures on an underlying that I actually trade. This is going to open up a whole new world of trading possibilities for me. I can't wait to short VXN and buy the realized Nasdaq product. I won't need to wait for Don to earn me an island in the Bahamas; I'll pick one up myself when I collect all that juicy risk premium. In all seriousness, I couldn't be more excited by this announcement.  This will be an enormous development for VolX as well as for all the realized vol aficionados out there. As the book says ‘We are legion.’”

Options on NASDAQ RealVol futures
“On the last show, Bob Krause announced that VolX is planning to launch RealVol futures on the Nasdaq. He also said that you plan to launch the full suite of products on the Nasdaq RealVol futures, including options. Now correct me if I'm wrong, but wouldn't the option be priced on an implied volatility basis? So essentially, you'd have an implied volatility instrument trading off a realized trading instrument. That is an intriguing scenario, but the inherent contradiction makes my brain hurt whenever I think about it for too long.”  

Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward?

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17 Jan 2012—

Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where

will it go next? CBOE has finally put out an adjustment to their settlement process. Euro RealVol futures review.

Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes.

Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX!

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9 Jan 2012—

Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone?

Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures — how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year.

Mailbag: Best method of volatility measurement?I've just found this show on iTunes and I find it very enlightening. Thank you for producing a quality show on this topic. I'm relatively new to options and I'm looking to do some basic modeling to get a better handle on options pricing and performance, but I'm hung up on which volatility measurement to use in my model. Close to close volatility certainly seems easiest but I'm not sure if it would be accurate enough for my needs. Should I try for something intraday or should I stick with the easy path? Thanks, John. 

Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures — where are they moving this year? A few new contracts may be in the pipeline over at VolX.

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19 Dec 2011—

Volatility Review:  This was an intriguing week for volatility action. Strange week in the world of VIX, with it finally returning to "normal." The novel concept of being fully insured. The seasonality of VIX — general uptrend in market plus professionals taking money off the table equals a perfect storm in VIX. Euro RealVol futures updates — December one-month went out at 11.12, three-month at 12.84.

Volatility Viewpoint: Mark and Don discuss volatility with Stephen Figlewski, Professor of Finance at NYU's Stern School of Business, founding editor of the Journal of Derivatives, and Director at the Nasdaq OMX Derivatives Research Project.

Crystal Ball:  VIX at a much more tolerable level, but Mark thinks it will vacillate in this "new mean" for quite a while. January Euro RealVol futures is fairly new, but volatility is forecasted to be lower going out.

Click here to access the Salomon Center that Prof. Figlewski spoke about in Volatility Viewpoint.

Prof. Figlewski's personal webpage is available here. 

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12 Dec 2011—

Volatility Review: VIX has been up and down around the 30-handle, but now it is time for it to begin to settle at a more normal level. Friday was quarterly expiration day in the Euro VoContract futures, with the front one-month and the December three-month going out.

Volatility Viewpoint: Today's guest, Chris Cole, Managing Director at Artemis Capital Management, sits down to discuss VIX options and futures, volatility doldrums, and the trading approach at Artemis. 

Crystal Ball: VIX is a coin flip with regard to both the long-term and short-term mean. The gang looks at the January one-month and March quarterly Euro RealVol futures and their implied volatilities versus potential realized vol.

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6 Dec 2011— In this episode, Mark, Don, and Mark Sebastian are joined by Larry McMillan.

Volatility Review: Last week saw a lot of volatility action.  VIX downside positions are just starting to pan out. Are people buying insurance or are they buying gamma?  Seasonal drain to volatility. Euro RealVol futures update — one week left to go in the front-month contract.

Volatility Viewpoints: Larry McMillan, recent winner of The OIC's Sullivan Award, discusses how volatility derivatives have changed the landscape of vol trading. Larry waxes nostalgic on the days when there weren't puts on every stock. The virtues of upside VIX calls versus SPX puts to hedge a portfolio.  Discussing the fine art of gamma scalping.

Crystal Ball: Wild prognosticating from the panel. The market will have trouble supporting current vol levels. Sebastian likes buy-write opportunities in gold right now. Larry still has a bullish bias to the market. With expiration week for the front month upon us, Don sees Euro vol settling at around 12.40-12.75.

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22 Nov 2011—

Volatility Review: It's been a rough week for the equity markets. With the weekend decay out, and the super committee's report due this week, is it time to buy or sell the VIX? Is leverage causing a rise in volatility? What's going on with the Euro FX RealVol futures, and what does realized volatility look like right now? What's the latest news on the Dec one-month RealVol futures?

Volatility Viewpoints: Bob talks about the long-term future of volatility, the volatility of volatility, and how efficiency affects the market. Also, Bob discusses his initial thoughts of the article in Futures magazine written last week.

Volatility Interview: Dan Cook, Director of Business Development at the Nadex Exchange, joins Mark and Bob in the interview segment.

Crystal Ball: With the VIX at 33, we need the market to move 2% per day to pay for VIX. Is that possible, or are we looking at a potential meltdown? If we see the RealVol futures fall anywhere below 13%, should we be looking to get long FX vol?

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14 Nov 2011—

Volatility Review: Only four days into the new front month of December, we have a ton of volatility. Greece and Italy are leading the way, dictating how the market will trade day to day. Mark Sebastian's week in review. Is Europe ramping up or winding down? The trend of net unit buyers continues into today.

Volatility Viewpoint: This segment was kicked off by an article in Futures Magazine, "Stock Market Trends and the Volatility Premium," by Marco Erling. We felt the article would be right up the alley of Volatility Views listeners.

Mailbag/Crystal Ball: WHERE ARE WE ON THE EURO VOL CONE? I know the guys over at VolX are big fans of the vol cones. I'd like to know where the Euro RealVol futures currently fall on the vol cones spectrum. It sounds like they would be a screaming sell at these levels. Am I correct, and do the hosts agree? Until the VIX proves it can hold 30 and lower, it may be a good time to hold premium — good for gamma scalping.

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8 Nov 2011—

Volatility Review: The VIX cash and the VIX, in general, have been on quite the roller coaster ride. With further concerns about Greece, and now Italy as well, the VIX bounced right back to the 32 level. Greece continues to set the Euro on fire. Don discusses the recent expiration of the front month November Euro RealVol futures.

Volatility Viewpoint: Don discusses some of the hedging aspects of using RealVol futures against options positions or equity portfolios, and some general logistical issues for listeners who are looking to add RealVol futures to their portfolio for the first time.

Mailbag: Volatility on Other Indices.
Hello Vol Views Crew: Love the show. Keep up the good work. My question concerns the viability of volatility products on indices other than the S&P. For whatever reason, none of those products have managed to attract volume or attention like the VIX, even when the ones that were created by the CBOE. To what do you attribute their failure? Is there something inherent to those indices to make them poor candidates for vol products, or is the S&P simply an ideal candidate for vol products? Thanks for your insight.

Crystal Ball: With so much uncertainty coming out of Europe, how long will sentiment factor in vol remaining high? Can Euro volatility at 15% last for the rest of the month? Plus, Mark Sebastian's weekly outlook.

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31 Oct 2011—

Volatility Review: Mark Sebastian's week in review. Euro vol a roller coaster ride recently — two big moves during the first two and a half weeks pulled the one month Nov up and down.

Volatility Viewpoint: Trading RealVol futures intraday, and some of the opportunities and mathematical applications inherent in this type of trading.

Listener Mail: How Would You Update VIX?
Hello: Since VIX is still the brand name for volatility with much of the investing public, I would like to know what tweaks/upgrades you would suggest for future iterations of the VIX.

Crystal Ball: Euro vol outlook — will we move lower from here? Also, Mark Sebastian looks into his crystal ball.

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24 Oct 2011—

Volatility Review: A bit of a roller coaster ride with the S&P 500 and VIX — A general rally in the broad market and a resulting sell-off in the VIX going into this weekend. Don gives a review of the ever-unfolding and crazy world of Euro vol. Plus, Mark Sebastian's week in review.

Volatility Viewpoint: A continuation of the discussion about skew, kurtosis, etc. Why don't we remove the mean in our volatility formula and why doing it this way is a better hedge for options traders.

Listener Mailbag:

Volatility Trading for Retail and new products.
Hi Guys: I imagine I am one of the many retail options traders who regularly tune into your program, even though much of it is way over my head. I've heard you guys discuss delta neutral trading in the past. My question is whether you think this is an appropriate strategy for retail options traders to adopt. Is it viable to trade delta neutral with a regular online brokerage account these days? Also, I know Mark Longo has said on previous programs that retail tends to be directionally oriented and professionals trade vol. I'm sure that's the case for a reason. Why do you think so many retail traders fall into the directional vs. vol camp? Thanks for the show. I'm learning something new every week -Facebook question from Dabney K, Ontario, Canada.

New RealVol futures
Don's hinted at new RealVol futures coming soon on equity indices. Will these utilize the same formula as the euro or will there be slight tweaks for the different underlyings? - Twitter question from Oseo

Crystal Ball: Mark Sebastian weighs in on the upcoming week. Also, an outlook of Euro vol for the remainder of October.

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17 Oct 2011— Taped live at the FIA Expo, Mark, Don, and Mark Sebastian are joined by Chris Strong, Director of Research for Liberty Funds. If you can imagine Crossfire meets Sports Center meets Fast Money, then you're halfway to understanding how great this episode is.

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4 Oct 2011—

Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro RealVol futures a week ago Thursday, and where they settled this past Friday — a product rich in volatility. S&P, Nasdaq, and commodity vol review. Plus, Mark Sebastian's volatility review.

Volatility Viewpoint: A quick primer on mean, median, standard deviation, skewness, and kurtosis of distributions. Plus, explaining negative market skewness, leptokurtic behavior of stock prices, etc. As always, we keep it easy to understand and non-intimidating.

Mailbag: Captain Options asks, "Given the explosion of popularity in weekly options, I'm curious if Mark & Don think there is room for short-term realized volatility products. Would a weekly realized vol product even make sense at this point given the short time frame of the product? Can you generate a worthwhile calculation of volatility in such a short time frame?"

Crystal Ball: S&P, Nasdaq, and commodity Vol outlook. Euro RealVol futures outlook. What's coming up at VolX and Option Pit?

Don't forget that next Tuesday, October 11, is your opportunity to attend a live taping of Volatility Views. To receive your complimentary Exhibits Only pass, courtesy of VolX, The Volatility Exchange, please click here to register.

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26 Sep 2011—

Volatility Review: The markets are turning green after a recent sea of red. A huge sell-off in gold and silver — the story here is that people are rolling out of gold and precious metals and keeping funds in cash to be in a position to buy the market when it reaches the bottom. VIX review — volatility certainly got scary for a little while. Euro vol review.

Mailbag:

1. "I've been listening to the show for some time and have become intrigued by the concept of RealVol futures. I think I have a decent handle on the differences between implied versus realized volatility and I'm ready to take the next step. But that's where I'm stuck. How do I trade RealVol futures? I don't see them promoted or even mentioned by any brokerage firms. If I call or email my broker (Interactive Brokers), are they even going to know what I'm talking about? Do you have any brokers that you'd recommend for their expertise with RealVol futures? Also, since they are listed by the CME and track realized vol of Euro futures, I assume that I will need a futures account to trade them. Lastly, are these listed on Globex so I can trade them electronically or do I need to put an order into a pit?"

2. "Bob Krause advocated the use of volatility cones on a recent show, and I know Don has discussed them in the past as well. However, Mark made an excellent point in a recent episode that, in this environment, vol cones may not be the best barometer for where you should work your orders. It got me wondering if maybe there were certain market environments where vol cones were extremely useful, and other times, such as the current environment, when waiting for mean reversion is the quickest way to blowing out. Long Term Capital immediately comes to mind. I'm wondering what you guys think on this issue. I think I know where Mark stands, but I wonder where Don falls on this since I know he is an ardent fan of vol cones."

Crystal Ball: Metal vols — have we just witnessed the bottom of gold and silver? Mark Sebastian predicts VIX to hit 50 in the next three weeks. We are halfway through the Oct RealVol futures, and as of Thursday the contract settled at 15.87 — you would need 18 volatility on the Euro, going forward, to justify that price.

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19 Sep 2011—

Volatility Review: VIX futures vs. VIX cash — many long-dated contracts predicted the sell-off in VIX cash that is now materializing. Bond vol has been crazy, and bonds themselves have been very expensive. Implied and realized volatility.

Volatility Viewpoint: Don takes this viewpoint segment to discuss the ideas and principles behind the Kelly Criterion.

Crystal Ball: With the VIX in decline, as it moves toward the prediction given by long-term futures, will it dip and then turn back to the upside? An outlook of Euro vol — with the period of arb availability gone, can we find a new relationship to exploit?

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12 Sep 2011—

Volatility Review: A broad market volatility review – it's been another volatile week. The market sold off in the wake of a European central bank resignation. Euro vol review – where did Mark and Don's wager close out? Do they have enough for a private island in the Bahamas? Plus, OptionPit.com's Mark Sebastian gives his review of the week.

Volatility Viewpoint: In this combo Volatility Viewpoint/Listener Mail segment, Mark and Don answer a question from the Options Insider Forum: "I enjoyed the conversation last week between Mark and Bob about the Volatility Feedback Effect. They mentioned that Don is not a fan of this theory and that Bob and Don have had many fights on the subject. I'm curious what Don's issues are with this concept and what he feels is the truth on the matter." Indeed, Don gets his rebuttal, and gives his two cents about the volatility feedback effect.

Crystal Ball: Mark Sebastian's outlook for the coming week, as well as an outlook of S&P 500 volatility and Euro vol.

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6 Sep 2011—

Volatility Review: A review of SPX, VIX, and pricing the weekend out. Non-farm payroll: what was the impact on vol? Euro vol review. How did Mark and Don's gentlemanly wager on three- and one-month vol fare from last week? Plus a live Vol Review from Mark Sebastian.

Volatility Viewpoint: Volatility Exchange CEO Bob Krause talks inverse correlation — is this specifically to address the VIX negative correlation perception? How can we tell if the market is bullish or bearish? Skew and the somewhat controversial topic of the volatility feedback effect are also on the docket. Is the market trying to forecast future returns? As volatility rises, the market must fall, but does it work the other manner?

Listener Questions: Mark and Bob reach into the dark recesses of the mailbag. "Why exactly is selling a three-month RealVol futures not the same as selling three consecutive one-month RealVol futures? Is it analogous to the difference between writing a three-month option vs. three consecutive front-month options? I know that the sum of the decay in those three front-month options will be greater than the sum of the decay in the three-month option. Is it the same with the RealVol futures?" Posted by: Jester

Crystal Ball: An outlook of SPX & VIX. Could we pick up a free weekend on Friday? Euro vol outlook — How will the one- and three-month RealVol futures fare?

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29 Aug 2011—

Volatility Review: A rundown of VIX, Euro RealVol futures, and the equity markets. Interestingly, we have the simultaneous expiration of both the one- and three-month products, so what does their discrepancy in inferred volatility suggest? Mark Sebastian gives his volatility review.

The Mail Bag: Don and Mark reach into the mail bag and answer listener questions.

1. Can gamma scalping/hedging be the cause of, or catalyst for, the recent massive down days in the market? Submitted by: Jersey Boy
2. The CBOE has had S&P 500 variance contracts available since 2004. Why have VT and VA never taken off and how does VIX remain the volatility hedge of choice with all of its quirks? Submitted by: ZPF
3. I'm eagerly looking forward to more guests. Who do you have on tap for future shows? Submitted by: Complete Beginner
   

The Crystal Ball: An outlook on the Euro vol. Will there be a convergence of the one- and three-month products? Mark Sebastian looks into the crystal ball for the coming week.

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22 Aug 2011—

Volatility Review: Volatility contracts have calmed a little — a surprise given what the recent history for the previous contracts has been. A rundown of the weekly VIX, Euro RealVol futures, and the equity markets. Plus Mark Sebastian gives his volatility review.

Volatility Viewpoints: Special guest Euan Sinclair, author of several books including "Option Trading" and "Volatility Trading," and risk manager at Bluefin Trading, discusses measuring volatility. Euan's concept of the barrier method or first-exit-time method vs. the standard close-to-close method.

Crystal Ball: An outlook on the Euro vol; Mark Sebastian looks into the crystal ball for the coming week.

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15 Aug 2011—

Volatility Review: Volatility has been on quite the roller coaster since the last show. A rundown of the weekly VIX/Volatility as well as the Euro Vol. Plus Mark Sebastian gives his volatility review.

Volatility Viewpoint: Special guest Dan Keegan from the Chicago School of Trading discusses teaching the newest crop of traders. Commodities — the sexy world of ags and metals. Delta neutral vs. realized vol.

The Crystal Ball: An outlook on the Euro Vol. Also Mark Sebastian looks into the crystal ball for the coming week.

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1 Aug 2011—

Volatility Review: The debt ceiling deal and its effect on the market. Euro RealVol futures trading on the CME.

Volatility Viewpoint: Busting Skew Myths! Does the lottery effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of equity/investment skew.

Crystal Ball: An outlook on the weekend risk — what could happen? Plus: Mark Sebastian gives his forecast for the coming week.

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18 Jul 2011—

Volatility Review: Interesting week with the market not doing much – but volatility increased anyway. The market is "in a pickle" until the debt issue is resolved. July 8 was the fifth expiration for the Euro RealVol futures, which showed greater than 29% movement in the price during the life of the contract. The August contract has provided 16% vol movement in the first three days of the contract.

Listener Mail: Mark and Don answer questions from listeners, including: Why did an option price drop as the stock price went up, and what is a seller's premium in options?

Crystal Ball: Mark foresees no debt deal over the weekend. If anything can push VIX to 30, will this be the event? Front month Euro vol likely to go lower.

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11 Jul 2011—

Volatility Review: Vol gets demolished. Volatility modeling is not accurate. Range-bound volatility. Euro vol at expiration looking calmer than previous expirations.

Volatility Viewpoint: Featuring Mike Cavanaugh from Know Your Options, Inc. The gang discusses the role of volatility in their collar strategies, the great VIX disconnect, self-directed trading, RealVol products, and appropriate hedging techniques for different audiences.

Crystal Ball: Earnings season. European debt woes. Uptick in vol for currencies, and overall volatility. Friday was the Euro RealVol futures expiration. August contract coming up. Euro vol abatement indicated by GARCH model.

Items of interest:

• Mark Sebastian will be presenting a webinar sponsored by the Volatility Exchange, CME Group, and Price Futures this Tuesday, July 12 at 12:00 CT. He'll be speaking on understanding and trading currency volatility. For more information, or to register, please visit the VolX website.
• There will be a new charting application on the VolX website coming soon. Check the Data section of the VolX website for the release.
• The Volatility Tables that Don discussed and for which the Volatility Institute provides forecast volatilities can be found here.
• Fore more information about Know Your Options, Inc., including how you could receive a free, 18-minute portfolio review, please check out the KnowYourOptionsInc.com website.

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27 Jun 2011—

Volatility Review: Much ado about nothing? Big steps forward and back, but where is vol going? Will the long holiday weekend pull the vigor out of the markets? Euro RealVol futures see higher than usual levels of volatility.

Volatility Viewpoint: Mark and Don interview Kirk Northington, author of Volatility-Based Technical Analysis, founder of Northington Trading, LLC and Meta Swing Platform, and the man behind TradingTheInvisible.com and MetaSwing.com.

Crystal Ball: Volatility cannot stay this high. VIX will fall to 18 before expiration. Watch out for employment numbers on 7/8. Mark thinks that currency volatility will plummet by the end of June. Don has heard interviews to the contrary.

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20 Jun 2011—

Volatility Review: Mark, Don, and special guest Bill Luby talk about the roller coaster week of volatility and if premium sellers were artificially keeping the VIX down. They also explore whether the VIX has underperformed given recent market conditions, as well as whether the product should even be promoted as a hedging tool. Euro vol update with an inversion occurring on Wednesday.

Volatility Viewpoint: Are VIX futures irrelevant? Inherent differences between realized and implied volatility. VIX as a hedge. VIX futures discussion 2.0: the other side of the coin. VIX changes wish list.

Crystal Ball: Europe situation making predictions cloudy. Bill's looking for a binary market. Euro RealVol futures prognostications.

Listener Mail: Excel questions lead to religious discussion.

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13 Jun 2011—

Volatility Review: Euro vol update. Robert Engle's Volatility Institute Forecasts are on the VolX.us website, and predicting that expiration values for the July 1-month and September 3-month RealVol futures will be in the mid 10 range. Is the market finally starting to respect volatility?

Volatility Viewpoint: Mark and Don talk to Tom Sosnoff, CEO of Tastytrade, and founder of Thinkorswim. They discuss the impact of weeklies on option volatility; the difficulties associated with launching new products in the options market; whether futures contracts are even relevant to retail customers and much more.

Crystal Ball: There is still room for the S&P 500 to drop.

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6 Jun 2011—

Volatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month RealVol futures. Don't write off the last trading day; every data point matters.

Volatility Viewpoint: Mark and Don discuss their resources for volatility news and information.

Crystal Ball: Will the S&P 500 hit a critical psychological point? Where will VIX go if it does? July 1-month and September 3-month RealVol futures trading now.

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1 Jun 2011—

Volatility Review: Hit the bids and then hit the road? Significant fear uptick. Should VIX skew exist? Commodities adjustments set volatility running. Eurovol: simultaneous expirations of the June 1- and June 3-month RealVol futures on Friday. When do remaining time frames open the door for arbitrage opportunities?

Strategy Session: If realized volatility is such a good way to capture and trade vol, what incentive is there to short a realized-volatility product?

Mail Bag: What are Mark and Don's views of trading volatility going into earnings?

Crystal Ball: Super low realized vol for IBM. Euro vol expiration Friday. Will "sell in May and go away" apply here as well?

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24 May 2011—

Volatility Review: The May 1-month Euro RealVol futures settlement ended at 12.77, more than 50% higher than March or April. What will June bring? Two contracts currently trading: June 1-month and June 3-month, creating an interesting arbitrage opportunity.

Strategy Session: 1x2 ratio spread. Don discloses that he sold premium. Spread management, or finding the right parking place. Resisting the dark side. Calendar spreads and choosing which way to cheer. Greek management. Position management goes beyond expiration dates.

Listener Mail: A suggestion comes in for a potential new segment reviewing OTC trading activity. What do Mark and Don think of the listed versions of OTC RealVol products? See: OTC cabal. Blackjack tips.

Crystal Ball: Looking at potential arbitrage opportunities through June Euro RealVol futures expiration. Volatility cone updates.

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16 May 2011— Live from Savannah, Mark is joined by Robert Krause, CEO and Chairman of the Volatility Exchange.

Volatility Review: Euro RealVol futures update: stable, but at a high level, hanging out at the 12.50 range. Bob gives a detailed overview of how the product works.

Crystal Ball: The news makes it reasonable to think that volatility will stay high. What is coming up next for VolX? New volatility indices: three different time periods for three new indices, a historical look back, the volatility of volatility, and a GARCH-based forecast.

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9 May 2011—

Week In Review: Market and IV both rally, crushing call spreads. Euro vol has surprising pop, with May settlement significantly higher than March or April.

Listener Mail: Selling ITM Covered Calls To Capture Skew; What is the time frame for new RealVol Products? Will there be realized volatility contracts on AAPL? SPY? Volatility cones for equities? Comments on Robert Engle interview.

Crystal Ball: Commodity sell-off continues. Volatility is priced like there might be an increase in realized vol. Volatility begets volatility. June Euro RealVol futures now available.

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2 May 2011— Mark and Don have the honor of speaking with Professor Engle on various aspects of volatility, including:

• Professor Engle's move from physics to economics
• ARCH and GARCH models, and how the ARCH model was born
• The Volatility Institute
• Vlab
• SoFiE
• Professor Engle's work with the SEC's Flash Crash Advisory Committee
  
• The Professor's viewpoint on Dodd-Frank, particularly as it applies to derivatives & counterparty risk.

In addition, Don announces that the Volatility Cones are ready to go on the Volx website.

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26 Apr 2011—

Volatility Review: Sell-off of VIX cash going into the long weekend, with the normal pattern of a pop on Monday. Euro RealVol futures update. Sebastian talks about the thwack of volatility.

Strategy Session: Dynamic vs. static hedging for professional traders. Don recommends two articles:

1. Volatility Hedging - Turn Up the Static!
2. Volatility Exposure for Strategic Asset Allocation

Listener Mail: Keep those cards and letters coming! Don and Mark tackle the disadvantages of variance swaps, the stickiness of ATM volatility, and individual name VIX products. To access the Volatility Views section of the forum, click here.

Crystal Ball: Stabilization of vol? Keep an eye on commodities. Euro vol is half way through the one-month May contract.

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19 Apr 2011—

Volatility Review: We get a real-time look at the volatility of volatility with a big one-day move in the Euro RealVol futures. "Sell" was the word in vol last week. Contango craziness.

Strategy Session: Contango — a basic introduction; Mean reversion — beyond basic introduction; Volatility cones as a trading signal: they come in many flavors.

Crystal Ball: Interesting vol ahead, both in the Euro contracts, and in the market in general. VIX cash fluctuations. Sebastian predicts that S&P will downgrade U.S. debt on Monday. Are you ready for "Sell in May and go away"?

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11 Apr 2011—

Week in Review: Slow and low? That's the volatility understatement of the year. Ten-day realized vol is near two-year lows. Is this the eye of the hurricane or the calm after the storm? Implied vol really low, although IV ended up on the week in the S&P 500. Market doesn't completely trust the low vol levels.

Strategy Session: Continuing last week's discussion, we begin looking into logical errors when deriving volatility over discrete periods. The simple answer: Root-Mean-Square. Don walks us through the math, as well as the usefulness of this method when looking to hedge volatility exposure over a longer period of time. Cheap volatility and buying or selling premium? Mark and Don discuss their own thoughts on these two matters.

Crystal Ball: Yay...no government shutdown, which may actually put a damper on upcoming vol. However, if oil continues to rally, and indications are of interest rates rising, we'll see increases in IV. Good news doesn't rally market = warning sign. Upcoming numbers to watch: Retail sales; beige book; Michigan sentiment; PPI; CPI. GVZ: Gold vol index starts trading.

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4 Apr 2011— Mark and Don are joined by Mark Sebastian from Option Pit. There is no shortage of opinions on volatility this week.

Volatility Week in Review: VIX cash down, but how much does the weekend take out of it? Review of the new skew index; Euro RealVol futures show a sharp volatility decline over March; VolX adds RSJ as a market maker.

Volatility Viewpoint: Exploring the shadowy world of volatility & variance swaps; Using OTC volatility and variance swap markets to capture vol. The nature of the payoffs. Realized volatility options in the cards. Inferred vol.

Crystal Ball: Sebastian thinks that vol has hit a bottom and that it will be ticking up. Don wonders if that means that the market will fall? Not necessarily...

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28 Mar 2011— Volatility Week In Review: Volatility taking a steep downturn as concerns lessen; Skew Index - Can it predict Black Swans?; why has volatility dropped; the phenomenon of markets dropping precipitously and rising more steadily; Euro vol discussion. * Strategy Session: Delta neutral trading: what is it? why do it? how to do it. * Crystal Ball: Good time to pick up downside protection; currencies looking to the upside for vol

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21 Mar 2011—In this second sneak preview of Volatility Views, Mark and Don record live from the croquet fields in Boca Raton.

Topics discussed include:

• Japanese devastation spikes volatility
• How the volatility smile turned into a smirk
• A brief history of portfolio protection
• RealVol futures on the Euro move 32% in the first month

In the Volatility Viewpoint segment, Don and Mark discuss the new volatility products being rolled out on specific names, and how or if they are useful to retail investors.

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14 Mar 2011—Volatility Views Preview Episode Welcome to Volatility Views, the Options Insider's newest radio program brought to you in collaboration with VolX - The Volatility Exchange. In this preview episode, Mark introduces the audience to Don Schlesinger, Chief Strategy Officer & Vice Chairman for VolX. Learn about Don's diverse history from school teacher, to Morgan Stanley, to blackjack aficionado. Listeners will also get a bit of history on the Exchange, plans for the future, and an idea of what to expect from the new show. To leave questions for Mark and Don, you can log onto The Options Insider website, and go to the forum area, or you can call 312.544.9356.