VolX on the Radio

Listen to episodes of "Volatility Views," with hosts Don Schlesinger and Mark Longo.  This weekly podcast, on theoptionsinsider.com, is devoted to all things volatility.  We think you'll enjoy the lively discussions.

Volatility Views Episode 41: Breaking Open the Volatility Mailbag

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 VolContract preview.

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

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

Volatility Views Episode 40: Do We Need to Fix the VIX?

13 Feb 2012 —

Volatility Review: Euro vol review. March Euro VolContract 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.

Volatility Views Episode 39: Redefining Normal

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 VolContract.

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.

Volatility Views Episode 38: The Great Skew Debate

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 VolContract update, noting the equity-like behavior (underlying increased, while vol dropped).  Looking forward to the Nasdaq 100 VolContracts.

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 VolContracts look just about right.

Volatility Views Episode 37: Volatility: How Low Can It Go?

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 VolContract.

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: VolContracts on the NASDAQ!!!
“Woohoo! This is what I've been waiting for, a realized VolContract 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 VolContracts
“On the last show, Bob Krause announced that VolX is planning to launch VolContracts on the Nasdaq. He also said that you plan to launch the full suite of products on the Nasdaq VolContracts, 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?

Volatility Views Episode 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

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

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!

Volatility Views Episode 35: Aggressively Selling Volatility in the New Year

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 intra-day 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.

Volatility Views Episode 34: A Break from the Insanity

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 VolContract 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 VolContract 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. 

Volatility Views Episode 33: The Art of Managing Volatility

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 VolContracts and their implied volatilities versus potential realized vol.

Volatility Views Episode 32: Larry the Legend

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 VolContract 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.

Volatility Views Episode 31: Live from Las Vegas

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 VolContract, and what does realized volatility look like right now? What's the latest news on the Dec one-month VolContract?

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 VolContract fall anywhere below 13%, should we be looking to get long FX vol?

Volatility Views Episode 30: Epithet Etymology

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 VolContracts 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.

Volatility Views Episode 29: Other Volatility Indices

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 VolContract.

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

Volatility Views Episode 28: Day-Trading VolContracts

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 VolContracts intra-day, 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.

Volatility Views Episode 27: Stealing the Mean

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 VolContracts
Don's hinted at new VolContracts 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.

Volatility Views Episode 26: Live from FIA Chicago

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.

Volatility Views Episode 25: Skewness and Kurtosis

4 Oct 2011 —

Volatility Review: Metals and gold vol. Euro vol review: Don talks about the recommendations he had made to sell the Euro VolContracts 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 VolContracts 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.

Volatility Views Episode 24: Precious Metals Volatility Explosion

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 VolContracts. 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 VolContracts? 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 VolContracts? 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 VolContract, and as of Thursday the contract settled at 15.87 — you would need 18 volatility on the Euro, going forward, to justify that price.

Volatility Views Episode 23: Can You Eat Risk-Adjusted Returns?

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?

Volatility Views Episode 22: Bringing Don to the Dark Side

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.

Volatility Views Episode 21: The Volatility Feedback Effect

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 VolContract not the same as selling three consecutive one-month VolContracts? 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 VolContracts?" 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 VolContracts fare?

Volatility Views Episode Twenty: Divergence & Convergence

29 Aug 2011 —

Volatility Review: A rundown of VIX, Euro VolContracts, 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.

Volatility Views Episode Nineteen: A Better Way to Measure Volatility?

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 VolContracts, 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.

Volatility Views Episode Eighteen: The Chicago Way

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.

Volatility Views Episode Seventeen: Busting Volatility Skew Myths

1 Aug 2011 —

Volatility Review: The debt ceiling deal and its effect on the market. Euro VolContracts 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.

Volatility Views Episode Sixteen: Risk Premium

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 VolContract, 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.

Volatility Views Episode Fifteen: Interview with Mike Cavanaugh

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, VolX 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 VolContract 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.

Volatility Views Episode Fourteen: The Unknown World of Volatility Technical Analysis

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 VolContract 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.

Volatility Views Episode Thirteen: VIX and More

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 VolContract futures prognostications.

Listener Mail: Excel questions lead to religious discussion.

Volatility Views Episode Twelve: Tasty Vol

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 VolContract 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.

Volatility Views Episode Eleven: Good Sources of Volatility

6 Jun 2011 —

Volatility Review: Divergence between realized and implied volatility. Expiration day for the June 1- and 3-month VolContract 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 VolContract futures trading now.

Volatility Views Episode Ten: Options Die a Little Every Day

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. Euro vol: simultaneous expirations of the June 1- and June 3-month VolContract 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?

Volatility Views Episode Nine: Managing Ratio and Calendar Spreads

24 May 2011 —

Volatility Review: The May 1-month Euro VolContract futures settlement ended at 12.77, more th an 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 VolX products? See: OTC cabal. Blackjack tips.

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

Volatility Views Episode Eight: Live From OIC 2011

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

Volatility Review: Euro VolContract 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.

Volatility Views Episode Seven: Venturing into The Volatility Mailbag

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 VolX 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 VolContract futures now available.

Volatility Views Episode Six: Volatility Discussion with Nobel Laureate Robert Engle

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.

Volatility Views Episode Five: The Thwack of Volatility

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 VolContract 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.

Volatility Views Episode Four: The Many Flavors of Volatility Cones

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 VolContract 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"?

Volatility Views Episode Three: Root-Mean-Square

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.

Volatility Views Episode Two: The Shadowy World of Volatility Swaps

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 VolContract 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...

Volatility Views Premiere Episode: Can Delta Neutral Capture Pure Volatility?

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

Volatility Views Sneak Preview 2: Currency Vol Implosion

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
• VolContract 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.

Sneak Preview: Volatility Views

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.

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