Volatility Views

Happy Fourth of July! What better way to celebrate than by flashing back to 2012 for a "Best Of" episode of Volatility Views. In this episode, 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.

VOLATILITY REVIEW SEGMENT THE VOLATILITY MARKET WAS TURNED ON ITS HEAD THIS WEEK CREDIT SUISSE GETS OUT OF THE ETN BUSINESS - TVIX IS NO MORE BIGGEST VOLATILITY ETN GETS A COPYCAT WITHIN HOURS OF ITS DEMISE SPIKES: 34 - UP .75 FROM LAST SHOW VIX CASH: 35 - UP 1.5 FROM LAST SHOW VVIX: 131.5 - DOWN 5.5 FROM LAST SHOW VOLATILITY VOICEMAIL ANSWERING YOUR QUESTIONS ON $MSVX - THE NEW VOLATILITY FUND AND IMPLIED VOLATILITY. CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOL REVIEW STRANGE END TO A STRANGE WEEK WHERE NEITHER BULLS NOR BEARS COULD REALLY FIND THEIR FOOTING SPIKES: 33.25  - DOWN 7.25 FROM LAST SHOW VIX CASH: 33.5 - DOWN 6.25 FROM LAST SHOW VVIX: 137 - DOWN 18 FROM LAST SHOW VOL VMAIL HAVE YOU SEEN AN UPTICK IN SPX AND VIX PAPER SINCE THE PITS CAME BACK? WHY ARE VIX FUTURES TRADING SO LITTLE THESE DAYS? HOW HIGH DOES THE MARKET NEED TO RIP TO THE UPSIDE FOR THE VIX TO GO TO UNCHED ON THE DAY?

VOL REVIEW THE MARKET AWAKENED TO THE ECONOMIC IMPACT POSED BY THE CORONAVIRUS SPIKES: 40.5 - UP 19 FROM LAST SHOW VIX CASH: 39.75 - UP 18.5 FROM LAST SHOW VVIX: 155 - UP 48 FROM LAST SHOW CBOE PLANS TO RELAUNCH MINI VIX FUTURES VOL VMAIL WHAT DO YOU THINK ABOUT SELLING JUL21 VIX, BUYING NOV17 VIX 60 STRIKE CALENDAR FOR 1.0 CREDIT? AM I HEADING FOR A HTZ DOUGHNUT? DO YOU THINK THE IMPLOSION OF THE CANADIAN VOL FUND WILL SPOOK OTHER PENSION & HEDGE FUNDS AND KEEP THEM FROM ENTERING THE VOL MARKET?

VOLATILITY REVIEW AN EXPLOSIVE END TO THE WEEK FINALLY MOVES US AWAY FROM THE 30 STRIKE: JOB NUMBERS BLOW THE DOORS OFF SPIKES: 24.5 - DOWN 5.5 FROM LAST SHOW VIX CASH: 24.25 - DOWN 5.5 FROM LAST SHOW VVIX: 107 - DOWN 1.5 FROM LAST SHOW VOLATILITY VOICEMAIL WHAT’S THE LATEST ON SPIKES FUTURES AND THE VIKING INDEX? ARE THERE ANY PLANS FOR A SKEW INDEX ON $SPY BY THE $SPIKES TEAM? CAN THERE BE A COMMODITY SPIKES INDEX LIKE MAYBE FOR OIL? CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOLATILITY REVIEW SEGMENT CAN TRUMP/CHINA/TAIWAN DO WHAT A TRADE WAR AND A PANDEMIC COULD NOT - DERAIL THE BULL? A MIXED END TO A MOSTLY POSITIVE WEEK. SPIKES: 30 - UNCHD FROM LAST SHOW VIX CASH: 29.75 - DOWN .25 FROM LAST SHOW VVIX: 108.5 - DOWN 11.5 FROM LAST SHOW VOLATILITY VOICEMAIL ANSWERING YOUR QUESTIONS ON VXX PUTS AND CRUDE VOLATILITY CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOL REVIEW SPIKES: 30 - DOWN 3 FROM LAST SHOW VIX CASH: 29.6 - DOWN 2.9 FROM LAST SHOW VVIX: 120 - DOWN 16 FROM LAST SHOW VOL VMAIL CONGRATS FROM MAC: Sending you well wishes on your epic 400th episode. This is my favorite podcast. QUESTION FROM MJAFARI: Do you think a 30 day ATM straddle in NDX would be wise? QUESTION FROM MADMEN: Loving the show. Can’t believe I didn’t know about it before. Shame on me. Any color on OTC var/vol trades this week?

VOLATILITY REVIEW A MIXED END TO A MIXED WEEK STREET HAVING A HARD TIME COMING TO GRIPS WITH THE CURRENT ENVIRONMENT - WEAK EARNINGS, DIRE ECONOMIC OUTLOOK, GROWING ISSUES WITH CHINA YET THE BULL IS STILL FIGHTING TO SHOW ITSELF. VOL FIRMING UP EVEN AS MARKETS REMAIN MIXED SPIKES: 33 - UP 2.8 FROM LAST SHOW VIX CASH: 32.5 - UP 3.5 FROM LAST SHOW VVIX: 136 - UP 20 FROM LAST SHOW VOLATILITY VOICEMAIL IMPACT FLOORS REOPENING WILL HAVE ON VOLATILITY EARNINGS SEASON LATEST ON SVIX

VOL REVIEW NASDAQ WENT GREEN ON THE YEAR THE MONTHLY REPORT ON THE EMPLOYMENT SITUATION IN THE US SHOWED THAT 20.5 MILLION JOBS WERE ELIMINATED LAST MONTH. SPIKES: 30.2 -DOWN 8 FROM LAST SHOW VIX CASH: 29 -DOWN 9 FROM LAST SHOW VVIX: 116 -DOWN 5 FROM LAST SHOW EARNINGS VOL - GRUB, PYPL VOL VMAIL JUST WANTED TO SEE IF YOU GUYS CAUGHT THIS AND WHAT YOU THOUGHT OF IT? I THOUGHT THE CANADIANS WERE VOL SAVVY? - AIMCO’S $3 BILLION VOL TRADING BLUNDER CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK

VOL REVIEW APRIL WAS A GOOD MONTH FOR STOCKS MARKET RALLIED THIS WEEK OFF HOPE FOR GILLEAD’S COVID-19 TREATMENT. NOW THAT RALLY IS FADING DUE TO RENEWED TRADE ISSUES WITH CHINA ECONOMY STRUGGLING SPIKES: 38.5 - UP 1 FROM LAST SHOW VIX CASH: 38 - UP .75 FROM LAST SHOW VVIX: 121 - UP 4 FROM LAST SHOW CBOE PLANS REOPENING OPTIONS FLOORS JUNE 1 OCC APRIL FUTURES DOWN 52.1 FROM APRIL 2019 EARNINGS VOL - TESLA VOL VMAIL WHY DO YOU THINK SO MANY FIRMS ARE UNDERPRICING VOLATILITY THIS EARNINGS SEASO

VOL REVIEW MARKET RALLIED LAST WEEK OFF HOPE FOR GILEAD'S CORONAVIRUS TREATMENT. THIS WEEK NOT SO MUCH. CRUDE OIL APOCALYPSE SPIKES: 37.5 VIX CASH: 37.25 VVIX: 117 EARNINGS SEASON HAS RETURNED LITTLE SO FAR TO VOLATILITY BUYERS. VOL VMAIL WHY IS VXX UP THIS WEEK? IS IT WORTH IT TO SELL IRON CONDORS ONE WEEK BEFORE EARNINGS AND THEN CLOSE THEM THE DAY BEFORE, OR MAYBE RIGHT BEFORE, THE EARNINGS ANNOUNCEMENT? WHY HAS NO OTHER FLAVOR OF VIX REALLY CAUGHT ON WITH THE TRADING WORLD?

VOLATILITY REVIEW THE CURE?: MARKET IS RALLYING TODAY OFF STRONG RESULTS FOR GILLEAD’S CORONAVIRUS TREATMENT. ALTHOUGH PERHAPS NOT THE “CURE RALLY” WE EXPECTED SPIKES: 39 - DOWN 10 FROM LAST SHOW VIX CASH: 39 - DOWN 10 FROM LAST SHOW VVIX: 127 - DOWN 18 FROM LAST SHOW VOLATILITY VOICEMAIL WHY DOES NO ONE TALK ABOUT STOCK SUBSTITUTION IN VOL PRODUCTS? I’M ONLY TRADING WEEKLIES RIGHT NOW TO AVOID WEEKEND VOL. AM I BEING PARANOID? CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOLATILITY REVIEW SEGMENT TERRIBLE NONFARMS - AS EXPECTED HIGHEST VOLUME MONTH EVER FOR U.S. EQUITY OPTIONS INDUSTRY SPIKES: 49 - DOWN 14.5 FROM LAST SHOW VIX CASH: 49 - DOWN 15 FROM LAST SHOW VVIX: 145 - DOWN 30 FROM LAST SHOW VOLATILITY VOICEMAIL IS IT SAFE TO START BUYING OPTIONS AGAIN IN VXX? HAS THE VOL CRASH HAPPENED YET? CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOLATILITY REVIEW $2T STIMULUS APPROVED BY HOUSE - HEADED TO TRUMP FOR SIGNATURE. THE MOTHER OF ALL DEAD CAT BOUNCES? SPIKES: 63.5 - UNCHD FROM LAST SHOW VIX CASH: 64 - UNCHD FROM LAST SHOW VVIX: 175.5 - DOWN 13 FROM LAST SHOW VOL VOICEMAIL WHAT ARE YOUR THOUGHTS ABOUT PLAYING IN LONGER-TERM VOL HERE - 1YR PLUS OUT. WORTH IT OR NOT ENOUGH VEGA BANG FOR YOUR BUCK? WILL SOMEONE PLEASE EXPLAIN THE $VIX AND APRIL FUTURE DISCONNECT TO ME?? CRYSTAL BALL WHERE WILL VIX/SPIKES BE NEXT WEEK?

VOL REVIEW ANOTHER CRAZY VOL WEEK CA LOCKED DOWN, NY BANNING EMPLOYEES FROM GOING TO WORK: YET MARKET RALLYING VOL PRODUCTS HITTING ABSURD LEVELS ACROSS THE BOARD TVIX HIT 969 ON 3/18, VXX HIT 77 ON 3/18, ETC. SPIKES: 63.5 VIX CASH: 64 VVIX: 188.75 VOL VMAIL I KNOW VOL HAS NO THEORETICAL LIMIT. IT CAN ALWAYS GO TO A MILLION. BUT IS THERE A PRACTICAL CEILING WHERE YOU THINK VIX CAN’T REALLY GET ABOVE NOT WITHOUT THE WORLD FALLING APART WHAT ARE YOUR THOUGHTS ON GETTING BACK ON THE SHORT VXX TRA