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Volatility Views

Volatility Views is the premier radio program for volatility traders. From interviews with leading industry guests to detailed analysis of volatility products, this program takes you inside the world of volatility trading like never before. If you are an experienced options trader looking to expand your understanding of volatility, or if you are simply curious about VIX and other volatility products, then this is the program for you.

Oct 6, 2014

Volatility Views 130: Talking Volatility Skew

Volatility Review: What happened last week in vol?

  • VIX cash: A decent range this week. Non-farms taking the remaining juice out of the market.
  • VIX options: Top OI Positions: 351,982 VIX Nov-14 20 Calls, 339,931 VIX Oct-14 17 Calls, 317,207 VIX Oct-14 20 Calls.
  • Big VIX Trades: Today (Friday) paper traded 457900 VIX Oct 19 calls for $.86 & paper traded 54,997 VIX Nov 23 calls at $.94.
  • Gold vol: GVZ ticking up over the past few weeks - futures options still put heavy. 
  • Oil vol: Continued put love in crude as well. 

Volatility Voicemail: Listener questions

  • Question from Crazyhorse - Can some of the roll yield problems suffered by VXX and others be solved by either 1) rebalancing on a less frequent basis or 2) trading a basked of futures as opposed to simply buying the same long term contracts every time?
  • Question from Chris Hanks, Toledo, OH - Hola volatility gang and perhaps special guest. I am a frequent listener and wanted to write in to say thanks for putting out this show every week. My Mondays suck but I get a nice little pickup on my commute when I download the latest episode of Volatility Views. I do miss Don's "sold to you" attitude, but I am sure you will get him back on one of these days. No one gets as fired up about selling vol as Don S. Let me leave you with this question: Long term, which do you think will outperform - dynamically hedged spy atm straddle or dynamically hedged VIX straddle? They should be roughly equivalent but clearly they are not. 

Crystal Ball: Jared and Mark make mad prognostications.