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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 10, 2016

Volatility Review featuring Mike Thompson, Portfolio Manager, Typhon Capital

What is up with VIX term structure? How is Typhon Capital working with this contango? Hint: reverse mullet, AKA Tellum.

Russell's Weekly Rundown

CBOE Holdings reports September 2016 trading volume: Total ADV Up 25% from August 2016, 3% from a year ago. Highlights: September Index options traded at CBOE and C2 had an ADV of 1.8 million contracts, up 24 percent from August 2016. SPX options ADV of 1.1 million contracts up 26 percent from August 2016.

New Study: CBOE and Fund Evaluation Group, LLC announced findings from a study of four CBOE strategy performance benchmark indexes designed to track the performance of positions in Russell 2000 (RUT) index options.

VIX Cash: Back below 13 handle. When might we see #Trumpocalypse? How would a Cubs World Series victory impact the VIX?

Volatility Voicemail: Listener questions and comments

  • Comment from AlphaJack: Cool piece in Barrons about XIV. Reminded me of what you guys always talk about with these inverse products and the roll risk. Short Term only! Buyer beware! Worth discussing on a show?
  • Comment from ThinkTankTrading: The VXX roll yield is a net neutral roll and the drag is from the rest of the holdings decaying down the curve. VXX roll is like trading a dollar for four quarters they are rolling notional values not equal contract amounts. If the roll yield caused the drag Barclays would be broke. 1/30th roll isn't the issue it's the 29/30 that's now decayed.
  • Question from Jim Collins: Are transcripts available for Russell's interviews? (after last episode when talking about CBOE/RMC)

Crystal Ball: Prognosticating and speculating

Last week:

  • Mark L. - 12.6
  • Mark S. - 14.5
  • Russell - 13.70

This week:

  • Mark L. - 12.25
  • Mark S. - 12.75
  • Mike - 12.98
  • Russell - 12.95