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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.

Feb 18, 2014

Volatility Views 99: Debunking BXM vs. PUT

Volatility Viewpoint: Jason Ungar, volatility researcher, co-creator on the Put-Write index with the CBOE, financial advisor, and restaurant owner joins the gang to discuss the Put-Write index.  They discuss:

  • How he got involved in creating the put-write index with he CBOE 
  • What the response has been to the put-write index
  • Why he thinks the Put-Write remains in the shadow of BXM
  • Why he thinks commodity-based volatility products like GVZ, etc. have failed to take off in the marketplace
  • His take on the recent move in nat gas and the volatility levels out there

Volatility Review:  VIX options are on fire lately, with an ADV of nearly 700k contracts recently. Still heavy interest in calls (2.4/1 calls to puts), but nowhere near as strong as it was a few weeks ago when it hit nearly 3 to 1. Realized vol is still beating implied vol, but the gap is closing.  As with VIX, the bulk of open interest in RVX is in the calls.

Volatility Voicemail: The vol experts will take your questions now

Question from Mr. T Bill - I know the focus of your program is equity volatility, but I think there might be an audience for fixed income volatility as well. You could discuss the performance of implied vs realized across various treasury options and futures. You could even mix in some discussion of ETFs like TLT (March and April are both trading at an 11 implied vol - flat term structure - trading opportunity?) Any chance you might consider adding this to future shows? Thanks and I love the program. Glad its back on the air. My weeks just were not the same without Vol Views. Please give my best to Don. I hope he can come back on the program some day. 

Crystal Ball:  An outlook for VIX, RVX and other vol products/indices.