On this episode Mark is joined by:
- Mark Sebastian, The Option Pit
- Russell Rhoads, Kelley School of Business – Indiana University
- Noel Smith, Convex Asset Management
They discuss:
- The latest in the volatility markets in the US
- The international volatility market (VSTOXX)
- Interesting trading activity and developments in VSTOXX, VIX, SVIX, UVIX, UVXY and VXX
- Volatility skew in SPX and SPY
- Is it better to “hedge” using SPX downside or VIX upside right now
- Their Crystal Ball predictions for VIX and VSTOXX
- and much more…
Brought to you by Eurex and Public.com
TRANSCRIPT
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And now it’s time to take a deep dive into the world of volatility.
It’s time for Volatility Views.
All right, everybody.
That music means it is noon central.
It is 1 p.m.
Eastern.
It is time once again to hold court on all things volatility.
Yes, it is time once again for Volatility Views.
My name, of course, Mark Longo from theoptionsinsider.com.
A couple of things you mind you over here at the top of the show.
First off, if you like what you hear, you want to have more shows keep coming your way to make sure you support the folks who support the show.
Head on over to public.com/vv.
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Public.com/vv to go there and kick the tires and light the fires on their brand new options platform.
They say they’re ready for you big dogs, the Vicks and Vol traders out there.
Go prove it to them.
Head on over public.com/vv.
A great way to support the show while you’re at it.
And of course, while you’re heading over to landing pages, head on over to theoptionsinsider.com/pro.
If you’d like to join us after the show for a little fun parté, we call Options Oddities.
I’ll be joined by the options guy himself, Mr.
Brian Overby, to talk about all the weird, wild, and whimsical paper that came across our radar this week.
Theoptionsinsider.com/pro is the place to go as we go around the horn.
See who’s joining us on the old program today.
First, to the Southern Volatility Mecha we go, where we are joined once again by the greasiest of meatballs, Mr.
Mark Sebastian from optionpit.com.
Mr.
Meatball, welcome back to the show, sir.
Hey, happy Friday.
Good to be here.
Excited to talk all things volatility.
All things volatility.
Indeed, it is in our tagline after all.
We are legally obligated.
As we keep on rolling, is he in the hinterlands of Chicago?
Is he out there on the grounds of Indiana University, corrupting young minds for future generations?
We shall find out.
He is Mr.
Russell Rhodes, aka Dr.
Vic/Vstocks.
Mr.
Rhodes, welcome back to the program to you as well.
As always, happy to be here.
Missed you, fellas, last week, but I was doing duty for my primary job at the Kelly School of Business.
But happy to be back, and I got some stuff to talk about with respect to Vstocks, which I know how much you love it when I jump gun on stuff.
I love it.
Let us go in order now.
Let us pretend there is no order to the program at all.
Let us just go haphazard willy-nilly throughout the show as we roll on out.
See who is joining us in the U-Rex hot seat this week.
Our old friend, Mr.
Noel Smith, the Chief Investment Officer and Head of Options Trading.
It is a big business card over there at Convex Asset Management.
Noel, welcome back to Volatility View, sir.
Hey, thanks for having me.
How do you fit that enormous business card in your wallet, sir?
Sometimes it’s like a license plate, and I just walk through it to people.
You just strap it around your neck, flavor-flave style.
Yeah, exactly.
Like flavor-flave.
Exactly.
All right, listeners, with the team assembled and appropriate cultural references in place, let’s dive right on into the Volatility Review.
It’s time to break down the latest developments in the volatility trading world.
It’s time for the Volatility Review.
All right, listeners, welcome to the Volatility View, the portion of the show where we do just that.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
We’re going to be talking about the volatility trading world.
That puts it down about eight points from where we were this time of week ago.
I’m sure if I’ve cracked it right now, it’ll probably be even a little bit lower out there.
Of course, we’ve seen this movie play out a few times throughout the week.
We’re up, we’re down, we’re mixed.
Of course, we had the market’s earnings announcement, AKA Nvidia, earlier this week.
And that one also proved to be a little bit contentious as well.
We saw a lot of fluctuations in the after hours.
They led into the open being red.
And the market’s kind of trying to fight their way green throughout the day.
And a lot of tumult ensuing, which always makes for some fun vol talk.
Let’s go around the horn.
The way we started, let’s go out to the Southern volatility mecca first.
Mr.
Meatball, sir, what’s catching your eye in the vol markets this week?
Yeah, it’s been an up and down week for volatility.
We’ve seen obviously things heat up again in Europe and that caused the VIX to explode.
Nvidia earnings were a bit of a, call it a fizzle, if you will.
But real weakness out of the other major names in the MAG 7 or grade 8, depending on what you want to call it.
But as a whole, the overall market has been moving higher.
Some consumer staples are really strong on Friday, which is a little weird.
But Procter and Gamble is up 2.65%.
When was the last time it moved that much in a day?
The Dow has really been the leader since the election and continues that trend with the NASDAQ kind of just holding place since kind of topping out.
It’s been a little less exciting than the Dow Jones, which is a little weird.
But yeah, Nvidia earnings a lot of hype and not a lot of excitement there.
Yeah, it was a bit of a mixed bag out there on Nvidia front.
Either you loved it or you hated it, or maybe you were kind of right down the middle out there as we keep rolling out to the middle of the country where we are joined once again by Mr.
Dr.
Vick/V stocks.
Mr.
Rhodes, sir, what caught your eye in a bit of a topsy-turvy vol week, sir?
Everything just said with respect to consumer staples.
Three of the stocks I follow reported earnings this week.
The most exciting one was Target.
Target didn’t have a good earnings release the day before.
Walmart did have a good earnings release.
There are a couple of sectors that are near and dear to my heart, retail big time.
It’s probably the industry that I covered more than any other industry when I was on the hedge fund side.
I can tell you when Target’s not doing well and Walmart’s doing well, that is not a good sign for the economy.
But it could be considered a bad sign for consumer discretionary and a good sign for consumer staples because that’s where the shift in shopping comes from.
I got this story earlier this week when I was down at IU and she even agreed.
She said, “Yeah, typically when you see this much of a divergence in the earnings of those two companies, there’s something bigger going on in the overall economy.”
I think people are pinch and pennies.
When you’re pinch and pennies, staples.
Yeah, I do agree there, but there’s also some issues with Target’s execution that is just abysmal.
The way they fumbled online is going to be, you’re going to be doing case studies of this in business school in 10 years.
Target is going the way of Macy’s right now, the way they’re executing.
Then where am I going to buy my clothes?
You’re going to have to go to…
Target and Macy’s, that’s it.
I know, I know.
You’re going to have to go to Nordstrom and Walmart.
You’re going to have to go a little more expensive on your good stuff and a little cheaper on your bad stuff.
I think just cheaper across the board.
Are you implying there’s a different demographic going to Target than to Walmart, Mr.
Road?
Is that what you’re saying out there?
Actually the average income of a Walmart shopper right now is just a tad over $100,000 a year.
Okay then, there you go.
Listen, I bet you didn’t know you’re tuning into vol views for the hot, hot demographics of big box retail.
That’s the X factor we bring to the game at the end of the day.
I noticed here Flowmaster’s in the chat.
He said he was having a hard time hearing you, Mr.
Meatball.
You sound fine to me.
Oh really?
Mr.
Flowmaster, looks like the rest of the chat in here.
I’m guessing it’s an issue on Henry’s end.
He always has device and hardware issues.
You sound fine to me.
Let us know listeners in the live chat if you can’t hear the meatball for whatever reason.
As we keep going around the horn, let’s go out to the U-Rex hot seat where we are joined once again by Mr.
Smith.
If you have anything to add on the great demographic debate, Target versus Walmart, have at it.
And then B, what’s catching your eye out there in another topsy-turvy vol week, sir?
I assume that Elon Musk must have bought a gumball or something at Walmart and changed those numbers pretty dramatically.
And I assume also that Russell will end up buying the rest of his stuff at the local Bloomington Gucci store for the rest of his clothes.
Vol wise, we’re basically back to where we were on Monday after Nvidia ended up being kind of a nothing and things are really normalized.
So I think that if Santa is coming to town, that now is kind of the time.
Oh, you’re looking for a little Santa Claus rally, sir?
I am.
Oh, a little taste of what’s to come maybe a little bit in the crystal ball out there listeners as we keep on rolling out into the land of the volatility surface.
Obviously November rolling off the board since our last program.
Kind of Santa December now slotting into that pole position.
I know empirically we are at the end of the year from a calendar perspective, yet it’s still crazy to me to see we’re already at December is the front month in Vicks futures.
It doesn’t seem like the year is that close to being done, but that’s where we are.
Listeners out there, Deese that front month, that’s down a little over a third of a point from where it was this time last week.
So vol kind of gently coming in to start the show.
Be interesting to see if that accelerates as the program continues.
You know, past this prologue quiet weekend, not a heck of a lot else really lighten up the tape.
We probably will see ball come in, but you never know what’s going on in the geopolitical front.
The worm can turn all sorts of things can happen.
We’ve seen it happen many times on the on the long run of this show.
Listen, her second half of the show, bam, something crazy happens and it’s completely different scenario than it was at the start of the show.
The Jan future slotting into second place there.
That’s down about four tenths of a point from where it was this time last week.
And again, as you can probably imagine going all the way out to July of next year, we can’t even sniff a 20 handle.
The closest we get is actually in July at about an 1820 out there.
Let’s go around the horn the opposite of the way we just started.
Let’s go out to Noel first.
Noel service catching your eye out there on the vile surface this week.
Really the renormalization of a lot of stuff and also the reach in Walmart is something else that kind of caught my eye.
And if you just look at really everything is kind of breaking out as I’m talking.
It’s not that someone says ripping, but we’re really right at the highs.
Falls kind of coming in.
There’s really nothing all that alarming on the the macro front absent any kind of war reignite meant, you know, in Ukraine and Russia.
So that I also see manifesting in skew.
If you look at skew, it’s kind of bid and probably will maintain that bid just in the sense that falls come in and if there is going to be a reinvigoration of war drums, you know, that’s probably where that skew is coming from.
I’m glad you brought up Skew because I was just going to ask you.
I think I’m legally obligated to ask you.
It is in your name after all convex about all things skew.
So from your perspective, it’s a little bit bit, but obviously not as crazy as it was even a few weeks ago.
No, no, you know, it’s the getting the yang of obviously there’s been some provocative action by the current administration, but in the same token, we’re looking to change the administration’s in two months, not even.
So it’s really difficult to say what will happen with that.
I think that I prognosticating on what Putin will do in a war event is crazy, but I can say that he was bid and people are mindful of that.
The other thing to think about is that skew might be good for the simple fact that we’re at highs and people don’t want to necessarily give up any performance.
So given the fact that it’s a little bit bid, would you say it’s a good time for folks to go out there and nibble on your proverbial 25 delta putters?
Should they maybe be looking for bargains or looking for something else?
I’d probably look in the big space, a 25 delta put.
If we keep going up, say we go to, you know, 6100 or something, that’s a large number, you know, your 25 delta put will now be a 10 delta put and we’ll just kind of melt on the vine.
I think that you can probably get better hedging functionality within the big space.
There you go.
Maybe you don’t want to put on your proverbial 25 delta put maybe to VIX we go.
Well, we’ll get there in a little bit.
Listeners, first, let’s go out to Indiana University.
Mr.
Rhodes, first off, are you down with that?
Are you preferring a little bit of VIX upside to SPX downside right now as a hedge?
And then B, what’s catching your eye on the ball surface?
Sir, a twofer, if you will.
I need to hedge because I’m short.
But if I were going to head to a long portfolio, I actually think I would, I would favor SPX over VIX.
And you know, when I work at SIBO, I would get that question all the time.
Why should I use this VIX stuff when I got SPX?
Well, there’s some behaviors that are different.
If VIX were maybe a bit lower, maybe about a point or so lower, I might give some consideration.
But that January premium of a point right now relative to spot makes me pause a bit, especially when we’re up around 16 or so.
But I feel like if folks are going to turn a little negative on stocks or start to be concerned about stocks, we’re probably not barring a geopolitical surprise.
We’re probably not going to have any sort of dramatic volatility event for the markets.
I feel like if we’re going to underperform between now and the end of the year, it probably will be a slow grind lower.
And SPX tends to work a bit better than VIX in those cases.
If I were concerned that the market is going to lose its freaking mind at the next Fed meeting or something like that, then I’d be talking about VIX calls.
So it’s always about the nature of the sell off that you’re worried about.
And I feel like it’s going to be more of a grind lower through the end of the year than any kind of dramatic sell off if we do get weakness.
Interesting.
Mr.
Meatball, the last word is yours.
First off, where do you fall on the eternal question?
VIX upside versus SPX slash spy downside right now.
Do you see any particular opportunities in one over the other?
And then B, what’s catching your eye on the ball surface?
Yeah, you know, to Russell’s point, you know, I think near term and to Noel’s point, I think near term, if you’re hedging because of the way vol has been moving with blowups in Europe, VIX might be your better near dated hedge just because that’s that we’ve seen the market not really sell off that much, but vol pop.
But generally speaking, Russell’s right.
It really depends on the nature of the beast.
If we’re getting kind of a volatility event, then you want VIX.
If you’re getting that slow grind, just kind of a 2022 type of event, then you want SPX the way everything looks now with kind of where crypto is and where the bond market is and everything along those lines.
If I was setting up a hedge, I would probably lean toward VIX.
And anything catching your eye in the ever shrinking vol surface this week, sir?
You know, yes.
You know, we had VIX options and futures roll off.
And so December is now the front month contract.
December is up week over week.
The whole curve is up week over week, obviously because the VIX has gone higher.
But we remain in a pretty nice contango, which tells you that the markets thinks that despite any kind of push, any any explosions of Europe, they’re expecting, you know, they’re not expecting much more out of Europe and they think VIX is going to slowly move lower.
Well, Mr.
Meatball, you did invoke crypto.
That has been an interesting source of volatility of late.
You want to deep dive into all things crypto vol and skew, you name it, deep dive into all things crypto.
Make sure you’re checking out the crypto rundown.
We recorded on Mondays after the option block.
It’s available on the full feed.
Of course, if you get the full network.
Another reason all you vol views, hardcore should be listening to the full network.
Man, we went hardcore into the vol of crypto this week.
But if you look in, if you were waiting for some more products to add to the mix here, well, you’re going to get them on in your hot little hands pretty soon.
Of course, they announced it right after they approved the options on I bit literally right after we turn off the microphones on the crypto rundown this week.
I catch a break there.
But now so all you folks who’ve been waiting, you’ve been wondering, here they come.
Listeners, we’ve got options in our hot little hands out here and SIBO adding more to the mix now going to launch the first cash settled options product related to spot Bitcoin, as they say, on Monday, December 2nd, even going to get some flex on there.
So if you’ve been not really super jazzed about, let’s say, Bitto and some of the other options you’ve had out there, pun intended, you got new ones to add to the mix.
Of course, you have the hot and heavy I bit that everybody’s loving out there right now.
So even if you’re not a crypto head, there’s volume and there’s volatility out there, which are two things options traders really look for.
So there you go, listeners, yet another element to maybe add to your arsenal out there on the vol trading landscape as we continue to gaze farther afield into a little bit of the old international volatility review.
It’s time to explore what’s happening in the volatility market beyond our shores.
It’s time for the international volatility review.
The international volatility segment is brought to you by Urechs, home of Euro stocks, V stocks, DAX and the German government bond based Eurobund, Eurobabel, Euro shots derivatives.
EuroX is the leading European derivatives exchange.
Learn more about trading V stocks, futures and options.
The European volatility benchmark at www dot your ex.com slash V stocks.
All right, everybody.
Let’s get down to business, a little bit of international vol as the meatball alluded to things looking a little bit frougher across the pond from a vol perspective.
Not exactly surprising whenever you hear escalation of conflict and you hear things like nuclear limits being being thrown around out there, it usually tends to translate into a little bit of all.
And that’s pretty much what we saw a little bit of a interesting divergence between VIX and V stocks this week.
V stocks closing up this morning up about three quarters of a point, kissing an 18 handle getting pretty darn close 1796 up there.
So again, things a little bit frothy.
You know, when I talk to my friends across the pond these days, it’s not exactly hard to see why a lot of them are getting a little skittish over there these days.
Of course, range wise, we’re still pretty far from the 52 week high, which came guess when August 5th of last year, 31 16.
Below 1212 that came in mid December.
Let’s hope, let’s hope things settle down and we’re able to threaten that again in mid December.
But right now things are looking frothy.
Things are looking juicy.
Mr.
Dr.
V stocks, sir, you said you’ve been watching a lot of things out there in V stocks land.
What’s catching your eye, sir?
You know, our December, our contract VIX, I always like to point out the differences between VIX and V stocks.
Of course, the folks in Europe are a little bit closer to the guy with the big missiles.
So you probably are a little bit more on edge over there than you are over here.
Although if things really do escalate into something parable, that’s probably the best word.
You know, volatility is going to go up on both sides.
However, you got the December contract on V stocks trading at 1750 and spot like you said spots up around 18 or so it did.
The future has grinded a little bit lower in line with us after they close the spot index and you’ve got December at a 95 cent discount to January.
That’s been narrowing a bit.
But if you told me I had to get long volatility, I think I’d be looking across the pond right now and maybe buying December and selling January.
The spreads a little bit wider than the December January spread in VIX.
And I would want to do it that way in case what we end up with is the grind, but then have the possibility of benefiting from a quick inversion in the term structure.
If we got some sort of volatility event in the next two or three weeks, a while back, we took a look.
Do you remember the big one by two spread the 15, 17, 17 put spread that we talked about it.
I talked about it on the show last week when you were in here.
Yes.
Oh my goodness.
Well, I got, I got an update on it.
I went, I went through all the block trades and it looks like the initial trade was, um, basically, uh, selling a, selling two of the 15 puts and buying one of the 17 puts.
And by doing that, uh, they, they put themselves into a kind of an interesting position for when volatility started to work its way a little bit lower.
They did this in early September and they, um, they basically, um, sold 98,000 of the DS 15 puts.
They, they did the trade over a two week period and it looks like they finished it up on September 19th and they, um, and then they turned around and sold, that’d be 49,000.
I don’t have the half on there.
Uh, and then they sold 49,000 of the, um, uh, I mean, bought 49,000 of the 17 puts.
And now that we’ve grown and they did that at a net cost of a little over 12 cents since then between September 30th, that’s when it looks like they first started trying to get out of it, uh, since September 30th through November 13th, which was the last block trade that looked like it was an exit on this one.
Uh, they’ve gotten out of 48,000 of the 98,000 ones and they’ve been able to get out at a credit on average of 41 cents.
So they made about 28 cents on this guy and they’re about halfway out of it right now.
Uh, the prices that they are getting out of it for have been improving.
Back in October, they were getting out for around 20 cents.
Now they’re getting out, uh, the last three trades were 50 cents, 60 cents and 50 cents.
So this has been a very, very good trade, likely anticipating that we would have elevated volatility and then at some point after the U S election into December expiration, uh, B stocks would start to come down.
And I think part of, part of the way that they’re working their way out of it is just everybody is so aware of that really large trade.
I did that event for your ex about three weeks ago and everybody was pretty aware of that trade when we were doing the prep calls.
So I think that’s why they’ve got to ease out of it in the way that they are.
Uh, and then the open interest pretty much matches up with what should be left plus some other trades that have come on.
So I’m pretty sure they’ve gotten out of 48 of the 98 and done it quite, quite, quite well.
Yeah, I liked that.
We talked about that last week.
I kind of hypothesized.
Why don’t we see that more often in VIX?
You know, we see ratios to the upside very rarely to the downside, let alone for that size.
Clearly it worked out here.
I’m also on board with them getting out of it now, given what we’re seeing in, in V stocks right now and what’s going on in Europe.
I think you’re right.
I think the play is to the upside in the near term and they probably are seeing that writing on the wall as well.
So they’re getting the heck out of Dodge.
So yeah, nice to get it, put it on for a decent level and to get a credit to take it off.
Never a bad thing, Mr.
Rhodes.
So they win and they win again, taking it off.
Not, not a bad thing, sir.
Anything else catching your eye in the land of V stocks?
Just the elevated level of V stocks, which, which is normal.
That’s not how that’s not where we’ve been most of the year.
But typically V stocks is at a premium relative to VIX.
But also historically we have seen that it’s at a premium for a reason.
That’s that’s because when we get volatility events, V stocks sometime more often than not actually spikes a bit more than VIX.
So that that’s one of the reasons it’s at a premium because there’s a bit more risk in getting shorted.
Well, listeners, did you like that one by two?
Are you down with that idea that maybe in the terms of upside in the near term, V stocks is the play certainly looking a little bit frougher right now than VIX is right now, that can of course turn on a dime.
Speaking of VIX, let’s get out there right now.
And before I start breaking down the numbers, Noel, you did inspire us with your kicking off this debate about VIX upside versus, you know, spy SPX downside.
So we thought, you know what, who better to answer this question for us than our beloved audience?
They are the ultimate arbiters of all things at the end of the day.
So he put out a little flash poll to run during the show.
And we said, Hey, if you’re looking to hedge SPX through the end of the year, so we gave him a timeframe through the end of the year, are you going to use VIX calls or SPX put slash put spreads?
Mr.
Noel, since this was your idea, you’re to blame for this.
Which way do you think our audience is going right now?
So, so asking the audience, um, I don’t know the audience well enough, but I would say six.
So, you know, a couple of things that I wanted to push back on with the guy said, and also wanted to echo what Russell had just said about V stocks.
First off, I love his trade, the idea of having a calendar rise, these stocks versus VIX, because if you do get an activity that’s going to be a vol event, especially if there’s a dirt of liquidity in the US markets, I really do think that manifests at a pro-retta basis more than in the US market, in the European market.
So I think that’s a really good trade.
Now, another pushback, both of the guys kind of said that, um, you know, vol path is super relevant, which of course it is.
But if it’s a known issue, known something like, well, in 2022, we knew that the market might go down because of an increase in rates.
So it was a known problem.
And therefore the rate of decline in the marketplace, even though the absolute value over time was high, the slope of that change was fairly shallow and kind of the same problem now.
And if you compare contrast that to 2020 where COVID came out of the blue and how violent that move was.
So the known is that there might be geopolitical risk in Eastern Europe, but the, the ferocity of that move is completely unknown.
And if you’re looking at the drift of the market up in a Santa Claus rally type of an event, and that would take you away from your, your local gamma in the SPX versus if something like a war does re-evigorate in Europe, then I think that the VIX will give you more gearing for that in the V-stock, even more on top of that.
And if a how to hedge that out, you go right back to Russell’s trade.
So I know that was a lot of words, but I really liked what he was talking about.
And I think it makes a lot of sense.
So which way are you going with our audience?
Are they going VIX or they going SPX put slash put spread, sir?
I did everything other than answer the question.
I know you’re trying to dodge it, but I’m not going to let you get away, sir.
You gotta, gotta come up with an answer.
Yeah, keep me honest.
VIX.
VIX.
Okay.
Our audience disagreeing with you right now, but only slightly 60% going for the SPX put slash put spreads. 40% for VIX calls.
It’s fluctuating those.
We’ll check back in with it towards the end of the show and see which way they end up going.
Speaking of VIX, let’s head out there now.
Listeners, is VIX blowing the doors off today?
The answer is no.
Kind of sleepy yesterday too, which was weird given the fact that the rest of the market was almost literally on fire yesterday.
Spy SPX putting up wild numbers.
One of the heaviest days we’ve seen in quite some time, if not ever in terms of how much paper it costs you to break into our top 10 on the option block.
And yet VIX could barely put up 200,000 contracts by the time we got to it in the show.
Very weird out there.
And VIX looking similarly laggard out there today.
Listen, doesn’t seem like it wants to get out of bed a little bit better today though than yesterday. 276,000 contracts on the tape.
That’s against an AEDV of 839, which is pretty much unched from what it was this time last week.
If you get to our beloved top 10 out there in VIX land right now, listeners, you will see we are exactly evenly split. 50/50 call versus puts.
Read into that what you will, listeners.
Cost you 180,000 contracts to break into the VIX top 10 this week.
Again, we have Nove rolling off the Boris, taking some OI with it.
So 180, that’s respectable.
That’s about kind of what you expect all things considered to break into the top 10 in VIX.
That gets you to the D’s and doubles, the D’s 55s.
Right back at the fun, listeners, here in VIX land.
Number nine, going the other way, 181,000 of our first five puts.
This time it’s the Jan 17s.
I haven’t talked about a lot of Jan downside.
Jan 17 puts an interesting selection, listeners.
Number eight, 205,000 of the Jan 42 halves.
Right back at it.
Number seven, listeners, 222,000 of the Jan 30s, 3Os.
Number six, 226,000 of the D’s. 16 puts, number five, 241,000 of the D’s. 14 puts, number four, 247,000 of the all things considered on this chart, comparatively reasonable, D’s 20s.
Then, if that’s too reasonable for you, how about number three, 265,000 of the Jan 50s.
So right back to the fun, listeners.
Then number two and number one, perhaps also indicative of where we are in the vol space right now.
Number two, 267,000 of the D’s 15 puts.
And number one on the board, yet again, my favorite, 382,000 of the D’s 13 puts.
I said a while ago, I thought maybe that might be a bit of a bridge too far, but looking decent, all things considered out there right now.
But you know what’s never looking decent, but we go to it anyway, listeners.
Yes, it is time for Russell’s Weekly Rundown.
Now, Russell’s Weekly Rundown.
Now, Russell’s Weekly Rundown.
All right, listeners, so nice.
We have to play it twice.
It’s in our contract.
Listen, Mr.
Rhodes, what’s catching your eye on the weekly VIX options front, sir?
Obviously, and to one of Mark Sebastian’s points earlier, he noted that whenever we even get an inkling of negative news, we are seeing VIX be very reactive to the upside.
And a lot of the bullish trades I saw when I was going through the weeklies kind of coincided with VIX up at 17 or 18.
So a lot of panic, a lot of nervousness still out there.
And I know saying all that makes it sound like I’m completely wrong when I say I don’t think VIX is the place to be, if you’re worried about some downside movement.
But you have seen some of those reactions.
So I got on Monday, we had somebody come in and bought about 900 of the November 27th, 14 and a half puts for 37 cents.
That puts break even down at 1413.
It did get that low last week, not this week, intraday.
There’s probably a little bit of smartness around that one because you’re going to be looking at a VIX settlement the day before Thanksgiving.
I have not gone back and looked at what those weekly VIX settlements look like on that Wednesday before Thanksgiving.
But it’s not a…
It’s one of those days that we have a really interesting calendar effect.
But with all the goofiness going on in the world, I feel like people are not going to be taking full advantage of the quiet, low volume, half trading day, et cetera, stuff that we get during Thanksgiving week.
I think people are going to be a little bit more vigilant than they are.
So I’m not 100% sure how I feel about this trade.
I have a hard time.
In a normal year without World War III breaking out, I’d say that’s a really smart trade, but I’m a little concerned about it based on, like we’ve said, how quickly VIX bounces and just some concern about the world.
Here’s a terrible trade.
It’s a bad Wednesday.
Somebody bought 100 of the November 27th, 22 puts for 507, and they sold 100 of the same expiration 21 puts for 415.
Opening cost of 92 cents.
If VIX is below 21 at expiration next week, they make eight cents.
This trade was actually put on when VIX was up around 18 or so.
I understand what they’re thinking about here, but you really want to risk 92 cents for eight cents.
I have a hard time with that one.
Then today, a big trade that popped up, somebody bought 5,000 of the November 27th, 15 puts for 17 cents.
I thought that was the same line of thinking that goes along with those 14 and a halves on Monday.
But it turns out that this was a closing transaction.
They sold these options short between 13 and 19 cents and a whole bunch of lots on Wednesday.
This was when VIX was around 18 and above 18, so you’re putting on a bullish trade when VIX was near the week’s highs.
I did not do the average price on this one, but I’m pretty certain that they lost two or three cents on this trade.
I will just leave it with that.
I think it was smart to get out of it.
They could take the pain no more, sir.
They could take the pain no more.
They basically got out of it about breaking.
Yeah, it’s not too bad.
I’ve seen much worse pain in the vol.
We’ve all felt worse pain in the vol space than a couple of cents.
If you can get out for a couple of cents, if you’re not feeling it, listeners, get the heck out of Dodge.
Let’s see what folks are getting out over maybe getting into out here in VIX land today.
Like we said, not exactly a banger day, not exactly a banger end to the week in VIX land, which is kind of weird given how much volume is going up in the rest of the market today.
Two hundred seventy six thousand contracts on the tape.
The big dog, 46 nearly forty seven thousand of the DS 40s going up today.
They went up straight up for twenty six cents all in one print.
I was just looking while Mr.
Mr.
Dr.
VIX was talking here to see if there’s another leg.
Usually you see that DS upside.
It’s part of a one by two or something like that.
But I’m not seeing the other leg.
It does appear to be just straight up twenty six cents.
Now there is some OI there, so maybe they are closing.
But that said, kind of interesting.
Twenty six cents for the DS 40s.
You like those straight up listeners?
Would you be a buyer or a seller at that level?
Either way, that’s a big dog today.
But by number two, similar size, forty one, almost forty two thousand of the DS 14 half puts.
What’s weird about this one is this is against effectively a two by one by one put spread.
They did effectively two of the fourteen half puts against one, a.k.a. about twenty two thousand of the DS 13 puts and about twenty two thousand of the DS 13 half puts.
So kind of funky structure there.
We don’t see that too often.
And they’re rounding out the top five today on a kind of a weird day in VIX land.
Nineteen thousand of the Jan 30s.
So more straight up Jan upside because why not?
Yesterday just couldn’t get out of bed.
Total was three hundred and seventy thousand.
We see that in one print sometimes on busy days in VIX.
So three seventy.
Not a lot to talk about.
The big dog twenty four, almost twenty five thousand of the DS 16 puts followed by number two.
Twenty three thousand of the DS 15 puts.
Number three, twenty three thousand of the DS 50s.
Five O’s.
Number four, twenty one thousand of the DS 22s and about twenty one thousand as well of the DS 19 calls.
So kind of all over the place.
Wednesday, far more respectable listeners.
We have nine hundred twenty two thousand contracts on the tape and appropriately enough of that nine twenty two ninety two thousand and two hundred were the Jan 50s once again.
So the Jan 50s looking hot.
Looks like it’s a bit of a vertical because you have eighty seven thousand of the Jan 30s for number two.
So you like that listeners Jan 3050.
I’ll have to go look and see the prices they did that for.
But does that float your boat?
Number three, forty seven thousand of the DS 40s, number four, forty four thousand of the DS 16 puts and rounding out the top five on a pretty active Wednesday.
Thirty eight thousand of the DS 15 puts Tuesday looking hotter and heavier.
One point two two million.
I don’t think we’re going to kiss that today unless things really start lighting it up in the second half of the session.
The big dog on a pretty active Tuesday, of course, no go on the way.
The dodo always helps to drive some paper.
And that’s what we saw on Tuesday, eighty nine, almost ninety thousand of the Nov 15 puts were number one, followed by number two, seventy seven thousand of the Nov 18 calls.
Number three, seventy two thousand of the DS 20s.
Number four, sixty seven thousand of the Nov 17 calls and number five on an active Tuesday, sixty four thousand of the Nov 20s.
And then rounding it out on Monday, decently active.
All things considered, seven hundred eighty one thousand contracts on the tape.
Doesn’t seem like we’re going to get there today.
Eighty six thousand for number one of the Nov 15 puts again, followed by number two, fifty one K of our old pals, the Jan 30s and fifty one thousand as well of the Jan 50s.
So somebody likes that verticals like they did that at least twice unless they were bailing a couple of days later.
That would be strange, though, for a Jan vertical.
Number three or she made number four, thirty two thousand of the 16s and rounding out the top five on a pretty active Monday.
Thirty one thousand of the DS 40 calls.
Let’s go around the horn.
Mr.
Meatball, we will start with you, sir.
Kind of an interesting kind of a head scratching week, quite simply, and VIX options days like yesterday where you thought were tailor made for some paper.
We had a whipsaw.
We started off the day pretty blood red.
That’s usually a recipe for a boatload of VIX paper and VIX couldn’t even get out of bed.
And then earlier the week we had some decent, decent flow.
Anything catch in your eye in VIX options land this week, sir?
Yeah.
You know, today the biggest trade is a a kind of looks like a put ladder.
They bought looks like they bought the the fourteen and a half puts sold the 13s and the 13 and a half.
There’s also a big forty six thousand lot of the December 40 calls.
Yeah.
Yesterday, you know, you’re right.
You would have thought it would have been interesting.
This trade was just a twenty thousand lot of the December twenty two fifty call spreads.
You did have some call buying, but nothing crazy.
You know, we had that Wednesday.
We did see a big trade on Wednesday, which was, you know, ahead of Nvidia earnings.
They did the 3050 call spread pretty mid market, but I think they bought it.
We also had a buyer of more of those December 40 calls.
Tuesday, this one was pretty aspirational.
They bought the 50,000 of December.
Fifty five calls.
You also saw some Jan 80s go up.
So you had some of those those lovely aspirational trades floating about along with more some these 20s.
I do think December, you know, if you’re looking ahead, your December is, you know, there’s some value in December.
And then Monday we had a 50,000 of the 3050 call spread and then, you know, some some November that’s now gone.
So it did lean on the large block orders toward calls.
Not as many of these, you know, just way out of the money puts.
But the open interest is still very, very put heavy with, you know, the the the 16s, the 15s and of course, those 13 puts being pretty darn heavy in December.
And then the 20s being the being pretty heavy as well.
But the open interest, at least for December, is pretty darn put heavy and which is is pretty unique.
Now, speaking of unique, we don’t talk about a lot of ladders in Vixlan.
We usually see them going up if we do usually on the futures options side quite often.
We see a lot of people like them in that gas and other products.
I’ve never been a huge fan.
We don’t see a lot of ladders to the downside either, which is kind of weird.
Mr.
Meatball, are you a fan of that setup?
You know, I guess it’s all right.
It’s kind of like trying to get the thirteen and quarter puts in this case versus the, you know, 13s and 13 and a half.
You know, I would probably, you know, I would I don’t know that getting nine cents for the 13 puts is that awesome.
I would probably just do the 14, 13 and 14 and a half, 13 and a half.
Yeah, I’ve never been a big fan of ladders in either really direction and certainly not in Vix to the downside.
Kind of a weird one.
But hey, that’s why we do the show.
Listeners to point out the weird flow.
Is there anything flowing out there in the beloved land of the VIX ETPs?
Let’s find out.
Let’s go out to S VIX first.
Twenty seven ten as we kicked off the show and still pretty much exactly there.
So not really moving a ton throughout the show.
I put it up about exactly a point from where it was this time a week ago.
Again the the volume struggles persist out here in S VIX.
The ADV is sixty three hundred.
It’s not a lot, but at least it’s unchanged.
So they’re stemming the bleeding.
But doesn’t seem like that’s happening today.
Only two thousand on the tape today.
So no joy out here in Mudville and S VIX land from a from an options perspective.
The big dog position out there right now are the Nova twenty eight’s expiring next week.
Twenty seven hundred and seventy of those bad boys.
So interesting strike.
Yeah certainly can threaten that if we keep giving up the ghost here by next week.
Interesting stuff.
Since we’re being even Steven on the show also mentioned S vol twenty one eighty up three tenths of a point.
Again not a big options player in less than one hundred contracts on the tape and the ADV is about less than three hundred.
Mr.
Let’s start with Noel actually.
I know we talked in the past about some of your preferred or perhaps less preferred vol ETPs.
But are you a fan of the inverse vol space and anything catching your eye out there sir.
Yeah I am.
I trade it all the time.
I’m rooting for S VIX but it doesn’t really have the options volume that can make me do much in it.
So if I’m doing anything in the big CTPs I do tend to gravitate toward the VXX simply for the reason that there’s tighter spry and there’s more liquidity.
So that’s pretty much it.
So instead of looking at S6 calls I look at VXX puts.
I’m with you there.
I mean not so much the VXX but just the liquidity.
They added weeklies in S VIX and I said oh that’s great here we go.
That’s what I wanted.
I looked at the markets and they’re a nickel bid at two dollars.
It’s like what am I supposed to do with this.
They’re great in theory but they need they need a little bit more seasoning to really get there.
Mr.
Rhodes your beloved S VIX up to anything out there this week sir.
A little bit at 27 on the close today but I’m just gonna I’ll just leave those calls out there because like you said I put a dime bid in a couple of times just to get out of them and the open interest is a whopping ninety two and the spread is I don’t know like thirty five cents or something ridiculous whenever if I if I pull my bid to cover the bid completely goes away and then if I put it back put that order back in the market maker show up.
So I think I’m just stuck with it.
Roach Motel sir you can get in but you can’t get out.
You’re meatball.
You’re out there plugging away on your newsletter and S VIX anything catching your eye out there this week sir.
Well you know it had a nice dip but then kind of has rebounded with the curve shaped as it is it’s generally going to move higher if we don’t see a lot any more of this silliness out of Europe.
It’s picking up about call it a tenth of percent a day so that’ll be what you know that’ll that’ll be you know like three cents a day.
I expect that to start to increase and I expect VIX to kind of continue to fall off a little bit.
Well if it’s falling off we’ll see that reflected in you VIX and it’s down slightly you know you VIX kind of hit this this floor recently around three and a half bucks.
I think we have listener question about that reason.
I’m not sure if we’ll get to it this week but it’s a good one.
Now it seems to be kind of vacillating between this kind of three half and four half range 385 right now down about a quarter on the week. 18,000 contracts going up today so again kind of light the ADV though is 44,000 ticking up 5000 in the right direction.
So folks are slinging you VIX options again which is interesting because the underlying is as cheap as it’s been in some time yet they’re going to the options which is interesting and not so much today though.
Mr.
Rhodes everyone wants to know what’s up with the super secret don’t tell anyone you VIX trade for the weekend sir.
Right a weekend where we’ve got a losing streak of four weeks now which is not shocking and in fact I went back to see just how bad it can get.
We had 10 weeks in a row back in April through early June where we had a bunch of small losses, small losses, small losses.
So you know like any kind of long volatility strategy we’re going to bleed bleed bleed until something exciting happens over the weekend.
But I continue to put it on and take it off every Monday morning.
I’ve been playing around a little bit of you VIX myself.
I mentioned that on the show last week.
We’ll get more into an options oddities coming up in a little bit listeners but and messing around with things you can do to defend it maybe playing with a little bit of puts and some other things like that.
Just experimenting now that you VIX is at some interesting levels.
So if you’re intrigued by that check us out options oddities coming up a little bit after this show listeners but Noel you requested it.
I believe you said if I can paraphrase this is your favorite options product of all time.
Of course your beloved VXX 46 40 right now down a little over half of a point about six tenths of a point out there putting up a little bit of paper out there right now which is kind of interesting.
The ADV is 32,000 so after being super robust kind of fall off a cliff like the rest of the products starting to trickle back in again up 4000 this week on the ADV and also putting up some numbers today about 23,000 contracts on the tape.
By the way if you’re wondering listeners the big dog position out there in VXX right now the DS 40 puts 5500 of those bad boys followed by 5200 of the Nove 45 puts expiring next week.
So a lot of downside.
Noel you said this is your preferred product for playing a little bit of speculative fun out here in the ball space.
What’s been catching your eye in VXX sir?
So what I typically try to do is I want to be short this thing the Delta 1 instrument but I don’t want to be short the Delta 1 instrument.
So what I’ll do is I’ll take a deeper higher Delta put to be short this thing so that if it rips up because of an evolve that I kind of know what my risk is always defined.
So I’ll look to something that’s further deferred in time like a Feb or March and then pick up something like a 50 or 60 Delta put.
I don’t have to deal with the bleed and the vega that comes with that can help me in the event of it won’t crash as bad as something different.
And also I like having my my risk defined and I don’t have to deal with the borrow costs that are inherent or the change in borrow and then getting my shares called away.
So that’s typically what I do.
That’s not necessarily what I’m seeing which is what you asked.
I’m seeing is the same thing everybody else is seeing I guess that that volume and I’m a participant in some of the stuff we talked about some of those VIX options and some of these VXX options on the on the put side but they’re just not you know if you’re looking at like the these 40s that Mark just brought up I mean there’s 20 cents wide and the ones with 39s are you know 25 cents wide and they’re just they’re hard to trade because there’s not much going on there and they’re not going to fill you at anything that’s advantageous.
So it’s just not that great.
So going a little bit farther out in time two or three months a little bit meatier on the put side as you said 50 60 Delta I think we can all get behind that sir but let’s see if we can all get behind a little bit of the crystal ball.
It’s time to peer into the future and reveal what the volatility gods hold in store.
It’s time to look into the crystal ball.
All right everybody welcome to the crystal ball the portion of the show where we attempt to wrestle some might say daringly some might say just full of hubris with the ball gods see what they have in store for us for the coming week as we’re coming into the end of the show Vicks cash flirting with that 16 handle not quite there 1591 but seem like it wants to kiss it before the end of the show and a V stocks as we already laid out 1796 so a little bit frothy I should point out here as my capable producer is reminding me next week of course the Thanksgiving holiday here in the US Friday truncated session Black Friday we’re not monsters we’re not gonna make these folks come in and miss their beloved deals on doorbusters to come in do the show with us plus the markets are closed so no show next week listeners so then we’re predicting now we’re getting crazy we’re getting wild we’re going out two weeks right now this week listeners I was at 17 and a quarter looking better in V stocks at a 1796 than I was in Vicks V stocks 16 double no joy there it was Andrew on the show with us last week as well he was at 15 half in Vicks so he was looking better about point four one away there and V stocks he was at a 1575 so no joy for him there and then we were also joined by mr.
Jim Carroll aka Vicks ologist he was at a 16 even so you know what winner winner chicken dinner for him he was within our tenth of a point margin of victory so he gets a bullseye for him listeners so congratulations to him V stocks no joy 1580 so you know what that means Noel since our guest last week got a bullseye he now puts you in the dubious position of going first and having to predict vol going out two weeks sir so if you just want to tackle Vicks that’s fine if you’re feeling up to the challenge of doing Vicks and V stocks have added sir the floor is yours these stocks is dicey because first off I don’t I don’t trade it so it’s difficult for me to have any kind of educated opinion so I’ll pass on the V stocks but on Vicks list is call it a clean 14 14 even they are coming for a ball post holiday says Noel interesting interesting then let’s go out who was the next closest I guess that was Andrew so that means mr. meatball you get to go next sir what are you feeling for this time next week and Vicks and V stocks and that’ll be post holiday right are you we doing a show next week no we are not two weeks from now sir so I’m guessing two weeks from now correct two weeks from now yes all right and so the question is do I go 13 31 or 14 41 I guess Noel gets a little more room if I do 13 31 I’m gonna go full-on ball crash 13 31 all right these 13 puts here we come if that’s the case all right and then mr.
Rhodes you get to go next what are you feeling for Vicks and or V stocks 16 16 the number 6 1 6 means something significant to me and for V stocks and just to be cute I’m gonna go 17 17 so as it belongs at a point premium to Vicks 17 17 all right listeners last but not least member we are going out two weeks from now I can easily see the argument for a ball crash but I’m kind of feeling more along the lines of what mr.
Rhodes is putting down with things are a little bit fraudier maybe I hope it’s not the case so we don’t want to see stuff popping off in Europe but it does seem a little bit of that trickle of concern is floating in especially in V stocks when I get there in a second I’m gonna say it’s gonna be at a 16 double 16 55 in Vicks so not quite crazy elevated but a little bit fraudier than we are right now in two weeks and for V stocks because we’re holding on to a premium we’re gonna expand that premium we’re gonna say 18 35 no no 18 25 for V stocks so there we go listeners that is your market for this time next week that music means we have come to the end of our sojourn in the world of vol Noel you did a great job in the urax hot seat if folks want to check out what you have cooking over there in the land of convex where should they go what should they do sir I’m available on Twitter it’s at Noel convex and my website is convex a and my convex asset management.com there you go convex am.com give him a follow over there at Noel convex all one word on the old Twitter if you want his volume using maybe you want to debate the whole Vicks call by the way I should check in on the results of our audience still exactly split 5050 you cannot make up your mind do you like the old spy SPX put or Vicks calls where you got a little bit of time left we extended it for an hour but right now you clearly cannot make up your mind mr. meatball sir where should folks go if they want more meatball ball goodness in their lives yeah you can follow me on Twitter at option pit and you know go to option pit.com to check out everything we do Andrew did it and did Andrew tell you he did it he scored 5,400% on our cat this week it was the one trade he did that I missed no I did not he bought nickel calls sold him at 275 I was pretty impressive our cat whoa interesting there you go mr. mr.
Rocklops I guess next time I see him Gibson steaks will be on him try indeed there you go listeners check it out for yourselves option pit calm and mr.
Rhodes where should they go if they want to follow all your goodies online sir named after me Russell Rhodes sub stack and you can always just find me using my name on Twitter I’m old enough to get my full name as my Twitter there you go Russell Rhodes our H O A D S on the old Twitter course you know where to go if you want to keep support in the show that’s been coming to you forever literally the easiest landing page in the business public.com slash VV they don’t even make you type volatility views just VV that’s the easiest way to go to kick the tires and light the fires and hey maybe you two can get paid to trade some options and you check out the platform tell them what you like maybe tell them what you’d like to see them add and guess what because you’re coming from vol views they’re going to listen so public.com slash VV to kick the tires and light the fires and of course while you’re checking things out online you know where to go to learn more about all things V stocks your ex calm slash V stocks to learn more and again we were saying earlier in the show it does seem like there’s some interesting potentially scary things going on in Europe and indeed maybe some interesting things some potential for some upside perhaps in V stocks or if you’re looking for some trades into the end of the year might behoove you to at least keep an eye on that index your ex.com slash V stocks that’s gonna do for us on the on-demand side I want to thank all of you out there who joined us throughout the week if you missed anything of course it’s all available on the network feed and other reason why you should be subscribed to the full network hint hint but if you’re not done you want more in your life I will be back in a little less than an hour now with our old pal mr. over be the options guy himself to talk all things wild and crazy unusual activity should be a banger out here listeners looking forward to it so join us there the options insider comm slash pro member all for the Thanksgiving Day holiday next week so we’ll see you back here on vol views in two weeks stay safe out there everybody the international volatility segment is brought to you by your ex home of euro stocks V stocks DAX and the German government bond-based eurobund euro bobble euro shots derivatives your ex is the leading European derivatives exchange learn more about trading V stocks futures and options the European volatility benchmark at www.urex.com slash V stocks if you’re paying zero dollars to trade options you’re paying too much that’s because at public.com you can go a step further and earn rebates on every single contract traded no commissions no per contract fees that’s table stakes when you place an options traded public.com you not only don’t pay you earn a rebate and those rebates can add up fast public is the only options trading platform where you can earn rebates you literally won’t find a better deal so switch to public and start getting rebates on every single contract traded or stay with your current options trading platform and leave money on the table the choice is yours public.com paid for by public investing options not suitable for all investors and carry significant risk full disclosures and podcast description you’re listening to the options insider radio network the home of the options podcast for more quality options programs visit the options insider.com or search for options insider radio network in your podcast provider of choice listeners can also access all of our programming through our mobile app available on the iTunes and Google Play stores select programs are also available via live stream at mixler.com slash options – insider that’s M I X L R dot com slash options – insider don’t forget to follow along with your favorite programs and submit your own questions for the host set twitter.com slash options stock twits.com slash options facebook.com slash the options insider or via questions at the options insider.com you you (rock music)
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