Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review. Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes.Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX!

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Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

Volatility Views 36: The VIX vs. Black Swan: Analyzing Tail Risk in the VIX

Volatility Review: Another interesting week in general volatility. Although predicted to settle around the new mean of 23-25, VIX is down to 19. Where will it go next? CBOE has finally put out an adjustment to their settlement process. Euro VolContract review. Volatility Viewpoint: This week's guest, Nikunj Kapadia from UMass, sits down with Mark and Bob to discuss Black Swans, volatility pricing, tail risk, and buy-writes.Crystal Ball: VIX may be headed towards 19 from heavy pressure on VIX Jan and Feb futures. Could we really see an explosion to the upside? Big news at VolX!

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Option Block 120: Doing Stuff

Trading Block: Another mild day on the market. Metals/Commodities rundown – GLD up a bit, but not much. Premium on the VIX futures is getting crushed. Corn and grains limit down after a USDA report this morning rocked the market.Odd Block: Unusual activity in Newell Rubbermaid, Inc. (NWL) and Research in Motion (RIMM). Xpress Block: Rob Kurzatkowski commands the OX desk today and discusses the ags from CME and Globex, limits and what you need to know before trading following reports. Strategy Block: Andrew Giovanazzi runs the strategy block and talks about doing stuff after trading Zenga and XLF.Around the Block: Earnings outlook: Goldman Sachs, Citi – 1/18, Intel – 1/19, as well as Apple – 1/24. Will we push through the 1300-level, or will it act as a level of resistance? Next Wednesday is VIX expiration for the Jan contracts.

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Option Block 119: The Fanboy Piggyback

Trading Block: Another mild day on the street. Apple hits a new high ahead of earnings, riding high on iPad 3 rumors. Apple's new high comes in spite of the fact that Android finally eclipsed IOS in the mobile market over the holidays. Netflix was up 14% today despite opting out of ultraviolet program. Is the widowmaker back? Nuance, perhaps a stealth play going into CES. Odd Block: Unusual activity in Perfect World Co., Ltd. (PWRD). Xpress Block: John Grigus runs the OX desk this week and discusses year-end topics, such as closing out worthless securities and most importantly, taxes. Listener Questions: Option margin Around the Block: Biotech and pharmaceutical stocks are lighting up the screens. Kodak closed and $0.40. What is their future? Looking forward to Alcoa. Lots of earnings and retail sales coming up.

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Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures–how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year. Mailbag: Best method of volatility measurement? Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures–where are they moving this year? A few new contracts may be in the pipeline over at VolX.

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Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Views 35: Aggressively Selling Volatility in the New Year

Volatility Review: After a holiday hiatus, Mark, Don, and Mark Sebastian discuss and review current and upcoming vol in 2012. The $64,000 question: Why is vol getting crushed? What's happening in the Euro zone? Volatility Viewpoint: A grab bag of volatility topics in this viewpoint section, including: VIX futures–how they trade, the nature of their term structure, contango, etc., and actual realized vol in the market for the past year. Mailbag: Best method of volatility measurement? Crystal Ball: Vol, S&P, VIX, EuroVol Contracts, and Jan futures–where are they moving this year? A few new contracts may be in the pipeline over at VolX.

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Option Block 118: Buying Cheapy Premium

Trading Block: Market mostly unchanged today. Vol off modestly – a decent day for gamma scalping in the VIX. Jobless claims modestly lower – the market shrugged it off. A Metals/Commodities rundown. Apple on a little bit of a tear which has rallied since mid-December, augmented by a lot of attention with the CES next week. A quick discussion of butterfly and iron butterfly positions. Odd Block: Unusual activity in Barnes & Noble, Inc. (BKS) and Fossil, Inc. (FOSL). Xpress Block: Tim Navabi discusses the recent surge in costumers buying risk, with Bank of America being the most popular. Around the Block: CES on the horizon and will impact the volatility of many tech stocks – be on the lookout for the next Nvidia, which rallied 50% in the weeks following CES last year. Where will oil go now that it's above 100?

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Option Block 116: Holiday Volatility Sale

Trading Block: A weak rally going into the holiday — not too much going down on the street except for the continued annihilation of volatility. GLD and GVX ended the year down. Not much movement otherwise given the time of year. Odd Block: A look back at some usual activity from the past, including GLD and Darden Restaurants, Inc. (DRI). Xpress Block: Rob K talks about straddles and strangles given the fact that volatility has been crushed lately.Around the Block: The bulk of the holiday weekend has already come out. Have a happy holiday!

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