Busting Skew Myths! Does the Lottery Effect actually exist? Do flaws in the Black-Scholes model create skew? Were options traders prior to 1987 completely insane? Also, an exploration of the fundamental and psychological causes of Equity/Investment skew.
Trading Block: A mild rally on the day, VIX cash moving in lockstep with the market again. EA lawsuit pounds Zynga – THQ came out with earnings. Knight getting "rescue" bid from a bunch of customers including TD Ameritrade, and the stock has been a roller coaster ever since. Bernanke says economists don't have a clue about individual well-being. Oil up slightly. Odd Block: Unusual and interesting activity in Tumi Holdings, Inc. (TUMI) andChimera Investment Corp. (CIM).Xpress Block: Alex Jacobson gets the OX hot seat today, and discusses the secret project, Idea Hub, which he and his team have been working on recently, deep within the super-secret labs at Option Xpress.Around the Block: Disney earnings tomorrow, Nvidia 8/9, Priceline 8/10.
Trading Block: VIX essentially unchanged on the day. Discussing its underperformance again as traders again showed a willingness to unload vol going into the weekend. Mini-crash crushes a number of stocks (Citi, Bank of America, etc.) and annihilates KCG. CBOE earnings this morning – net income up from 2011 despite weak options volume across the board. Facebook breaks a significant floor at the $20 handle. Trading after Apple earnings.Odd Block: Bears Pouncing on Hewlett-Packard Options (HPQ); opening call buyer in E*Trade (ETFC), and LeapFrog Call Volume at 1,713% of average; currently $10.22.Xpress Block: Sean Fitzgerald takes the OX hot seat, and discusses a recent VIX vertical spread, and trading options.Around the Block: Activision (ATVI) after the close, also watching EA. LinkedIn (LNKD) after the close. Web 2.0 is really looking like a bust all around, where's Web 3.0?
Live and unscripted, this episode doesn't follow the normal Option Block layout, but it's spectacular nevertheless.
Trading Block: A broad rally in most names, yet Ford, EA and others getting clobbered. Where's the love? Facebook after the bell, hovering down a bit. Zynga disappoints again. Apple knocks it out of the park, but it' not good enough. This is the way to "miss" earnings. Amazon after the bell. Netflix striking again. Chipotle has been clipped well over 30%. Odd Block: Unusual and interesting activity today in Facebook (FB) and Owens-Illinois Inc. (OI).Xpress Block: John Grigus is back in the OX hot seat and discusses raising margin requirements in grains. OX has decided to no longer offer the products of the Hong Kong Futures, Montreal, and the London Metals Exchanges after August 31. Close your contracts. Around the Block: One last look at Facebook, Amazon. The Eurozone coming in again for the weekend. GDP tomorrow. More earnings next week.
Volatility Review: VIX has certainly declined since the last show, with a pop happening only recently. NASDAQ vol rundown since last show. Apple's impact on the NASDAQ wasn't as big as expected. Volatility Viewpoint: Don goes over some of the math of variance swaps, including how they differ from vol swaps, variance and vega notional, convexity, and vol of vol.Listener Mail: Addressing Listener QuestionsCrystal Ball: Looking ahead at the next month for VIX and NASDAQ Vol.
In this episode, Mark is joined by Derek Sammann, Senior Managing Director of Interest Rates and FX at CME Group.
Trading Block: A selloff across the major indices today, amid concerns about financing in Spain. IMF is about to stop payments to Greece, thus increasing the odds of insolvency by September. VIX gets weekend back and then some. Even McDonald's can't make money in this environment – down about 3% after recent earnings.Odd Block: Unusual and interesting activity today in BCE Inc. (BCE) a Canadian telecommunications company, Logitech International (LOGI), and Under Armour (UA).Xpress Bock: Sean Fitzgerald once again takes the hot seat and discusses what came across the OX desk today. Large orders on the Russell, IWM, VXX and SPX weekly 1275 puts. Spikes in Apple and Google. Listener Mail: Three questions this round.Around the Block: A big week ahead: The calm before the Apple storm. Facebook earning on 7/26. Ford 7/25 – Before the bell. Others: Amazon – 7/26, Netflix – 7/24, Tesla Motors – 7/25, and Zynga – 7/25 – Caterpillar, Whole Foods, Boeing, Crocs, Cheesecake Factory and Buffalo Wild Wings.
Trading Block: Lots of earnings after the bell – Google up, Microsoft meh, and Chipotle earnings down. Is this the rise of Qdoba? A mild rally across the board, accompanied by a mild vol sell-off. A bit of a rally in Ford.Odd Block: A straddle swap in USL, plus upside calls in Anglogold AU.Xpress Block: Sean Fitzgerald discusses Google and Chipotle, which were both very active on the OX desk today. A lot of rumor and speculation at Amazon. Oil topping the futures markets. Strategy Block: Mark Sebastian gets to host his first strategy block today and talks a little bit about the news of a big deal with Walgreens and Express Scripts and how someone made out handsomely, using options.Around the Block: A quick update of earnings. Upcoming names include Netflix and Apple on 7/24, and Zynga on 7/25.
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