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US Index Options
I am looking to short strangles on either the Dow Jones Industrial Index or the S&P 500. I not f...
The Great Volatility Skew Debate
"I just listened to Episode 38 - The Great Skew Debate. I was a little confused by the end wher...
Vol Contracts on the NASDAQ!!!
Meeting this coming week with the folks at PHLX.
You'll know when we know. :-)
Don...
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Trading & Technology
Volatility Trading Digest - Hedging with VIX
Even though the equity markets are in low volume uptrends, now may be the time to add a hedge strategy for some downside protection. Read >
Volatility Views 41: Breaking Open the Volatility Mailbag
Volatility Review: SPX/VIX review -- some level disparities between the VIX cash and the VIX futures. Euro vol is in single-digit territory. Nasdaq VolContract preview.
Listener Mail: Comment on the Great Volatility Skew Debate, Don's comments on volatility, and questions about Nasdaq VolContracts.
Crystal Ball: How will the disparity between VIX cash and VIX futures unwind? Where will Euro vol go next? Read >
SNAFU
Just when the market thought it was safe to come out of the woodshed the uncertainty of Greece beats all the volatility players right back in. Read >
It Feels Like Deja Vu All Over Again
The VIX over the last 3 sessions has had some substantial intraday volatility that the rest of the equity market activity is masking Read >
SPX and VIX Will 'Tell' Next Move
Today I noticed that the VIX was creeping up, and the market was creeping up last week at the same time. Read >
Volatility Trading Digest - Greek Despair
The Greek sovereign debt issue is not yet resolved. After a month long advance the equity markets began wobbling as it realized many Greeks are questioning whether more austerity is the right solution for the debt crisis or whether a new pro-growth approach is needed. Read >
AAPL Option Implied Volatility Snaps Back
Last week we wrote a post on how AAPL implied volatility was in the toilet. At that point in time AAPL was at its lowest level since the early 2000's. Well, AAPL did one better late last week as the IV fell to the lowest level I have on record. Read >
Trading Option Skew
This is a follow up to the "Understanding Option Skew" article I wrote last week. Read >
Volatility Views 39: Redefining Normal
Volatility Review: How low can vol continue to go? Dancing around 17 in VIX cash. We have finally reached perfect equilibrium. The last 22 trading days of realized volatiity was 6.73 for the S&P, the lowest Don has remembered since 1994. Lofty numbers have skewed people's ideas of "normal," and it's time to reassess the definition of it. Expiration day for the February Euro VolContract.
Volatility Viewpoint: Mark, Mark, and Don discuss volatility correlation, overlays for equity portfolios, and several other uses for volatility products with Simon Acomb, from Acomb Financial Research, Ltd.
Crystal Ball: Dipping into the murky depths of volatility. Mark S. sees a flattening of the VIX yield curve, and thinks it makes sense to isolate gamma and short VIX using S&P versus VIX futures. Don provides insightful Euro vol picks. Read >
Volatility Trading Digest - January Barometer 2012
Since the books are closed for January, it is time to update the January Barometer, also called the January Effect. Read >
Between SPX Volatility and VIX, Something Has To Give
Traders, something HAS to give in this marketplace. Read >
Can the VXX Hold 26?
Getting to a number in stocks and indexes is important: AAPL at $500 (oh sorry, not yet there, but are there doubts?), the Dow when it first crossed 10,000 (the second and third time not as fun), and the VIX below $20. Read >
Understanding Option Skew -- What It Is and Why It Exists
Volatility is often discussed as a single number. In the real world, the volatility of each strike price and in each month is different than the neighboring one. Read >
Volatility Views 38: The Great Skew Debate
Volatility Review: What is going on with the VIX? How low can it go? Sebas sees VIX going to 16. Don gives a Euro VolContract update, noting the equity-like behavior (underlying increased, while vol dropped). Looking forward to the Nasdaq 100 VolContracts.
Volatility Viewpoint: Mark, Mark, and Don discuss volatility and skew with John Bilson, Professor of Finance at the Illinois Institute of Technology's Stuart School of Finance. Professor Bilson also proposes two new types of contracts for the marketplace.
Crytsal Ball: Right now, there are good opportunities to buy individual equity options because volatility is so low. Mark Sebastian uses AAPL as an example. The impact of the leverage effect. Don thinks that the vol levels on the Euro VolContracts look just about right. Read >
Volatility Trading Digest - Strategy Ideas
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities.
Read >
Volatility Trading Digest - CAT Watch
As a single cyclical indicator for the global economy, it would be hard to find one better than the sales, earnings and stock price of Caterpillar. Read >
Volatility Views 37: Volatility: How Low Can It Go?
Volatility Review: Might we see VIX below 20 for some time to come? Euro vol up slightly since last week -- Bob Krause called it correctly. Two weeks to go in the Feb VolContract.
Volatility Viewpoint: Don gets a chance to give his views on last week's topics and talking points from Nikunj Kapadia, Associate Professor at the UMass Eisenberg School of Management.
Mailbag: VolContracts on the NASDAQ!!!
Crystal Ball: Vol could stay below 20 for a while, VIX futures are even on sale. Is volatility at 12 realistic for the Euro going forward? Read >
Volatility Trading Digest - Quarterly Earnings Report Ideas
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities Read >
Volatility Trading Digest - Earnings Reports Galore
Last week we mentioned the seasonal January tailwind that was expected to continue through the end of the month unless interrupted by another negative European event. Read >
SPX IV a Touch Troubling
I have been saying for some time that I thought we were going to touch 1300. Now that we have, where are we going from here? Read >
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! Read >
