This episode of Volatility Views discusses the recent market volatility, particularly in response to the non-farm payrolls report. Mark Longo and Russell Rhoads (Indiana University Kelley School of Business) analyze the impact of the economic data on VIX cash and futures, highlighting the surprising downturn after an initial market rally. They examine the VIX futures curve, noting the significant spread between the September and October contracts. The episode also delves into a discussion about the explosive growth of options trading volume and whether the options market has become so large that it is now "wagging the dog" of the underlying stock market. They also review VIX option volume for the week, pointing out a high number of contracts traded, including some unusual trades and large spreads. The show concludes with their weekly VIX predictions for the following week.

Show Notes:

• 1:00 Welcome

• 3:50 Volatility Review: Non-farm Payrolls Report

• 6:30 Discussion on Market Reaction and Fed Rate Cuts

• 9:50 VIX Futures and Volatility Surface Analysis

• 12:40 Conversation about Options Volume Growth and the "Tail Wagging the Dog"

• 16:40 Discussion on Jane Street in India and Single Stock Futures

• 18:50 VIX Options Volume Review (Top 10)

• 21:05 Russell Rhoads' Weekly Rundown (Unusual Trades)

• 27:50 Host's Breakdown of Daily VIX Volume

• 30:00 VIX ETPs and Inverse Volatility Products

• 33:30 The Crystal Ball: Weekly VIX Predictions

• 36:30 Closing Remarks

In this episode of Volatility Views, hosts Mark Longo, Russell Rhoads, and Mark Sebastian discuss the unusual market behavior of a Friday sell-off after a week of bullish momentum. They analyze the reasons behind the market's sudden shift to the red, including a surprising reaction to recent Fed commentary and pre-holiday weekend risk management. The show delves into the VIX and VIX futures curve, highlighting unusual calendar spreads and a large-volume trade in out-of-the-money October calls. The hosts also review volatility ETPs like SVIX, UVIX, and UVXY, noting the "air pocket" between futures and cash that benefits inverse volatility products. The show concludes with their "Crystal Ball" predictions for the following week's VIX level.

• 2:02: The Volatility Review

• 2:15: Market sell-off and VIX pop

• 3:50: Mark Sebastian's market commentary

• 7:46: Russell Rhoads market commentary

• 11:59: VIX futures curve analysis

• 13:58: Russell Rhoads analysis of the back end of the curve

• 16:30: VIX options trading

• 18:50: Russell's Weekly Rundown of specific trades

• 22:56: Discussion of the "I Can't Drive 55" trades (wild out-of-the-money calls)

• 24:28: Most active VIX options for the week

• 30:57: Mark Sebastian's key takeaways from VIX options activity

• 32:00: Inverse Volatility ETFs (SVIX and VYLD)

• 34:55: UVIX and UVXY analysis

• 37:25: The Crystal Ball segment (VIX predictions)

• 40:50: Russell and Mark's final thoughts

This is a special birthday holiday edition of Volatility Views, providing a rundown of the VIX options market from the past week. The episode breaks down the most active VIX options, open for size positions, and day-by-day highlights of trading activity.

Time Stamps

• 0:00 Welcome to Volatility Views

• 2:16 Top 10 VIX Open for Size

• 5:14 Thursday's VIX Activity

• 6:58 Wednesday's VIX Activity

• 8:00 Tuesday's VIX Activity

• 9:05 Monday's VIX Activity

• 10:07 Conclusion