Observations & Insight
OCC Cleared Contract Volume Down Nine Percent in September
OCC, the world’s largest equity derivatives clearing organization, announced today that cleared contract volume in September was 335,867,813 contracts, down nine percent from September 2016 volume of 367,641,787 contracts. OCC’s year-to-date average daily cleared contract volume is up three percent from 2016 with 17,038,958 contracts in 2017.
Record Assets Continue To Pour In To ETFs
Drew Voros – Nasdaq
For the month of September, $28.2 billion flowed into U.S.-listed ETFs during the month, according to the latest data from FactSet. That follows inflows of $29.9 billion for the month of August.
Year-to-date inflows now stand at $332.1 billion, a fresh annual record.
One of the most noteworthy ETFs to see interest during September was the iShares 20+ Year Treasury Bond ETF (TLT). Its $2.5 billion worth of inflows catapulted total assets under management for the fund to $9.5 billion, an increase of 26%.
Unusually Depressed Bond Volatility Begins to Show Signs of Life
Cormac Mullen and Sid Verma – Bloomberg
Volatility in the U.S. government bond market is finally starting to diverge from equities and currencies.
Bank of America’s MOVE Index, a gauge of price swings in the U.S. Treasury market, has risen about 5 points in the last two weeks. The Chicago Board Options Exchange’s VIX Index and JPMorgan Chase & Co.’s currency volatility gauge have both declined in the same period.
Current Dynamics of the VIX Market Discussed by Panel in NYC
Matt Moran – CBOE
On September 27 in New York City, fifty financial professionals attended a panel discussion on Current Dynamics of the VIX Market.
I moderated the session that featured expert speakers Bob Dwyer of ProShares; Aymen Boukhari of Societe Generale, Joanne Hill of CBOE Vest Financial; and Vinit Srivastava of S&P Dow Jones Indices.
Among the topics discussed were investor strategies and recent volume records for VIX futures and for VIX options. Some of the many topics and issues discussed are highlighted below.
Goldman Sachs Isn’t Trading Bitcoin Yet, But It’s Taking a Closer Look
James Langford – TheStreet
Love it or loathe it, Bitcoin is everywhere.
Interest has reached a sufficiently feverish pitch that even Goldman Sachs Group Inc., (GS) the legendary Wall Street investment bank, is considering how a trading desk dedicated to cryptocurrencies might work and what logistical and legal hurdles making markets in them might entail.
Interview With ‘Short-VIX = Crowded Trade’ Debunker Bill Valentine, CFA
Today we feature a Q&A session that we recently did with Bill Valentine, CFA of Valentine Ventures, LLC. Bill caught our attention when he posted a compelling white paper on his website entitled “Is Short Volatility A Crowded Trade?”
Options Markets Complacent Ahead Of La Niña
Erik Norland – Seeking Alpha
After a head fake last year, the La Niña weather phenomenon may be coming back for real this time (Figure 1). Cooler-than-normal water is pooling along the Equator on the Americas side of the Pacific Ocean (Figure 2). La Niña is associated with cooler, wetter conditions along the U.S.-Canadian border; warmer, drier conditions in much of the southern United States, and impacts weather patterns worldwide. Past La Niñas have roiled agricultural markets, sending prices on wild rides, often lower amid exceptionally high levels of volatility.
Exchanges and Clearing
Nasdaq ISE options exchange halted for day after tech issues
Trading on Nasdaq ISE was halted for most of the day on Monday and the options exchange will open normally on Tuesday, Nasdaq said in a market status alert.
Trading on ISE was halted soon after the open on Monday and several U.S. options exchanges, including those run by Nasdaq Inc and the New York Stock Exchange declared “self-help” against ISE.
CME Group Posts 13 Percent Rise in ADV in September 2017
Colin Firth – Finance Magnates
CME Group (NASDAQ: CME), the world’s largest derivatives marketplace, has released its September 2017 trading volume data. The report includes trading volumes for metals, foreign exchange, energy, agriculture, equity index and interest rates. For the month of September 2017, the group has reported a 13 percent rise in average daily volume (ADV) to 17 million contracts, compared to September 2016 data.
Regulation & Enforcement
Who Regulates Cryptocurrencies In The US? CTFC Looks Into Flash Crash
Mark Melin – ValueWalk
Which US regulator is in charge of monitoring cryptocurrencies? That issue came to the fore as the Commodity Futures Trading Commission is apparently investigating a June 21 “flash crash” in the cryptocurrency Ether, according to a Bloomberg report. A top regulatory lawyer doesn’t see the regulator jurisdiction issue as a binary outcome, however. The CFTC is formally asking Coinbase’s GDAX, a popular digital-coin exchange, to explain how a cryptocurrency on the exchange could fall from $317.81 to $0.10 in a matter of milliseconds before recovering, Bloomberg reported, citing two people familiar with the matter.
Barchart Solutions: APIs, Market Data, and Software for Financial Services
Barchart, a leading provider of financial market data and technology, announces the launch of Dashboard, a new real-time interactive charting platform available through Barchart’s financial data portal, www.barchart.com. Dashboard provides Barchart.com users with a full screen, interactive and real-time charting experience. While available through Barchart.com, Dashboard launches as its own platform providing users with a desktop-like experience all through their browser. Dashboard ties back into Barchart.com by integrating user settings as well as custom user lists like Watchlists and Portfolios. With Dashboard and Barchart.com, users are able to utilize both a streamlined charting platform and the in-depth data and analysis features of Barchart.com.