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Tag Archives: implied volatility

MIAX Challenges Nasdaq Options Patents; Crisis hedge funds’ lackluster performance Newsletter,Options

Observations & Insight With trade war, U.S. and China stumble into the Thucydides Trap John Kemp – Reuters The United States and China have fired the opening shots in a trade war that may be hard to stop. /jlne.ws/2GxA4tV ****SD: Regardless of the situation, whenever I see Thucydides mentioned I have to reread the Financial Times Alphaville article For the love of Zeus, stop misusing Thucydides from last summer for context. It’s well worth the more in depth history lesson/tuneup. Surprisingly, three of the four Trump officials referenced in the piece who are known for their Thucydides fandom are actually…

13-Year High for Nasdaq Fear Premium; Lessons from Corrections Past Newsletter,Options

Lead Stories Tech Stocks Fear Premium Just Jumped to a 13-Year High Luke Kawa – Bloomberg The disruptors are getting ditched as tech fear spreads well beyond Facebook. /bloom.bg/2uxHl74 ****SD: Different chart on same subject from Bloomberg. Also from the WSJ – Tech’s Risk Bill Comes Due The Lesson From Stock Corrections Past? 200 Days of Pain Lu Wang, Sarah Ponczek and Elena Popina – Bloomberg S&P 500 fell 14% on average in five similar selloffs since ’09; Current rout would rank at bottom in duration if ended now Remember the last time stocks fell so hard? You probably don’t,…

Vol-cano Erupts – How’s Seth Golden Doing? Blog,Commentary,Options

Last year there were a few stories that came across the desk regarding the juniorization of firms and how removing experienced senior personnel could present risks of its own. After all, if you came into the markets in the 2010s, how would you have experience with crazy drawdowns? (Myself included.) Maybe some are ahead of the curve and have at least seen Trading Places. Well, a lot of staff just gained some experience. The options and volatility stories of the last few days are intertwined and generally fall into the following storyline in some way: 1) Markets finally welcomed volatility…

Options Market Structure Issues; Timely VIX Hedging; No SPY Alternative for Traders Newsletter,Options

Observations & Insight Turn Yourself In, It’ll Be Easier: Bank Cooperation On Spoofing Charges Saves Millions Jim Kharouf – JLN Over the past several months, there has been a fair amount of talk about the Commodity Futures Trading Commission’s push on the so-called “self-reporting” initiative launched last September and aimed at taking it easier on firms that come forward with wrongdoing. Yesterday’s announced spoofing charges and fines include one of the first such self-reporting cases, with HSBC Securities settling for $1.6 million, Deutsche Bank for $30 million and UBS for $15 million. For the rest of the commentary, click HERE…

50 Cent Big Buyer of March VIX Calls; New Japanese Flex Options; Currency Volumes Newsletter,Options

Lead Stories ’50 Cent’ Is Buying Up Big on March VIX Calls Luke Kawa – Bloomberg Just as the rapper Curtis Jackson III captures attention for realizing he’s made millions on Bitcoin, the buyer of volatility options that shares his moniker is a window shopper in VIX options no longer. /goo.gl/K8sm8K ****SD: Said it before, I’ll say it again – Kawa gets the hip-hop puns. The more this options 50 Cent keeps putting on size, the harder it will be for me to find songs by the rapper to reference… I’ll probably have something to say about this on the…

Grain volatility and La Niña; Chicago futures options fraud case; Cboe on crypto Newsletter,Options

Observations & Insight An Update on the Consolidated Audit Trail JohnLothianNews.com At STAC’s 92nd Annual Mid-Winter Meeting, JLN spoke with Shane Swanson, chief compliance officer with Thesys CAT LLC, about the state of the Consolidated Audit Trail (CAT). The CAT will be a large trade data repository for options and equities used for surveillance and tracking. Thesys CAT is the recently formed subsidiary of Thesys Technologies tasked with developing the CAT. The plan was intended to go live in November 2017, but as the date neared, the SROs put in a one year exemptive request. While the SEC has not…

Is the VIX Being Gamed?; Bullish Options Positioning; Traders Love Crypto Stock Moves Newsletter,Options

Lead Stories Is the VIX Being Gamed? A Sudden Swoon Has Traders Talking Again Nikolaj Gammeltoft and Cecile Vannucci – Bloomberg It made for quite a chart. On the morning of Dec. 20, just as billions of dollars of futures tied to the Cboe Volatility Index were set to expire, the index plunged. The result was a settlement price, a weekly value critical to holders of some the most heavily traded derivatives in the country, that was 13 percent below the prior day’s close. A nice break, if you were short. jlne.ws/2FmYv96 ****SD: I think one upside to this whole…

Risk Premia Catches On; SKEW vs. VIX; Intel Chip Flaws and Options; BTC options Newsletter,Options

Lead Stories Derivatives: Asset managers catch on to risk premia strategies Costas Mourselas – GlobalCapital Risk premia strategy, a form of passive investing, is gaining ground among asset managers as they turn to the product for a steady source of yield and a tool for hedging uncertain macroeconomic conditions. This type of investing relies on ideas — many of which are derived from academic papers — that have consistently delivered returns, and are expected to do so into the future. jlne.ws/2qn8xU7 *****SD: Just catching on, eh? Where ya been? SKEW Index Continues To Diverge From VIX Index Sean Emory –…

Goldman exits options market making; Historic volatility; SocGen struggles Newsletter,Options

Lead Stories Goldman Sachs to Withdraw From Part of U.S. Options Market Brian Louis – Bloomberg Will stop serving as a market maker on U.S. exchanges; Traders struggling with high costs, low volatility in options Goldman Sachs Group Inc. will stop serving as a market maker on U.S. options exchanges, following others in exiting that business amid high costs, sluggish volume and low volatility. /goo.gl/hxa23m ****SD: WSJ here. What’s the tech angle? More bronze than gold? Other “Goldman struggles” news from Reuters – Goldman taps energy execs in bid to turn around commodities unit Historic Volatility Recently Dropped Below 1.7…