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Tag Archives: implied volatility

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…

ITG and Options Technology Group to establish derivatives execution business; Equifax options Newsletter,Options

Observations & Insight A Brief Visual History of Being Short VIX RCM Alternatives If you aren’t using Stocktwits to track your favorite stock symbols, you may be doing it wrong. There are spam and oddballs and all the rest you would expect of a social network, but the gif game is usually off the charts. Here are some of our favorites from the world of short VIX traders of $SVXY. bit.ly/2xqKjK2 ****SD: For another fun picture from social media, check out Nassim Taleb in Bermuda. Lead Stories ITG and Options Technology Group to establish derivatives execution business Finextra ITG, a…

Stock Returns and Politics = Not Normal; VIX The Tail Wagging The Dog?; Euro Pressured as Volatility Rises Newsletter,Options

Lead Stories Stock Returns, Like Politics, Are Not Normal; There are two primary reasons for the protracted decline in both implied and realized volatility. Dean Curnutt – Bloomberg Perhaps no consensus opinion has proven more incorrect than the notion that a Donald Trump presidency would lead to more market volatility. So range-bound has been the S&P 500 Index in 2017 that fully 60 percent of the days have produced a daily upside or downside return of less than 0.25 percentage point. /bloom.bg/2wqU4c9 ****SD: From WSJ – Investors Grapple With Signs of Unrest and from NY Times – The Stock Market…

Options Traders Aren’t Sweating the Debt Ceiling; China Inc.’s Next Debt Headache Is $580 Billion of Put Options Coming Due; Banks relying on volatility resurgence to boost trading profits Newsletter,Options

Observations & Insight OCC Cleared Contract Volume Up Two Percent in July OCC OCC, the world’s largest equity derivatives clearing organization, announced today that cleared contract volume in July was 324,718,888 contracts, up two percent from the July 2016 volume of 317,045,566 contracts. OCC’s year-to-date average daily cleared contract volume is also up two percent with 17,045,133 contracts in 2017. jlne.ws/2wieijX Lead Stories Options Traders Aren’t Sweating the Debt Ceiling Chris Dieterich – WSJ The bond market recently appeared jittery about a protracted fight on Capitol Hill over the debt ceiling. Options? Not so much. A reading of the options…

These Intraday Stock Rotations Keep Crushing Volatility; JPMorgan quant drops the whole market with report comparing to 1987; Libor, Phone-Smashing and Hacking Newsletter,Options

Observations & Insight Financial Markets Leaders Remember the late Magnus Bocker John Lothian – JLN I asked several leaders around the exchange world to offer remembrances of Magnus Bocker, the late former CEO of SGX. To start, I shall offer my own and add additional remembrances as they come in. I first met Magnus Bocker at a Deutsche Bank investment banking financial technology conference in New York where I had been asked to moderate an exchange leader panel. Magnus was then president of Nasdaq OMX. Also on the panel was Larry Leibowitz representing NYSE Euronext. Magnus was always gracious with…

Britain’s opposition Labour alarms bankers with Robin Hood tax; As VIX Plumbs Depths of Torpor, Betting on Its Future Gets Brisk; EU prop firm capital crunch could hit market liquidity Newsletter,Options

Observations & Insight Are we seeing the end of Wall Street and the beginning of a new one? Jim Kharouf – JLN Silicon Valley icon, investor and entrepreneur Vinod Khosla told an audience last week at the Commonwealth Club of California that technological disruption is coming to most of the top industries in the United States. And while he didn’t mention Wall Street, he could have. “Citibank won’t solve financial inclusion, Square will if anybody does it,” he said. “Volkswagen and GM won’t solve transportation. Whether it’s Waymo or somebody else who does it, it will be a technology driven,…

OCC chief Donohue latest to warn over Basel rules; Does a 263% Profit Mean Markets Are Efficient?; What History Says About Low Volatility Newsletter,Options

Observations & Insight June 2017 Options Exchange Marketshare via OCC ++++++ OCC Cleared Contract Volume Up Two Percent in June OCC OCC, the world’s largest equity derivatives clearing organization, announced today that cleared contract volume in June reached 387,597,223 contracts, a two percent increase from the June 2016 volume of 378,908,938 contracts. OCC’s year-to-date average daily cleared contract volume was also up two percent from 2016 with 17,174,603 contracts. Cleared futures volume was up 16 percent in June with 13,194,530 contracts, and securities lending CCP activity was up 27 percent over June 2016 with 1,142,708 new loan transactions. jlne.ws/2tiXQjn ++++++…