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Tag Archives: Oil volatility

The VIX just hit its lowest level in 24 years; Q&A with John Davidson, OCC President and Chief Operating Officer; Twice burned, funds wait for clear sign of oil rebalancing Newsletter,Options

Observations & Insight Hits & Takes By JLN Staff Yesterday was a success for the MarketsWiki Education World of Opportunity at the Stuart School of Business at Illinois Tech in Chicago. We had six strong speakers who were appreciated by the audience of industry interns. Rick Cooper, a professor at IIT’s Stuart School of Business, talked about the importance of the markets for funding companies and ensuring fair prices, and how participants help the economy in general by driving out market inefficiencies. Tom Sexton, NFA CEO, said that without regulation from bodies such as his (and FINRA, and the CFTC,…

HFT – Not so flashy anymore; Vicious VIX; JPM Head Quant Warns Of “Catastrophic Losses” For Short Vol Strategies Newsletter,Options

Observations & Insight An Excerpt of Note Spencer Doar – JLN I am re-reading “Liar’s Poker” because…I don’t really know why — maybe it’s just summer instinct with all these reading lists floating around. Anyway, about a quarter of the way in, there’s a notable anecdote from Michael Lewis’ training program at Salomon: “‘When you trade equity options,’ asked my friend Franky, ‘do you hedge your gamma and theta or just your delta? And if you don’t hedge your gamma and theta, why not?’ The equity options specialist nodded for about ten seconds. I’m not sure he even understood the…

Mexico Said to Take First Steps in Annual Oil Hedging Program; Treasuries-Bund Trade Is About to Get Interesting; No fear – Wall Street’s volatility gauge drops to 23-year low Newsletter,Options

Lead Stories Mexico Said to Take First Steps in Annual Oil Hedging Program Nacha Cattan and Javier Blas – Bloomberg Mexico said to ask banks for options quotes to fix 2018 prices; Mexico annual sovereign hedge is Wall Street largest oil deal Mexico has taken the first step in its annual oil hedging program, asking Wall Street banks for price quotes on the put options it buys to lock in prices for the following year, according to people familiar with the matter. Mexico usually buys put options from a small group of investment banks, starting as early as May but…

Oil volatility migrates from flat prices to spreads; Hedging is about to make a comeback on global crude oil markets; Hedging risk at peak levels through 2016 Newsletter,Options

Lead Stories Oil volatility migrates from flat prices to spreads John Kemp – Reuters “Volatility can be neither created nor destroyed, rather it transforms from one form into another,” is a pretty fair summary of how the oil market works (with apologies to physicists). The benchmark price of Brent crude has been unusually stable since the middle of December, but there has been plenty of movement in the futures strip and crack spreads. Hedge funds have amassed an unusually large net long position in crude futures and options betting on a further increase in benchmark prices, but the position has…

In Shadow of Le Pen and Brexit, Traders Redraw European Strategy; How Wall Street gauges fear in a time of Trump; Global derivatives industry calls for phase-in of new rule Newsletter,Options

Observations & Insight Arrival (not with Amy Adams, Jeremy Renner and Forest Whitaker) Notice anything? MIAX Pearl opened up yesterday, bringing the grand total of U.S. options exchanges to 15. When MIAX announced its plans for Pearl, Jim Kharouf wrote a story about the exchange’s planned structure and a bit about MIAX’s background. It’s worth a revisit (though you will undoubtedly notice that Pearl did not in fact open in Q4 2016, as was initially planned). But seriously, the movie Arrival is solid — two thumbs up. +++++ MIAX PEARL Successfully Launches Trading Operations PR Newswire MIAX PEARL, the newest…

Oil Options Traders Buy Record Bullish Contracts Amid OPEC Moves; Options Back in Vogue as Uncertainty Permeates Global Markets; SEC Approves Consolidated Audit Trail to Detect Market Manipulation Newsletter,Options

Lead Stories Oil Options Traders Buy Record Bullish Contracts Amid OPEC Moves Javier Blas, John Deane and Brian Wingfield – Bloomberg Oil investors traded a record number of bullish options contracts for benchmark U.S. crude, a signal that the market is positioning for a potential OPEC deal to limit production and boost prices. The total volume of calls giving investors the right purchase West Texas Intermediate crude rose to the equivalent of 303 million barrels on Tuesday, according to preliminary CME Group Inc. data compiled by Bloomberg. That far exceeded a prior record of 221 million, set five and a…

JLN Options: S&P 500 record runs are small but steady; Why It’s So Tricky to Time Volatility Spikes; Oil VIX Is Up 209% and Brazil VIX Is Up 45% in 2014 Y-T-D Newsletter,Options

Observations & Insight Wrapping it Up Doug Ashburn – JLN Today’s newsletter features a snapshot of volatility from several asset classes – equities, oil and gold to name a few – and also includes a bit of a look-back on 2015, as many of our regular resources use this period to publish their year-end reviews. Today we feature part I of CBOE Options Hub’s 2014 volatility review. Mr. Moran features a series of five charts that nicely sum up volatility, volume, skew and term structure. Also, we re-feature one of our best MarketsWiki Education videos from this past summer –…