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Tag Archives: realized volatility

Off-hour Earnings and Options; Swedish Bank Bosses Escape Options Blow-up Blame; HFT Tales Newsletter,Options

Lead Stories How Do Traders Respond to Off-Hour Earnings Announcements? Based on the research of Matthew R. Lyle, Christopher Rigsby, Andrew Stephen and Teri Lombardi Yohn – Kellogg School of Management at Northwestern University On Wall Street, “business hours” aren’t quite what they seem. The opening bell of the New York Stock Exchange rings at 9:30 a.m. Eastern, and the closing bell sounds at 4 in the afternoon—yet 95 percent of publicly traded companies announce their quarterly earnings outside of those official hours. jlne.ws/2qrxvSw ****SD: Basically, people are slow to react to earnings announcement the further they are from normal…

Traders snap up $80 Brent calls; EM volatility; Quad witching Newsletter,Options

Observations & Insight Carolyn Leonard – Women In Finance JohnLothianNews.com ” I had brokers with very large decks telling me to my face that they’ve never traded with a woman, they weren’t going to trade with me and that I shouldn’t take it personally… A lot of those same guys became awesome friends, but we had a real rocky start.” In this profile video from John Lothian News, Carolyn Leonard recalls her journey through the volatile world of trading at the Chicago Board Options Exchange beginning in the late ’70s. Leonard started trading after a divorce, with two young children…

Bitcoin Options Would Tame This Beast; High Hopes for Low Vol; Death of FX Volatility Newsletter,Options

Observations & Insight The Spread – Week of 12/4 – 12/8 JohnLothianNews.com A JLN debut! The Spread is a brief weekly recap of some of the notable activity in the options world. (It won’t always be this crypto heavy – we swear.) The following are stories referenced in this week’s episode of The Spread: WSJ – What Could Stir Up the VIX? Higher Inflation Bloomberg – Pound’s Acid Test on Brexit Is Yet to Come for Options Traders Highly Evolved Vol Blog – The Crowded Short Vol Trade JLN – Cboe Throws Launch Date Punch at Crosstown Rival CME Bloomberg…

Bitcoin certifications; Least Volatilite Year Ever?; Interactive Brokers customers file complaint Newsletter,Options

Observations & Insight Putting on My Broker Hat About Bitcoin John J. Lothian – JLN Everyone is asking about bitcoin. A journalist called and asked to interview me. A magazine called and asked me to write something. A brokerage firm chief risk manager called to ask me my opinion about bitcoin and bitcoin futures. Two weeks ago, a former employer I have not seen in 10 years called me out in Coindesk.com for my bitcoin qualms. At the dinner table my son Robby opened up about owning not just bitcoin, but bitcoin cash, ether and monero. This is a full-fledged…

The Low Vol Puzzle; Post Bank say BOJ should sell puts; Buying dips Newsletter,Options

Observations & Insight FANG+ Puts the UMPH Back into the Markets and Exchange Competition John Lothian – JLN Hallelujah! The magical power of innovation from exchange competition in Chicago is alive and well after a noticeable absence. The NYSE FANG+ index at ICE Futures US is the most innovative and timely new contract I have seen since the Cboe introduced the VIX. Besides the FANG+ contract, we have the expectation of the CME Group and Cboe slugging it out later this year with competing bitcoin futures offerings. Earlier this year we had the CME Group reclaim the Russell index complex…

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…

Volatility Is World’s Undervalued Asset; Acting Like Risk Doesn’t Exist Newsletter,Options

Lead Stories Volatility May Be the World’s Only Undervalued Asset Class Doug Kass – RealClearMarkets I have argued that risk is underpriced because in large measure of the structural changes in the markets and participants positioning. Risk is an ever-present condition that cannot be eliminated, though it can be shifted through time and redistributed in form. bit.ly/2yNJED8 Sometimes You Beat the Bear. Lately, the Bear Beats You. Stephen Gandel – Bloomberg Investors have spent at least $2.6 billion this year on funds that are supposed to protect their portfolios in a market crash. Instead, those funds, rather than insuring their…

Market Makes History; More Bitcoin; Cboe Mini-SPX XSP Options Record Newsletter,Options

Lead Stories The stock market just made history Akin Oyedele – Business Insider The S&P 500 on Monday broke its previous record of the number of days without a 3% drawdown. As it’s continued to make new highs, it has broken records of other percent-move sizes. These illustrate the rock-bottom volatility that has characterized stocks this year and is showing few signs of rising anytime soon. /goo.gl/arAFs9 ****SD: Feels like it makes history every day now… Bitcoin Meets OTC Derivatives Tod Skarecky – Clarus Financial Technology I attended the FIA event last week in Chicago. Much of the same stuff….

VIX Bits: The Thermometer Isn’t Broken Blog,Commentary,Options

On the 30th anniversary of the ‘87 market crash last week, Cboe, in collaboration with ProShares, hosted a panel discussion “Current Dynamics of the VIX Market.” There was a lot to glean – from the applications of VIX ETPs to unique characteristics of VIX futures to general perceptions of volatility. Dominic Salvino, Group One’s VIX options specialist, had an analogy for the current low levels of VIX, comparing it to high February temperatures in Chicago. On February 18, the thermometer reached 70 degrees Fahrenheit, only the fourth time that’s happened since 1971. Is that weird? Yes. Is it worth noting?…