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Tag Archives: realized volatility

VIX pioneer Dan Galai interview; Betting on risk is risky; FX Options Update Newsletter,Options

Lead Stories A pioneer of the VIX says the market is looking at volatility all wrong; VIX pioneer Dan Galai interview Joe Ciolli – Business Insider Stock market volatility — or the lack thereof — has been a hot-button topic on Wall Street of late. jlne.ws/2eM2u3f The VIX, VXX, SVXY, and volatility-linked ETFs: Betting on risk is risky Allison Schrager – Quartz No risk, no reward. That maxim has suffered recently, as the stock market has rewarded investors with steady returns amid historically low volatility. Traders looking to beat the market have fewer options in such placid conditions, so some…

JLN Options: All about the crowd in VIX ETPs Newsletter,Options

Observations & Insight Hurricane to Cost Tens of Billions, but a Quick Recovery Is Expected Conor Dougherty and Nelson D. Schwartz – NY Times The brutal storm pummeling the Houston area is likely to rank as one of the nation’s costliest natural disasters, with tens of billions in lost economic activity and property damage across a region crucial to the energy, chemical and shipping industries. But economists say the region is likely to recover quickly and may even experience a bump in growth from rebuilding. nyti.ms/2xKa4Ct ++++++ Deluged Texas Braces for More Rain, and Years of Recovery Julie Turkewitz, Richard…

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…

SEC “Abdicated Responsibility” Regarding OCC Capital Plan; tastytrade buys Seed Futures; Gundlach’s Options Bet Newsletter,Options

Observations & Insight Seed Futures Acquired by tastytrade GlobeNewswire Seed Futures LLC (“Seed Futures”) today announced that its business has been acquired by dough, Inc. (d/b/a tastytrade). jlne.ws/2vPldoL ****SD: This is a development worth following. The tastytrade/dough team and their new(ish) brokerage tastyworks continue to disrupt business. Seed Futures is a subsidiary of Seed CX, the SEF started two years ago (SEF designation came in August 2016) to initially trade forwards and options on industrial hemp products. Geared to all “emerging commodities,” as they phrase it, the exchange now has tradeable products like Hass avocados, organic soybeans and Persian limes….

Will Options Trading Bring Institutional Investors to Bitcoin?; Nevermind the VIX – Stock Volatility Is Rising in Subtle Ways; Volatility Gauges Tumble to New Lows Amid Complacency Fears Newsletter,Options

Observations & Insight Learning to live with low vol Jean Boivin and Ed Fishwick – BlackRock Investment Institute Digging into U.S. equity volatility patterns dating back more than a century, we find low market vol can last for years and tends to overlap with subdued macroeconomic vol. Combined with our view that the U.S. economic cycle has room to turn, we believe this environment helps foster risk-taking. jlne.ws/2vLZiij ****SD: I missed this when it came out at the end of July. Here is a link to the full PDF – the above is a synopsis. From the report: “Running a…

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…

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,…

LedgerX gets approval for options clearing; Barclays unwinds remaining oil positions, boosting options volumes; Investor Makes Mammoth VIX Bet That Could Pay Out $265 Million Newsletter,Options

Observations & Insight Tales from the Crypt: What do Augur, Golem and Gnosis have in common? Spencer Doar – JLN They’re all cryptocurrencies. Though, if you thought, “They’re all words that could appear in folklore” you’d also be correct. In light of LedgerX getting approval from the CFTC to clear options on cryptocurrencies Monday, I thought it prudent to give you a snippet of the larger picture. (More stories regarding LedgerX follow.) Interest and excitement in the space has accelerated rapidly in 2017 due to a number of developments: bitcoin’s eye popping price action/volatility (~$910 at the start of the…

Now Fed Officials Are Starting to Wonder If the VIX Is Too Low; Don’t Be Afraid of the Market’s Fearlessness; Brent bulls and bears play options tug-of-war Newsletter,Options

Observations & Insight MarketsWiki Education World of Opportunity Top Videos 1. Donald Wilson, DRW Trading Group – Reminiscences (and Prognostications) of a Futures Operator 2. Blair Hull – Getting the Edge: Blackjack and the S&P 500 3. Haim Bodek, Decimus Capital Markets – A Flash Course on Market Structure 4. Peter Borish, The Quad Group – Trading Traps: Too Many to Count 5. Ray Cahnman, chairman, Transmarket Group – Me, Us & You: How Trading Works /goo.gl/hv8qXm ***** According to the number of plays on Youtube, here are the top videos from the MarketsWiki Education series through the years. The…