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Tag Archives: swaptions

VIX settlement surge; Reinventing equity collars; Melt-up elation for volatility gauges Newsletter,Options

Observations & Insight The Week Thus Far – In Case You Missed It Spencer Doar – JLN MIAX plans to launch its third exchange, MIAX Emerald, in Q1 2019. Cboe announced it would begin disseminating a one year VIX calculation (VIX1Y) and that it is “exploring the development of a futures contract” on that index. Speaking of the VIX, it took a stroll south of 15 yesterday. Then this morning – settlement time – it went on a 30 minute run from 15ish to 17, again bringing up talk of manipulation. See the lead Financial Times story below about that…

Record low VIX close; CAT delay?; Swaptions clearing Newsletter,Options

Lead Stories VIX Closes at Another Record Low Gunjan Banerji – WSJ The CBOE Volatility Index, or VIX, hit a record low on Thursday, extending an historic calm streak as stocks reached new highs. The stock volatility index fell to 9.19, closing below 10 for the seventh consecutive day. The VIX’s prior low was 9.31 in December 1993. jlne.ws/2fUBvGn ****SD: CBOE started offering the 8.5 strike on the VIX on Tuesday. Woof. CNBC on the VIX action here. Trading Database Could Be Delayed Due to Data-Security Hitches Dave Michaels – WSJ U.S. exchanges overseeing the creation of a vast database…

Strong demand for Eurex’ factor index futures; CME opens Sydney office; Virtu to close Neonet John Lothian Newsletter,Newsletter

First Read Hits & Takes Students signed up for the MarketsWiki Education Recruiting event on October 16 at the CBOE have come from a number of different universities. The list includes University of Illinois at Chicago, Illinois Tech (formerly IIT), University of Chicago, DePaul University and Northwestern. We even have some from Georgetown, Harper College, Northeastern University, Oakton Community College, Rizvi College of Management Studies, University of Nebraska, University of Illinois and Indiana University. Thank you to Michael Dawley, XR Trading and CME Group for agreeing to be sponsors of this year’s LaSalle Street Trading Tech Awards for the Boy…

Staff for Florida regulators recommend continued gas hedging despite nearly $7 billion in losses; Reinventing the (Algo) Wheel; These Winning Positions Could Turn Into Market Migraines Newsletter,Options

Observations & Insight When it comes to web searches, more options than expected Spencer Doar – JLN When compiling the options newsletter, we check a variety of search terms, feeds and websites to get a picture of the day’s activity. Given the ambiguity of “options” as a search term (even with added modifiers), searches invariably pull in results that have no relation to options in a derivatives sense. And that isn’t the the only instance of disparate search yields. You might be familiar with the Office of the Comptroller of the Currency, or OCC, which can be slightly confusing in…

Bonds and Stocks Might Not Be Singing to the Same Trump Tune; VIX Call Buying Picks Up as Stocks Hit Record Highs; Hong Kong Stock-Hedging Costs Tumble Before Chinese New Year Newsletter,Options

Observations & Insight OIC: Camelback 2017 OIC Now in its 35th year, the Options Industry Conference is the premier annual gathering for top-level management and trading professionals to exchange ideas, strengthen relationships and forge new connections. /goo.gl/MF4IGm ****SD: May 10-12. Now if only they could move the conference a few months and sync up with Spring Training… Lead Stories Bonds and Stocks Might Not Be Singing to the Same Trump Tune Luke Kawa – Bloomberg MOVE, VIX. Get out the way. The CBOE Volatility Index, a measure of the implied volatility of the S&P 500 Index commonly known as the…

Options market data for stocks; Safety Trade Turns Risky as Options Players Seek Bond Hedges; Fed Raises Rates, Boosts Outlook for Borrowing Costs in 2017 Newsletter,Options

Observations & Insight EDITOR’S NOTE: JLN Options is happy to have Henry Schwartz, President of Trade Alert, as a guest editor this week. Sweeping change Henry Schwartz – Trade Alert Over the past 30 years the options market has evolved from four exchanges enjoying monopolistic single-listings to a highly competitive landscape of 14 (15 in February) venues with nearly all liquid products listed on all exchanges, fragmenting liquidity and adding a great deal of complexity to even relatively small trades. Leading participants have responded to this market structure with sophisticated ‘smart routers’ designed to optimize executions in the form of…

Squeezing Pennies: Clearing Houses Reach For Compression, Margin Relief and Netting Commentary,Financials,Regulation

When it comes to clearing and settlement today, the name of the game is capital efficiency. With a host of regulations hitting the market, particularly with bank capital requirements under Basel III, exchanges and clearing houses are moving quickly to find ways for banks and clearing FCMs to lower the amount of cash they need to hold onto in the name of lower systemic risk. It is an interesting time to be in the clearing space, as clearing firms offer a number of new services and some oldies aimed at clearing FCMs. Portfolio margining, which has been done more or…

JLN Options: The Wilting Flower of VIX Newsletter,Options

Lead Stories The Wilting Flower of VIX Andrew Giovinazzi – The Options Insider Wither the VIX The market for volatility seems to be giving up its final breaths today.  If underwhelming earnings in GOOG and MSFT cannot push things lower I am running out of things to think of. http://jlne.ws/1bGyUW2 Everyone’s Talking About This Huge Stampede Of Cash Rushing Into The Stock Market Joe Weisenthal – Business Insider As the market sails to new highs, the floodgates have broken open. Money is pouring like crazy into stocks, which is of course classic investor psychology. Nobody buys low. People like to…

John Lothian Newsletter: CFTC Sues Former MF Global CEO Corzine and Treasurer O’Brien; HKMEx’s Barkshire Resigns as Director as Police Probe Company; CME finalising plans for swaptions clearing John Lothian Newsletter,Newsletter

As expected, the CFTC files a civil no-settlement suit against ex-MF Global’s Jon Corzine and Edith O’Brien. In Hong Kong, one of the directors of the shuttered Hong Kong Mercantile Exchange resigns amid the ongoing scandal there. CME Group nears completion on its plans for clearing swaptions products, and hopes to start that clearing in the US and Europe within months.