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Tag Archives: tail risk

China copper options a challenge to NY, London; October volatility Newsletter,Options

Lead Stories In copper options debut, Shanghai sets challenge to New York, London Josephine Mason – Reuters China’s top state copper companies threw their weight behind Shanghai’s first copper options on Friday, with early turnover trouncing its New York rival and raising a challenge to the 141-year-old London bourse in the $270 billion global market. /reut.rs/2I3aiLk ****SD: Pretty stellar first day as far as product launches go. A New Understanding of October Volatility Steven Sears – OCCAM October is more than just a seasonal hobgoblin that pundits and strategists trot out each year like some Halloween ghoul to try to…

Options Market Share Is Being Spread Around; SKEW Index Record JLN Options Newsletter,Newsletter,Options

Observations & Insight Half Week Notes Spencer Doar – JLN According to Vance Harwood’s calculations (he writes the Six Figure Investing Blog), a 1.5x leveraged vol fund needs to reverse split every 8-22 months. UVXY just did a 5:1. This is its ninth reverse split, but the first since the fund’s leverage was changed from 2x to 1.5x. For more, see this post. Premier Li Keqiang said China will not devalue the yuan to help boost exports. On a related note, look at soybean prices. Also see Reuters’ Inside China’s strategy in the soybean trade war. Denmark’s largest bank is…

Tail-Risk Hedging, Election Uncertainty and Quant Funds JLN Options Newsletter,Newsletter,Options

Observations & Insight Monday Funday – Wine, Analytics and a Contest Spencer Doar – JLN Always wanted to go to one of ALTSO’s great charitable events to network and listen to musicians from the industry? Here is a special chance to win two free tickets to ALTSO’s annual Rocktoberfest event on October 11 in Chicago. ALTSO’s modular prosthetic limb kit – the Joshi – is made of high quality aluminum and stainless steel. Guess what the closing price of Alcoa Corp (NYSE: AA) will be on Thursday, September 20 for your chance to win. Enter the contest here. Missed this:…

Banks’ sizzling derivatives trading; Options markets creeping fear Newsletter,Options

Observations & Insight June 2018 Global Derivatives Volumes via FIA ++++ Shortwave Trading – Part IV – Sleuthing Examples, Research Tools, Techniques, and Deputy Antenna Sleuth Homework Bob Van Valzah – Sniper In Mahwah After my first few public posts about shortwave trading, I gradually realized that I’d inadvertently created a worldwide network of deputy antenna sleuths. This is the final post in the Shortwave Trading series since the terms of my forthcoming employment agreement will prohibit me from future public talk on the technology of trading. I want to leave behind details on some of the research tools and…

The Spread – Week of 4/23 to 4/27 Video,video

Who likes TV show theme songs (especially older ones that still live on through syndication)? If you don’t, well, shame on you, but watch this week’s episode of The Spread anyway for some updates on happenings in the options world. The stories referenced can be found below:  -Bloomberg – Options Traders Pile Into $80 Oil Bets as Trump Wild Cards Mount -OCC – A Decade After the Financial Crisis, These Lessons Can’t Be Forgotten -Cboe – Letter from Cboe CEO Ed Tilly and President Chris Concannon regarding VIX activity -Press Release – Matrix Executions Announces the Creation of a High Touch Trading Desk for…

Volatility – An intellectual virus, a bubble, or both?; Huge Brazilian FX trade Newsletter,Options

Observations & Insight Lessons From the “Not Guilty” Verdict in This Week’s Criminal Spoofing Trial Renato Mariotti, former federal prosecutor – JLN Wednesday’s stunning “not guilty” verdict in United States v. Andre Flotron, only the second spoofing case ever taken to trial, is a reminder that it is extremely difficult for prosecutors to prove a defendant’s intent beyond a reasonable doubt in the absence of direct evidence. We should expect the DOJ and CFTC to reevaluate their charging practices in the wake of this significant defense victory. /goo.gl/KtzVVV ****SD: A related (subscription) article from Global Investor Group – Spoofing easier…

MIAX Challenges Nasdaq Options Patents; Crisis hedge funds’ lackluster performance Newsletter,Options

Observations & Insight With trade war, U.S. and China stumble into the Thucydides Trap John Kemp – Reuters The United States and China have fired the opening shots in a trade war that may be hard to stop. /jlne.ws/2GxA4tV ****SD: Regardless of the situation, whenever I see Thucydides mentioned I have to reread the Financial Times Alphaville article For the love of Zeus, stop misusing Thucydides from last summer for context. It’s well worth the more in depth history lesson/tuneup. Surprisingly, three of the four Trump officials referenced in the piece who are known for their Thucydides fandom are actually…

Nasdaq Volatility Gauge; BlockTower Capital behind $1m bitcoin options bet; Field Guide to 2018 Volatility Trades Newsletter,Options

Lead Stories Watch Out VIX: Nasdaq Amps Up Volatility Game Nasdaq is working on an alternative to Cboe’s market fear gauge Gunjan Banerji – WSJ The VIX is getting a rival. Nasdaq Inc. is working on launching futures and options linked to an index that uses a different way to track volatility in the S&P 500, the benchmark gauge for the U.S. stock market, said people familiar with the matter. The launch is subject to regulatory approval and would compete against the market’s so-called fear gauge from Cboe Global Markets Inc. /goo.gl/dbx61F ****SD: Not the first time a rival product…

Implementation of SA-CCR Important For Liquid and Orderly Listed Options Markets; Seventeen years after 5,000, Nasdaq tops 6,000; What Markets Should Conclude From France’s Election Newsletter,Options

Observations & Insight Other VIXes Spencer Doar – JLN Of all the CBOE’s products, none gets media attention like the VIX. But CBOE has plenty of other VIX products, ranging from the BPVIX (CBOE/CME FX British Pound Volatility Index) to the GVZ (CBOE Gold ETF Volatility Index). The VIX plummeted yesterday to the 10 handle after the results of the first round of the French election were interpreted as positive (VIX is around 10.6 as of this writing). The media will sometimes give markets the gloss over treatment, look at the VIX and only the VIX, and declare “where’s the…