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Tag Archives: tail risk

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…

S&P 500 Options Showing Little Fear Over Trump Policy…For Now; Investors Prepare for a Wild Stock-Market Ride; Liquidation risk hangs over oil and gas price Newsletter,Options

Lead Stories S&P 500 Options Showing Little Fear Over Trump Policy…For Now Tanvir Sandhu – Bloomberg S&P 500 options are showing little anxiety over Donald Trump’s policies over the next few weeks, even as rates options capture concerns, according to Bloomberg strategist Tanvir Sandhu. The smoothness of S&P 500 Index’s volatility term structure indicates complacency in factoring in policy shifts by the government, reminiscent of a similar formation three weeks before the U.S. election on Nov. 8 when opinion polls overwhelmingly predicted a Hillary Clinton win. bloom.bg/2keeFaj ****SD: “Never say never, because limits, like fears, are often just an illusion.”…