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Tag Archives: VIX futures

JLN Options: VIX Manipulation Debate; XIV Tales; Insurance and volatility Newsletter,Options

Observations & Insight What’s the Deal With the VIX Manipulation Letter? Inaccuracy and Misunderstanding Spencer Doar – JLN The big options news of the day pertains to a letter alleging VIX manipulation. The letter, written on behalf of an anonymous whistleblower by a Washington D.C. law firm, alleges market makers manipulate the VIX by quoting far out of the money SPX put options so they are included in the VIX calculation at junctures that benefit their trading activities. It’s understandable financial instruments are subject to concerns about manipulation when their inner workings are complicated and not fully understood by the…

LJM Fund Closes Due to Vol Bet; Markets’ Derivatives Knowledge; ‘The Tail Grabbed the Dog’ Newsletter,Options

Observations & Insight The Spread – Week of 2/5 – 2/9 JohnLothianNews.com This is a bit of an early edition of our weekly options news recap as snow has blanketed Chicago and will continue to fall for the next few days. As another result of being Chicago-based, there is a built in affinity for the Bulls and the Bears. Well, bears are having more fun at the expense of bulls as a crazy trading week altered recent market norms. (This sports metaphor falls apart pretty quickly…) Watch the video and read the stories referenced here » ++++++ February Options Volumes…

The VIX Can’t Cause Vol – Cboe’s View on Volatility ETPs Blog,Commentary,Feature

As volatility began to surge in February, and then exploded on the fifth of the month, exchange traded products (ETPs) that shorted or provided inverse exposure to VIX futures came under fire. The two most popular, Credit Suisse’s VelocityShares Daily Inverse VIX Short-Term exchange traded note (ETN), ticker XIV, and ProShares’ VIX Short VIX Short-Term Futures exchange traded fund (ETF), ticker SVXY, were the main focus, as they suffered huge losses. Trading in them was halted and then Credit Suisse announced it would liquidate its note. Those two products, more than any other, put intense scrutiny on such volatility products…

Interview with OCC’s Donohue; Boom in VIX trading; Industry bits Newsletter,Options

Observations & Insight Bits and Pieces SD– JLN While the war of words over Cboe’s end-of-day trading proposition regards equities, we’re going to keep you updated, since the players involved are options exchange groups, too. Today’s news pertains to Cboe and Nasdaq – the two biggest options exchange groups by market share in the U.S. Plus, there are thoughts that, if implemented, the new closing process could affect volatility around the close, which is an options angle. Anyway, Nasdaq CEO Adena Friedman called the proposal “irresponsible” and “really bad for investors” and urged regulators to give it a harder look….

Is the VIX Being Gamed?; Bullish Options Positioning; Traders Love Crypto Stock Moves Newsletter,Options

Lead Stories Is the VIX Being Gamed? A Sudden Swoon Has Traders Talking Again Nikolaj Gammeltoft and Cecile Vannucci – Bloomberg It made for quite a chart. On the morning of Dec. 20, just as billions of dollars of futures tied to the Cboe Volatility Index were set to expire, the index plunged. The result was a settlement price, a weekly value critical to holders of some the most heavily traded derivatives in the country, that was 13 percent below the prior day’s close. A nice break, if you were short. jlne.ws/2FmYv96 ****SD: I think one upside to this whole…

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…

Big FX bets bunched around Jackson Hole meeting; Options trader gets 1.5 years in prison; VIX Options Volume Record Newsletter,Options

Observations & Insight No, Not the VIX – the VSTOXX Sarah Rudolph – JLN Even your dog has heard of the VIX, the Chicago Board Options Exchange‘s benchmark volatility index, but the VSTOXX, the benchmark for volatility in European stocks, is less of a household name in the U.S. Eurex has been trying to change that by adding more and more functionality to their VSTOXX products, starting out with spot prices and futures contracts on the index and then more recently moving into options on futures and ETNs. Yesterday, Eurex and Rival teamed up for a meetup in Chicago at…

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…

50 Cent Isn’t the Only One Seeking Big Protection in VIX Options; Markets Have Nothing Left to Fear But Fearlessness Itself; Factors make multi-asset shift Newsletter,Options

Lead Stories 50 Cent Isn’t the Only One Seeking Big Protection in VIX Options Luke Kawa – Bloomberg ’50 Cent’ has company in his quest to protect from market turmoil. Even as the CBOE Volatility Index sits at historically low levels below 10, an institutional investor on Monday bought 100,000 lots of July VIX call options with a strike price of 25. He paid 12 cents a pop. The same person simultaneously sold an equal amount of calls with a strike price of 30 for 7 cents each. The same day, the trader nicknamed 50 cent loaded up on protection…