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Tag Archives: volatility

AQR Quants Say Volatility Bets Can Lose Even If They’re Right Newsletter,Options

Observations & Insight The Spread – Record Highs – 9/21 JohnLothianNews.com To put it bluntly, action in marijuana stocks this week was nuts. Watch the video and see the stories referenced here » +++++ Trump to meet with Rod Rosenstein Thursday after conflicting reports about deputy attorney general’s departure Dan Mangan, Jacob Pramuk and Kevin Breuninger – CNBC President Donald Trump will meet with Deputy Attorney General Rod Rosenstein on Thursday amid swirling reports that the No. 2 Justice Department official’s departure is imminent. /cnb.cx/2MXmMFn ***SD: Very confusing. All I know with confidence is that it is a rainy day…

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…

Cboe turns to machines to police VIX; OCC’s capital plan; Chinese copper options JLN Options Newsletter,Newsletter,Options

Observations & Insight T.G.I. (Almost) F. or: How I Learned to Stop Worrying and Love Pot Stock Volatility Spencer Doar – JLN Weed stocks are way more volatile than the connoisseurs of the industry’s products it seems, man. Reuters had this story yesterday – Tilray options on fire as pot-stock frenzy grips market. The craziest stat from that article was “For the week so far, the combined trading volume for Tilray and Cronos Group options was roughly 680,000 contracts, or about 2.7 percent of overall U.S. single stock options activity, Trade Alert data showed.” That stat is followed by a…

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:…

VIX Volumes Soar; India’s Extended Derivatives Hours JLN Options Newsletter,Newsletter,Options

Observations & Insight The Spread – It Was Nasdaq Week – 9/14 JohnLothianNews.com What do an unexpected forecast for rain, long-standing animus in the clearing tech space and a speed bump have in common? In this week’s episode of “The Spread” the answer is Nasdaq. Watch the video and see the stories referenced here » ++++ What does your clearinghouse DEFCON scale look like today? Jim Kharouf – JLN Talk about timing. Ten years after the collapse of the global financial market and a decade of rebuilding it, Nasdaq reports that Nasdaq Clearing had to cover for a clearing member…

Low Bond Vol Creates Trove of Cheap Bets; Wells Fargo/LJM Update JLN Options Newsletter,Newsletter,Options

Lead Stories Low Bond Volatility Creates Trove of Cheap Bets; Whatever happened to rising interest rates sparking market turbulence? Brian Chappatta – BloombergQuint The Federal Reserve is raising interest rates, and that’s going to increase volatility. Or at least that was the nearly unanimous view of investors worldwide heading into 2018. But aside from “volmageddon” in early February, that simply hasn’t been the case. Instead, the stock market’s fear index (formally the Chicago Board Options Exchange Volatility Index) is firmly below its five-year average. Interest rates are even quieter, with Bank of America Corp.’s MOVE index, which tracks price swings…

Robinhood Is Making Millions Selling Out Their Millennial Customers To High-Frequency Traders Newsletter,Options

Observations & Insight Monster’ Hurricane Florence to pummel U.S. Southeast for days Ernest Scheyder – Reuters Hurricane Florence, on track to become the first Category 4 storm to make a direct hit on North Carolina in six decades, howled closer to shore on Tuesday, threatening to unleash deadly pounding surf, days of torrential rain and severe flooding. /goo.gl/J6r6DL Lead Stories Robinhood Is Making Millions Selling Out Their Millennial Customers To High-Frequency Traders Logan Kane – Seeking Alpha Robinhood is marketed as a commission-free stock trading product but makes a surprising percentage of their revenue directly from high-frequency trading firms. It…

Bad bets offer a cautionary tale to investors; Second-guessing the volatility of markets can be costly Newsletter,Options

Observations & Insight The Spread – The Colo Down-low – 9/7 JohnLothianNews.com “The Spread” hasn’t covered Aurora, Ill. during its time on the web. We tick that box in this week’s recap. Watch the video and see the stories referenced here » Lead Stories Bad bets offer a cautionary tale to investors; Second-guessing the volatility of markets can be costly Brendan Geeley – FT (SUBSCRIPTION) Over several days in early February of this year, two retail exchange traded products lost more than 80 per cent of their value. Close to $3bn was wiped out. One product, which traded as XIV,…