| August 08, 2023 | | | | | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | |
Eurex's Rafael Zanatta Talks About New Bitcoin Index Futures with JLN's Julie Ros at FIA's IDX
JohnLothianNews.com
Rafael Zanatta, head of sales, EMEA, Eurex FTSE bitcoin index futures at Eurex, spoke with JLN Correspondent Julie Ros at the FIA's International Derivatives Week (IDX) in June about Eurex's recently launched FTSE bitcoin index futures.
Watch the video »
| | | | | | Lead Stories | | | A complicated options trade that has helped prop up U.S. stocks is starting to unravel
Joseph Adinolfi - MarketWatch
A complicated derivatives trade that may have helped power some of the U.S. stock market's post-March rally is showing signs of unwinding, with potential consequences for the broader market, one veteran analyst warned Tuesday.
Should it come completely unglued, the result could be nearly 500 points shaved off the S&P 500 index, a move that would erase much of this year's nearly 18% gain, FactSet data show.
/jlne.ws/3KzCbMx
Short-sellers make $38m in one day on Carl Icahn's embattled empire; Icahn Enterprises' stock has lost roughly 30% of its value since 4 August
Bilal Jafar - Financial News London
Short-sellers booked the largest single-day profit of the year on Icahn Enterprises as a dividend cut left the shares of Carl Icahn's eponymous multibillion dollar conglomerate reeling. Icahn Enterprises short-sellers made $38m on 4 August amid a 25% plunge in share prices, according to financial analytics provider ORTEX. Short interest in Icahn Enterprises stock jumped to 14.6% on 4 August from 8.84% on 30 June.
/jlne.ws/3KvY0Nd
TC ICAP's Parameta Solutions to introduce family of interest rate swap volatility indices; The business asserts that banking on model-free implied volatility estimates provides superior predictive power over other volatility forecasting measures.
Claudia Preece - The Trade
TP ICAP's data and analytics division, Parameta Solutions, has launched a new family of interest rate volatility (IRSV) indices in a bid to provide robust and transparent daily indices in interest rates swap markets.
/jlne.ws/45mBZIH
Bitcoin Is Getting Less Volatile Than Stocks. Is That a Good Sign? Maybe Not.
Jack Denton - Barron's
Bitcoin and other cryptocurrencies continued to languish at depressed levels on Tuesday, with measures of volatility across crypto at historic lows. Bulls say it's a good signâbut there's a case to be made that the opposite is true.
/jlne.ws/4566CT2
Crude oil and fuels draw funds as sentiment shifts
John Kemp - Reuters
Crude oil prices continued to climb as Saudi Arabia's decision to extend its unilateral production cuts and signs of decelerating inflation and a soft landing in the United States improved sentiment among investors.
Hedge funds and other money managers purchased the equivalent of 51 million barrels in the six most important petroleum futures and options contracts over the seven days ending on Aug. 1.
/jlne.ws/3QwicCh
| | | | | | Exchanges | | | Five-Year Gains of More than 60% for CALD, PPUT and VXTH Indices
Matt Moran - Cboe
This Index Insights Monthly Scorecard provides an update on the performance of dozens of indices that track the levels of volatility or the performance of hypothetical strategies that invest in options or futures.
/jlne.ws/3qnSuoL
Natan Tiefenbrun: 'The UK wants to compete on openness. That's quite refreshing'
Jeremy Chan - Financial News London
Europe's derivatives markets are under pressure. Exchanges are splintered across the continent and are subject to undue complexity. "There's lots of things that are suboptimal," Cboe Europe's president Natan Tiefenbrun admits. On his list of problems: it is geographically fragmented; products are subtly different at every venue; and venues can't agree on contract expiry and execution terms.
/jlne.ws/45nNq2N
Hiring Slows at Cboe Digital
Shanny Basar - Markets Media
Hiring slowed at Cboe Digital in the second quarter, partly due to ongoing regulatory uncertainties according to Jill Griebenow, new chief financial officer at Cboe Global Markets. Griebenow spoke on Cboe Global Markets' second quarter results call on 4 August. She said: "While we are still incredibly committed to the digital business, we continue to watch the regulatory landscape closely and adjust our spending to match the revenue environment."
/jlne.ws/3Oq6BSG
| | | | | | Regulation & Enforcement | | | Wall Street groups fined $555mn by regulators over messaging violations
Stefania Palma - Financial Times
Nine Wall Street companies have agreed to pay a total of $555mn in fines over messaging violations in the latest round of record-keeping charges filed by US regulators.
The US Securities and Exchange Commission accused broker-dealers including Wells Fargo and BNP Paribas of "widespread and longstanding failures . . . to maintain and preserve electronic communications", and said on Tuesday it had agreed to receive combined penalties of $289mn from these companies.
/jlne.ws/3s7TYE8
| | | | | | Strategy | | | A robust stochastic volatility model for interest rates
Artur Sepp and Parviz Rakhmonov - Risk.net (Subscription)
Artur Sepp and Parviz Rakhmonov introduce the lognormal stochastic volatility model for the dynamics of interest rates in the single-factor Cheyette model. They show that, unlike models that mix local rate dynamics with zero-correlated volatility dynamics, their model is robust, and they derive closed-form approximate and very accurate solutions for valuation of swaptions and for model calibration to market data, respectively. The model is able to fit market
/jlne.ws/440i7d6
Vol Rises on Bank Downgrade
Cboe (Video)
In #Vol411, Tim Biggam @Delta_Desk lets us know that the $VIX term structure is slightly flattening but remains in contango, the 10-year yield interest rate is currently at 4% and more.
/jlne.ws/3OMEvSP
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| | | | John Lothian News (JLN) is the news division of John J. Lothian & Company, Inc. (JJLCO). The online media and financial services firm is staffed by derivatives industry, journalism and technology professionals. | | | | | | | John Lothian News Editorial Staff: | | | John Lothian
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