| July 14, 2021 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Lead Stories | | | Fractured Libor transition halts US structured rates switch; Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Natasha Rega-Jones - Risk.net
Attempts to shunt US interest rate option products onto Libor replacements has stalled amid growing uncertainty over which benchmark will succeed the discredited rate for US dollar lending markets. Dollar-denominated caps and floors, which protect lenders and borrowers against interest rate fluctuations, still predominantly reference US Libor. Similar instruments linked to the secured overnight financing rate (SOFR) - the US regulator's preferred risk-free successor - have struggled to gain
/bit.ly/3B2a5mE
Robinhood Gets Ready for the Meme Stock World It Created
Annie Massa - Bloomberg
Hi all, it's Annie from Bloomberg's investing team. Soon, Robinhood Markets Inc. will go public. The debutâwhich could happen in the coming weeksâwill see Robinhood entrust its share price to the same retail investors who have been using its app to roil markets.
The free stock trading app has been around for eight eventful years. During the pandemic, Robinhood traders congregated on Reddit message boards and drove wild swings in the price of companies like GameStop Corp. and AMC Entertainment Holdings Inc. Then, when Robinhood put limits on customer purchases of those stocks, the startup incurred social media wrath, along with some lawsuits.
/bloom.bg/3xBqsoe
A $15.3 Billion Quant ETF Loses Out in Badly-Timed Rebalance
Sam Potter - Bloomberg
A comeback by megacap growth stocks and the stalling of the value trade arrived at exactly the wrong moment for one $15.3 billion exchange-traded fund.
BlackRock Inc.'s iShares MSCI USA Momentum Factor ETF (ticker MTUM) went all-in on the reflation trade back in May. It has barely edged higher since then as the cheap, cyclically sensitive shares it piled into struggled.
/bloom.bg/3iaJnzN
JPMorgan, Goldman Sachs Earnings Raise Doubts Over Outlook
Carleton English - Barron's
The latest bank earnings may have topped Wall Street's expectations, but investors are concerned with how long the good times will last.
JPMorgan Chase (ticker: JPM) and Goldman Sachs Group (GS) were the first of the big banks to release their second-quarter results. Both easily blew past the numbers analysts expected, but a closer look at the factors behind the outperformance led to a selloff in the shares.
/bit.ly/2VHX7KR
After 'Black Widow' fails to lift AMC stock, retail traders are trying to become their own 'Avengers'
Thornton McEnery - MarketWatch
Retail traders on social media are trying on Wednesday what even Natasha Romanoff, aka the "Black Widow", couldn't do on Monday or Tuesday: lift the share price of AMC Entertainment.
Despite the blockbuster return of the Marvel Cinematic Universe to big screens on Friday with Scarlett Johansson's standalone "Widow" film hauling in $80 million to break the previous post-pandemic record of "F9"s $70 million opening weekend in June, shares of cinema chain AMC fell almost 15% on the first two trading days of the week, a drop that maddened bullish investors in AMC on internet platform Reddit.
/on.mktw.net/3ehMmp5
| | | | | | Regulation & Enforcement | | | SEC files charges in binary options fraud case
Alan Sayer - LeapRate
The United States Securities and Exchange Commission (SEC) has filed charges against two individuals in an ongoing case related to binary options fraud. Jonathan Mimun and Ronn BenHarav, who are based in Israel, are the two named by the SEC in the charges for using fraudulent methods to convince US traders to invest in binary options.
/bit.ly/3i3B3lm
| | | | | | Technology | | | Mercury Derivatives Trading Renews Contract with Trading Technologies and Expands Use of TT Platform Services
Trading Technologies
Mercury Derivatives Trading (Mercury), a Hertshten Group portfolio company, and Trading Technologies International, Inc. (TT), a global provider of high-performance professional trading software, infrastructure and data solutions, today announced Mercury has renewed its contract with TT for use of the TT trading platform.
/bit.ly/3kle4oy
| | | | | | Strategy | | | Building a long volatility strategy without using options
Nicolas Rabener - ETF Stream
The insurance policy is one of the game-changing products of our civilisation as the individual is protected against great financial harm by the rest of society. Everyone understands the concept and accepts paying premiums to insure their house, their car, or their health. There seem few limitations to what can be insured. For example, Lloyds of London has apparently sold more than 20,000 policies against alien abductions.
Investors are constantly concerned about hedging their portfolios, but the willingness to buy insurance seems lower than for their home or car. Most aim to insure their portfolios via diversification but expect the diversifying strategy to also make money. Bonds have worked wonderfully for achieving this objective in recent decades, while most hedge funds have failed to provide such uncorrelated and positive returns.
/bit.ly/2Ua0zNS
25 Stocks That Show a Straddle Yields Big Returns
Rocky White - Yahoo Finance
About a month ago, I wrote about the extremely low historical volatility reading for the S&P 500 Index (SPX). Low volatility on the index does not necessarily mean a lack of opportunities for option traders. With well over a thousand stocks out there with suitable option liquidity, there are bound to be some stocks where opportunities lie. Below, I calculated monthly straddle returns for stocks over the past couple of years, summarized the data, and listed some stocks that option traders have mispriced the most.
/yhoo.it/36AybqP
| | | | | | Education | | | Don't Fear The "Fear Index"
Scott Chan - Investing Daily
The name CBOE Volatility Index may not ring a bell for you because it's more commonly known by another name. Chances are, if you participate in the stock market, you have heard of the VIX. It's hard not to. Every time the market hits a rough patch, the finance news headlines will say the VIX rose by this much and that much.
The reason we care about the VIX is that it is a measure of implied volatility and reflects market sentiment. When market angst is high, VIX rises. For that reason the VIX is also known as the "fear index."
/bit.ly/2VJbD55
| | | | | | Miscellaneous | | | Ultimate Index Quest Is Based on a Misunderstanding
Aaron Brown - Bloomberg
The Financial Times reports that financial index provider MSCI Inc. has joined Sir Galahad, Indiana Jones and Monty Python in the quest for the Holy Grail. In this iteration the goal is not a cup, but the ultimate market portfolio. This modern crusade is based on a misunderstanding of 60-year-old work in quantitative finance, and seeks something that was proved not to exist back in 1977 and then declared dead in 1992.
The idea of a "market portfolio" originated with the Capital Asset Pricing Model in the early 1960s. Researchers realized that if they could identify one portfolio that was mean-variance efficient, meaning a portfolio that has the highest possible expected return for a given level of variance, they could price all capital assets. Several different economic arguments were advanced to claim that the market portfolio of all assets should be efficient. But even if those arguments were correct (they are not, and even at the time they were regarded only as possibly useful fictions) there could be lots of efficient portfolios, and no reason to assume the market portfolio is a good choice for any particular investor.
/bloom.bg/3khLEMc
Schaeffer's Investment Research Turns 40: An Interview with Bernie Schaeffer
Shashank Jacob - Benzinga
Schaeffer's Investment Research, the longest-running options trade alert provider globally, is celebrating its 40th anniversary this year.
In 1981, the founder and CEO, Bernie Schaeffer, engaged a fledgling options industry with his visionary approaches to trading options.
/bit.ly/2UOhvcx
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