| August 01, 2023 | | | | | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | |
Cboe's Iouri Saroukhanov talks with JLN at IDX London about the European derivatives space
JohnLothianNews.com
Iouri Saroukhanov, head of European derivatives at Cboe Global Markets, was interviewed by JLN Correspondent Julie Ros at the FIA International Derivatives Week (IDX) in London recently. Saroukhanov discussed Cboe's move into the European derivatives space and its competitive advantage for building a European derivatives exchange. JLN also asked Saroukhanov about the products CEDX offers and what differentiates CEDX from other exchanges in single stock options.
Watch the video »
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Mark Spanbroek's FIX EPTG Chair Swansong IDX Interview with JLN's Julie Ros
JohnLothianNews.com
IDX was full of goodbyes for Mark Spanbroek, the long-serving chair of the FIA European Principal Traders Group. JLN did not want to be left out and so JLN Correspondent Julie Ros interviewed Spanbroek at FIA's International Derivatives Week after he had been interviewed on stage by former FT journalist Jeremy Grant.
Watch the video »
| | | | | | Lead Stories | | | How a machine learning model closed a hidden FX arbitrage gap
Mauro Cesa - Risk.net
In 2022, Yoshihiro Tawada, head of FX-flow quant modelling at MUFG Securities EMEA, noticed an anomaly in the market for Turkish lira/yen options. During periods of market turbulence, the mid volatility of options - which theoretically should lie between the bid and ask levels - breached those boundaries, contradicting the assumptions behind models used to price exotics and leaving them wide open to arbitrage strategies.
/jlne.ws/3Oi20Sn
Top stock pickers hit by 'tremendous' amount of uninvested cash
Madison Darbyshire - Financial Times
Top active fund managers say they are struggling to attract money from large investors who are holding back in the face of volatile markets and cash accounts offering the best yields in years.
Institutional investors such as pension funds, endowments, and foundations control billions in capital and are responsible for the majority of allocations to the biggest asset managers. Cash sitting in US institutional money market accounts now totals almost $3.5tn, according to the Investment Company Institute, a sum that has climbed steadily this year even as stock markets gather strength.
/jlne.ws/3rWxgiw
Investors should still expect a bumpy road ahead
Mohamed El-Erian - Financial Times
The first half of 2023 witnessed striking economic and financial dispersion, both within countries and across them. With some of this dispersion reversed in July, there is a growing tendency to forecast convergence in the period ahead, and the favourable set of outcomes that would come with that, from better growth and inflation results to rewarding investment performance. Yet, doing so now would be premature and unwise.
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Farmers remain cautiously optimistic about agricultural economy
CME Group
Agricultural producer sentiment improved slightly in July as the Purdue University/CME Group Ag Economy Barometer index rose two points to a reading of 123. Farmers were also more optimistic about their perception of current conditions and future expectations on their farms. The Index of Current Conditions rose 5 points to a reading of 121, while the Index of Future Expectations was up one point to 124. The Ag Economy Barometer is calculated each month from 400 U.S. agricultural producers' responses to a telephone survey. This month's survey was conducted between July 10-14.
/jlne.ws/3qi7fJK
Hedge Funds 'Throwing In Towel' on Stocks as Rally Forces Unwind
Lu Wang - Bloomberg
For stock-picking hedge funds coping with 2023's loopy markets, risks are starting to outweigh the rewards.
Pro managers who make both bullish and bearish equity wagers last week slashed positions on both sides of their book, also known as de-grossing, according to data compiled by JPMorgan Chase & Co.'s prime brokerage unit. The rush to tweak positions was frantic enough to push total client stock flows to the highest level since the retail-fomented short squeeze in 2021.
/jlne.ws/44PXYrk
Reversal of 1,000% Rally in EV Firm Ecopro Shows Danger of Korean Day Traders
Youkyung Lee - Bloomberg
It was a moment of triumph for South Korea's retail investors, when a jump in Ecopro Co. to a record high showcased the influence that they wield over the stock market. But the surge was gone in less than 60 minutes.
The breathtaking rally and sharp reversal in the battery material maker on July 26 serve as a cautionary tale on the power of day traders, who are a dominant force in South Korea's equity market. Their bets on EV-related shares triggered wild swings that catapulted the Kosdaq 150 index to a five-year high last week before a sudden crash
halted the rise.
/jlne.ws/454EpeA
Short-covering by hedge funds lifted oil prices
John Kemp - Reuters
Benchmark crude oil prices have risen to the highest level for three months after the extension of production cuts by Saudi Arabia and its allies in OPEC? sparked a rush to cover bearish short positions by investors.
Hedge funds and other money managers purchased the equivalent of 52 million barrels in the six most important petroleum futures and options contracts over the seven days ending on July 25.
/jlne.ws/3YdXh93
ISDA SwapsInfo First Half Of 2023 And The Second Quarter Of 2023 Review: Summary
International Swaps and Derivatives Association
The latest ISDA SwapsInfo Quarterly Review shows that interest rate derivatives (IRD) traded notional and trade count increased in the first half of 2023 compared to the first half of 2022, while index credit derivatives trading activity declined over the same period. This summary provides a high-level overview of key trends for the first half of 2023 and second quarter of 2023. The full report will be published in due course.
/jlne.ws/3rUF2JG
| | | | | | Exchanges | | | Cboe Introduces New Options Contracts On Corporate Bonds
Press Release via Accesswire
Cboe Global Markets (BATS:CBOE) is set to enhance its corporate bond index product suite by introducing new options based on the Cboe iBoxx iShares $ High Yield Corporate Bond Index futures (IBHY) and Cboe iBoxx iShares $ Investment Grade Corporate Bond Index futures (IBIG). These additional options started trading on Cboe Futures Exchange, LLC (CFE) on July 10.
/jlne.ws/3qaxoKH
OCC Enhances Clearing Membership Standards on 30th Anniversary of Securities Lending Program
OCC
OCC's Oberon Knapp, Executive Director of Participant Solutions and Head of Securities Lending, discusses recent enhancements to OCC's clearing membership standards, the 30th anniversary of OCC's Stock Loan Programs, and planned technology changes in an interview with Global Investor Magazine.
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MIAX Options, MIAX Pearl Options And MIAX Emerald Options Exchanges - New API Access To Member Firm Portal And Related Fees
Miami International Securities Exchange
Effective August 1, 2023, MIAX Options, MIAX Pearl Options, and MIAX Emerald Options will begin providing access to its Member Firm Portal via an Application Programming Interface ("API") in addition to its current web-based user interface.
/jlne.ws/3DFJL4x
MIAX Exchange Group - Options Markets - Market For Underlying Security Used For Openings On MIAX Options, MIAX Pearl Options And MIAX Emerald Options For Newly Listed Symbols Effective Tuesday, August 01, 2023
Miami International Securities Exchange
Please refer to the Regulatory Circulars listed below for newly added symbols and the corresponding market for the underlying security used for openings on the MIAX Exchanges. The newly listed symbols will be available for trading beginning Tuesday, August 01, 2023.
/jlne.ws/3KiFaZN
Moscow Exchange has developed an option calculator for derivatives market participants
MOEX
On August 1, 2023, the Moscow Exchange provided derivatives market participants and their clients with a new online service - an option calculator . This is a tool for fast and efficient building of trading strategies on the derivatives market, which greatly simplifies the process of making trading decisions and automatically calculates most of the necessary indicators. The use of the service is free.
/jlne.ws/3rOiB8R
| | | | | | Regulation & Enforcement | | | FIA responds to the IOSCO consultation on crypto-asset regulation
FIA
FIA has filed a response to a consultation report on policy recommendations for crypto and digital asset markets from the Board of International Organization of Securities Commissions (IOSCO).Â
FIA's response supports IOSCO's efforts to bring greater consistency to regulatory frameworks and oversight of crypto-asset activities in its member jurisdictions as well as its efforts to address concerns related to customer protection, conflicts of interest and the cross border nature of these markets.
/jlne.ws/3KscxJB
SEC Charges New Jersey-Based ETF Manager for Fraudulent Conduct and Bars Founder
SEC
The Securities and Exchange Commission today charged Samuel Masucci and entities he founded and controls with disadvantaging an exchange traded fund (ETF) they managed and misleading the ETF's trustees to obtain $20 million in rescue financing to avoid a possible bankruptcy. Masucci and the entities agreed to pay a combined $4.4 million to settle the charges.
/jlne.ws/43QW6xh
| | | | | | Strategy | | | Why VIX seasonality spells trouble for stocks: Chart of the Day
Jared Blikre and Mariela Rosales - Yahoo Finance
The CBOE Volatility Index, also known as the VIX, may have a warning for investors. Yahoo Finance's Jared Blikre explains what the VIX's seasonality may reveal about the future for stocks.
/jlne.ws/3OBQv9S
Stocks could sink into a bear market. Here are five signals on when it likely starts.
Frances Yue - MarketWatch
U.S. stock have been touching fresh yearly highs, but a recessionary bear market is still likely to hit, according to Tyler Richey, co-editor at Sevens Report Research.
The Dow Jones Industrial Average and S&P 500 index on Monday closed at fresh 2023 highs, while ending less than 4.5% off their record levels, according to Dow Jones market data.
/jlne.ws/3OEwqQa
Biggest Week of Earnings Season
Cboe (Video)
In #Vol411, Tim Biggam @Delta_Desk highlights: $SPX implied volatility ~11 based on the 15-day straddle, #trading in Sept $VIX call #options, market seasonality and this week's big #earnings lineup.
/jlne.ws/3OE9zEk
| | | | | | Miscellaneous | | | Who Put These Stocks in the Index?
Matt Levine - Bloomberg
One attraction of index investing is that nobody is responsible for any investing decisions. If I buy an index fund, I am just following sensible standard financial advice about indexing and diversification; if that index fund happens to hold stocks in companies that I find objectionable, I can say "well that's not my fault, I didn't buy those companies, I just bought the index fund." Meanwhile the index fund manager buys those stocks, not because she wants to, but because they are in the index and her mandate is to track the index; buying those stocks is not really her fault either. Meanwhile the index provider â the company that compiles the index and licenses it to funds â has some quasi-mechanical standards for including stocks in the index, and they probably amount to something like "this index includes all of the stocks in the market," or all of the biggest stocks, or all of the tech stocks, or all of the US-based stocks, or all of the China-based stocks, or whatever the index name says. There are indexes that are like "this index includes all of the stocks in the US that we do not find morally objectionable," but that is more of a niche product than the indexes that are just all of the stocks.
/jlne.ws/3DBGB1J
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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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