| July 15, 2024 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | | 
Volatility Insight of the Week: The G5 CVOL Skew Ratio (FXSK) has elevated to a 3-month high as options positioning for relative lower USD increases. Learn more about CVOL here.
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NYSE Executive Hyde Sees Retail Surge and Regulatory Hurdles Shaping Options Market Future
JohnLothianNews.com
In an interview at the Options Industry Conference in Asheville, NC, James Hyde, head of business development and strategic partnerships at NYSE Options, offered insights into the current state of the options industry. The interview, conducted by John Lothian News as part of the JLN Industry Leader video series sponsored by OCC, touched on several key topics shaping the market.
Watch the video »
| | | | | | Lead Stories | | | ICE Says Europe Diesel Contract Thrives After Russian Exclusion; Options open interest soared to a record last month, ICE says; Russian barrels were excluded after the war in Ukraine
Alex Longley - Bloomberg
Trading in European diesel futures and options has thrived since Russian barrels were excluded from the continent's benchmark, according to Intercontinental Exchange Inc. ICE said Monday that it saw a series of open interest records in the gasoil, or diesel, market that it operates last month. Activity was particularly strong in options with open interest and quarterly volumes at a record.
/jlne.ws/3Y1efJy
VIX Futures Slip, Treasury Volatility Gains After Trump Attack; Swings in Equity and Treasury markets have eased this year; Gold implied volatility and skew have been in narrow range
David Marino and Carly Wanna - Bloomberg
Options markets that have been placid for the first half of 2024 are showing little sign early Monday of being roiled by the failed assassination attempt on former President Donald Trump, with 10-year Treasury volatility edging higher and VIX futures lower, while gold and the dollar were little changed.
The backdrop is one of relatively low volatility in not just the S&P 500 Index but traditional havens such as the greenback, gold and Treasuries. Stocks have been churning steadily higher on the back of megacap technology firms, with almost 350 days without a single-day drop of 2% in the S&P 500. That's made hedging less attractive as puts expire worthless month after month.
/jlne.ws/4660jju
Traders Bet on Lower Volatility Around Presidential Election
Gunjan Banerji - The Wall Street Journal
Investors are betting on less volatility around the November election.
Prices of futures contracts tied to the VIX edged lower in early trading Monday. Dubbed Wall Street's fear gauge, the VIX, or Cboe Volatility Index, is a measure of expected volatility based on stock-index options. Higher prices point to greater market turbulence.
/jlne.ws/3WqLipq
Funds build all-time net shorts in CBOT corn and soybeans
Karen Braun - Reuters
Speculators last week established record net short positions in both Chicago corn and soybean futures and options as prices tumble further amid ample supply outlooks.
Money managers had reached record net shorts earlier this year, though new-crop CBOT corn and soybean futures have declined 10% and 7% since then, respectively.
/jlne.ws/3S7Qagk
Institutions snapping up Chinese treasury bonds are shorting the economy, state media says
Reuters
Financial institutions snapping up Chinese government bonds are basically shorting the Chinese economy, China's central bank-backed Financial News reported on Saturday, citing what it said were the views of industry sources and experts. The report is the latest warning to the country's bond market after the People's Bank of China (PBOC) sounded concerns and introduced plans to sell treasury bonds to cool a bond rally.
/jlne.ws/3LpA0eC
U.S. retail traders turn to Europe to trade election volatility
Eurex
Retail trading in Europe's listed derivatives stayed somewhat muted as investors have access to various leveraged products like CFDs and warrants. However, European markets are increasingly seeing volume growth from American retail investors. This year, a record number of people will go to the polls to choose their leaders, and three key elections in Europe have driven volatility in the first half of 2024, creating opportunities for U.S. retail and institutional traders.
/jlne.ws/3WlLhSr
Haven Rush, 'Trump Trades' on Investor Minds After Shooting
Ruth Carson and Allegra Catelli - Bloomberg
Investors will initially favor traditional haven assets and perhaps lean into trades most linked to former President Donald Trump's chances of winning the White House after he survived an assassination attempt, according to market watchers. Currencies begin trading at 5 a.m. in Sydney when the US dollar could get a boost, along with other refuges from market volatility like Japan's beleagured yen, the Swiss franc and gold. Bitcoin rose above $60,000 in the wake of the attack.
/jlne.ws/3S5ZCRs
The increasing complexity of the ETF universe
Robin Wigglesworth - Financial Times
OK, technically, JPMorgan's annual ETF extravaganza was actually published late last month. A lot can happen in a month, such as one of the authors sadly departing the bank since publication.
But the 1/4 of Alphaville that cares about the subject was on book leave at the time, and there's plenty of good stuff to chew on in the 20th edition of the annual snapshot of the ETF industry.
/jlne.ws/3xXnNL3
Hedge funds' growing sway underlies volatility in European stocks
Nell Mackenzie, Dhara Ranasinghe and Samuel Indyk - Reuters
European companies are seeing outsized gains and losses in their shares when they report earnings, a Reuters analysis shows, a trend that has more to do with the growing sway of fast money in the $15 trillion market than with business prospects.
Take the top 60 companies in Europe's broad STOXX 600 Index (.STOXX), opens new tab: when they reported earnings over the past year, their average daily stock moves were 18% higher than eight years ago, the analysis of more than 120,000 days of share price data from LSEG shows.
/jlne.ws/3Y6u0im
| | | | | | Exchanges | | | ICE Gasoil Futures and Options at Record Open Interest with Record Q2 Trading Volumes in Gasoil Options
Intercontinental Exchange
Intercontinental Exchange, Inc. (NYSE: ICE), a leading global provider of technology and data, today announced that its Low Sulphur Gasoil markets hit a series of open interest records through June 2024, reaching a high of 1.2 million across futures and options on July 1, 2024, equivalent to 120 million metric tons. ICE Low Sulphur Gasoil sits at the center of middle distillates trading as the global benchmark for refined oil products. Gasoil futures and options open interest is up over 40% year-over-year (y/y), with trading volumes up 30% y/y. Gasoil options activity has been performing particularly well, hitting record open interest of 234,570 contracts on July 3, while Gasoil options traded at record levels in Q2 2024 with 287,421 options traded. During Q2 2024, a record of approximately 16.2 million oil options contracts traded at ICE, including a record 13.5 million Brent options contracts. Customers can benefit from margin offsets as high as 98% when clearing ICE Gasoil alongside other oil positions at ICE.
/jlne.ws/4cKGdxJ
CFTC Staff Issues No-Action Letter Regarding Reporting and Recordkeeping Requirements for Fully Collateralized Binary Options
CFTC
The Commodity Futures Trading Commission today announced the Division of Market Oversight and the Division of Clearing and Risk have taken a no-action position regarding swap data reporting and recordkeeping regulations in response to a request from ForecastEx LLC, a designated contract market and derivatives clearing organization.
/jlne.ws/3y5X277
| | | | | | Strategy | | | Options traders flash rare bullish signal for small-cap stocks
Joseph Adinolfi - MaarketWatch
The options market is sending an encouraging message for small-cap investors.
Demand for bullish call options tied to the Russell 2000 and an exchange-traded fund that tracks the index has surged over the past few sessions, pushing these contracts to trade at a premium relative to bearish puts, according to Mandy Xu, head of derivatives-market intelligence at Cboe Global Markets.
/jlne.ws/3zDyG54
Vix Cash
Cboe (Video)
In #Vol411, Dan Deming @Djd551 covers 10-day and 30-day realized volatility, the #VIX futures roll market, events to watch out for next week and more.
/jlne.ws/3WqLPrq
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