| November 08, 2023 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Lead Stories | | | Investors spurn options hedges as U.S. stock rally crushes fear
Saqib Iqbal Ahmed - Reuters
Fear has plunged in the U.S. equity market following last week's explosive rally, and some options mavens are urging clients to stock up on portfolio protection while it's cheap.
The S&P 500 is up 6% from its October lows after notching its biggest weekly gain in nearly a year on expectations that the Federal Reserve is unlikely to raise interest rates further as it looks to engineer a so-called soft landing, where it is able to defeat inflation without badly hurting growth.
/jlne.ws/3QrZPNj
Goldman, GIC Differ on Whether Inflation Is Risk or Opportunity
Chanyaporn Chanjaroen and Haslinda Amin - Bloomberg
Inflation is the biggest risk to the global economy and that's providing opportunities for investors as policymakers grapple with their fight to rein in prices.
That's according to senior executives at banks and money managers speaking at the Bloomberg New Economy Forum in Singapore. While John Waldron, president and chief operating officer at Goldman Sachs Group Inc., said the key risk remains inflation, Lim Chow Kiat, CEO at GIC Pte, sees that as a chance to buy.
/jlne.ws/3QnAxzC
Neural joint S&P 500/VIX smile calibration
Julien Guyon and Scander Mustapha - Risk.net (Subscription)
Julien Guyon and Scander Mustapha simultaneously calibrate neural stochastic differential equations to Standard & Poor's 500 smiles, the Chicago Board Options Exchange's Volatility Index futures and VIX smiles. The drifts and volatilities are modelled as neural networks. Minimising a suitable loss allows us to fit the market data for multiple S&P 500 and VIX maturities. A one-factor Markovian stochastic local volatility model is shown to fit both smiles and VIX
/jlne.ws/475V96J
Big hedge funds pay 'silly' money, says founder of Europe's largest manager; Paul Marshall of Marshall Wace complains new platforms offer hires 'the same as Cristiano Ronaldo'
Kaye Wiggins and Harriet Agnew - Financial Times
The rise of multi-manager hedge funds has led to a "merry-go-round" of portfolio managers being offered "silly" amounts of money, according to the co-founder of Europe's largest hedge fund. Sir Paul Marshall, co-founder of Marshall Wace, told an investment conference in Hong Kong on Wednesday the dominance of multi-manager platforms had reshaped the industry because they were "paying incredible amounts of money to target people".
/jlne.ws/3FRq4aS
What would a U.S. debt crisis look like? Citi economist answers most pressing questions about $26 trillion Treasury market.
Joseph Adinolfi - MarketWatch
Volatility in the once-staid $25.7 trillion market for U.S. Treasury debt has exploded this year, driven in part by doubts about investors' ability to absorb a deluge of expected supply.
But should investors be worried about a debt crisis in the U.S.? And how much debt is "too much," anyway? A team of analysts at Citigroup led by Nathan Sheets, the bank's chief U.S. economist and a former Treasury Department official, tried to answer these questions, and others, in a recent report shared with Citi clients and MarketWatch.
/jlne.ws/40wVQ6v
Korea ADR Premium Over Local Shares Starts Vanishing on Nation's Shorting Ban; Stocks like KB Financial, LG Display among those seeing change; Short interest on Korean ADRs in New York jumped on Monday
Abhishek Vishnoi - Bloomberg
The premium that American depositary receipts of South Korean stocks have over their local counterparts is disappearing as the country's short-selling ban forces bearish investors to seek alternatives. Most of the Korean ADRs on the New York Stock Exchange, such as those of KB Financial Group Inc. and LG Display Co., are now available either at a discount to, or a similar price as, their local shares.
/jlne.ws/49uDebq
| | | | | | Exchanges | | | New Cboe CEO to Refocus Strategy on Less M&A
Shanny Basar - Traders Magazine
Fredric Tomczyk, the new chief executive of Cboe Global Markets, said his three priorities to strengthen the group and enhance shareholder value are strategic focus, effective allocation of capital and developing talent and management succession.
Tomczyk said on the third quarter results call on 3 November that he has been very close to the strategy as the group has expanded and into a global derivatives and securities network as a Cboe board member for the last four years.
/jlne.ws/3MBruKF
ICE Reports Record Open Interest Across Global Commodity and Energy Markets with Record Traded Volumes in Options During October
Intercontinental Exchange
Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced record open interest (OI) across its global commodity and energy futures and options markets, as well as record volume across commodity and energy options. On October 25, 2023, ICE hit record OI of 56.3 million contracts across commodities futures and options, including record OI of 51.5 million contracts in energy futures and options. Meanwhile, ICE reached record volume in commodity and energy options during October with approximately 16 million commodity options traded, including a record 14.3 million energy options.
/jlne.ws/40qKz81
Liquidity Provider Insights into EURO STOXX 50 Daily Index Options
Eurex
In late August, Eurex introduced daily PM-settled options expiring each day for five consecutive days on the EURO STOXX 50 (SX5E). The product specifications are in the table below. In addition to offering five consecutive days of expirations, end-of-month PM settled options are now also available for trading.
/jlne.ws/3swRwYn
Cboe VXTH Index Had 5-Year Gain of 98.6% and Did Well in a 60-40 Allocation
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/40z2KbI
Micro Henry Hub Futures Surpass 50,000 Contracts Traded
CME Group
CME Group, the world's leading derivatives marketplace, today announced that trading in its new Micro Henry Hub futures has surpassed 50,000 contracts since launching on November 6, 2023.
/jlne.ws/40wSqAF
Bank of England considers 'fundamental rules' for clearing houses
Reuters
The Bank of England said on Tuesday it was considering a set of "fundamental rules" for securities and derivatives clearing and settlement houses as it revamps UK regulation post-Brexit.
A new UK law approved earlier this year has given the BoE powers to write rules for clearing and settlement houses, which ensure a stock, bond or derivatives trade is safely concluded with ownership and custody swapped for cash.
/jlne.ws/3QQm2G8
| | | | | | Moves | | | Cboe's Natan Tiefenbrun takes on newly expanded role as president of North American and European equities; Tiefenbrun has previously held senior positions at: Bank of America Merrill Lynch, Turquoise, the London Stock Exchange, and Instinet.
Claudia Preece - The Trade
Cboe Global Markets has appointed leading industry figure Natan Tiefenbrun president of North American and European equities as part of the leadership changes announced last month, The TRADE can reveal. This new role expands on his previous position as president of Cboe Europe, now also overseeing North American cash equities. This took effect as part of broader leadership changes announced by Cboe in October, which included Adam Inzirillo, previous head of North American equities being appointed the new global head of data and access solutions.
/jlne.ws/3QOWt8g
Bybit Welcomes Sebastian Gawenda as Options Business Leader
Yahoo Finance
Bybit, the world's third most visited crypto exchange, is excited to announce the appointment of Sebastian Gawenda as its new options business leader, marking a significant stride in fortifying Bybit's position as a leader in the crypto options market. Indeed, Bybit pioneered the first USDC-settled options contracts for BTC and ETH in 2022.
/jlne.ws/3QOFL9g
| | | | | | Strategy | | | Cut Your Tax Bill by Doing This. Hurry, the Window Closes Soon.
Steven M. Sears - Barron's
Few investors truly understand options, which means that put and call trading patterns are cited whenever some pundit needs a fancy reason to explain why stocks rallied or declined. The more opaque the stock market appears, the truer it is.
/jlne.ws/40txL0m
S&P 500 Gamma Squeeze Loses Steam Above 4,375: What Comes Next?
Michael Kramer - Investing.com
Yesterday was a bizarre day; maybe it was election day, and the kids were home, or maybe it was because I slept in until 6:45 AM. I couldn't seem to get a feel for things, and that seemed mostly because there were a few big disconnects in the market.
We saw rates fall, the dollar rise, the VIX fall, and stocks rally. This has not been what has been happening for some time, and this is the first time I have seen this disconnect for months.
/jlne.ws/3shrQ29
Still Have Time
Cboe (Video)
In #Vol411, Joe Tigay @JoeTigay lets us know that #volatility appears to be lower today, the 2/10 yield curve seems to be getting closer to flat, the last two months of the year are usually seasonally good and more.
/jlne.ws/3u5r2xR
| | | | | | Miscellaneous | | | Optimism Grows With Affluent Americans as They Look to Turn Volatility to Opportunity, Survey Says
V.L. Hendrickson - Barron's
Although they are slowly starting to feel more optimistic about the economy, three out of five Wall Street Journal and Barron's Group readers are fighting inflation by reevaluating their portfolios, according to a recent study on consumer confidence conducted by WSJ Intelligence.
"We found that 18% say that the economy will get better in the next 12 months, compared to 12% last year," said Anaima Troncoso, a research analyst at WSJ Intelligence. "So we're seeing that slow progress...we also found that one in three of our readers feel optimistic about their household finances, a 50% increase from last year."
/jlne.ws/3u3sP6p
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