| March 07, 2023 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
|
| | | | Lead Stories | | | JPMorgan Spells Out 'Volmageddon' Risk on Zero-Day Option Craze
Lu Wang - Bloomberg
JPMorgan Chase & Co. strategists are throwing fresh light on their contentious warning that the craze for zero-day options raises the risk of a market-wide "Volmageddon 2.0." In a new study, a 5% drop in the S&P 500 is seen snowballing another 20% in the worst-case scenario of thin trading, in the extreme event all traders offload their holdings of zero-day-to-expiration options, known as 0DTE.
/jlne.ws/3mxzZft
0DTE options could turn 5% intraday market decline into 25% rout -JPMorgan
Ankika Biswas and Medha Singh - Reuters
Trading in new near-dated U.S. options contracts can supercharge volatility in U.S. stocks, potentially leading to tremendous intraday declines, analysts at JPMorgan said.
The U.S. equity options market has seen a rise in the trading of options contracts set to expire at the end of the trading day - dubbed 0DTE (zero day to expiry) options - with their daily notional value rising to about $1 trillion, according to JPMorgan data.
/jlne.ws/3YnsSUd
Japan BOJ: Volatility Risks Rise as Kuroda's Era Draws to a Close
John Authers - Bloomberg
It's far too easy to declare the end of an era, but in Japan it really looks as though momentous change is afoot. Later this week, a few hours before the US reveals February unemployment, Haruhiko Kuroda will preside over his last meeting as governor of the Bank of Japan. He has been a force of stability in a country that has arguably had too much of it, and his departure will require the world of finance to adjust some deeply held assumptions.
/jlne.ws/3yonHsg
Farmer sentiment dips in February
CME Group
The Purdue University/CME Group Ag Economy Barometer dipped 5 points to a reading of 125 in February. Farmers' perspectives regarding both current conditions on their farms and their expectations for the future also weakened. The Index of Current Conditions fell 2 points to 134 and the Index of Future Expectations declined 6 points to 121. 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 February 13-17.
/jlne.ws/3kUtsuQ
| | | | | | Exchanges | | | CME Group to Launch Offshore Renminbi Options on April 3
CME Group
CME Group, the world's leading derivatives marketplace, today announced that it will launch options on its existing U.S. Dollar / Offshore Chinese Renminbi (USD/CNH) futures on April 3, pending regulatory review. "Offshore Renminbi has become a core part of global FX trading and we're delighted to offer these options contracts to help clients manage currency risk as China resets its economy during this period of reopening." said Paul Houston, Global Head of FX Products, CME Group.
/jlne.ws/3IXwdU4
Miami International Holdings Reports Trading Results for February 2023; Volume Reaches Record Daily Market Share of 18.13% in Multi-Listed Options and 1.57% in U.S. Equities
MIAX
Miami International Holdings, Inc. today reported February 2023 trading results for its U.S. exchange subsidiaries - MIAX , MIAX Pearl and MIAX Emerald (together, the MIAX Exchange Group), and Minneapolis Grain Exchange (MGEXâ¢). February 2023 Trading Volume Highlights. Total U.S. multi-listed options market share for the MIAX Exchange Group reached 16.8%, a monthly record and an 18.2% year-over-year (YoY) increase. Total multi-listed monthly volume reached a record 137.1 million contracts, a 27.6% YoY increase.
/jlne.ws/3YqKoH4
February 2023 figures at Eurex
Eurex
OTC Clearing and Repo volumes continued their upward trend. Repo Market volumes nearly doubled to EUR 209.8 billion y-o-y. Notional outstanding in OTC clearing up 21 percent. Eurex, Europe's leading derivatives exchange, reports 146.1 million traded contracts in February in its listed business, 12 percent less compared to February 2022. Interest rate derivatives went down by 7 percent year-on-year in February from 65.6 million to 61.4 million. Index derivatives decreased by 14 percent, from 78.8 million to 67.9 million contracts traded. Trading in equity derivatives fell by 23 percent compared to February 2022, from 21.7 million to 16.7 million contracts.
/jlne.ws/41NkVdE
Changes In Operating Principles Of Derivatives Market
Borsa Istanbul
The following changes will be valid as of March 10, 2023: Brokers will be authorized to create flexible contracts and enter trade reporting; The constant parameters (k) used to calculate daily price limits of Intermonth Strategy Orders for BIST 30 Index futures contract will be updated to 75; Trade reporting minimum and maximum quantity and minimum and maximum order quantities for single stock futures and options contracts will be updated...
/jlne.ws/3YrMnL6
| | | | | | Regulation & Enforcement | | | An Update to our Tick Reform Proposal
Cboe
I hope you're doing well and are excited to be one step closer to Spring and, hopefully, warmer weather. I'm reaching out to let you know that Cboe recently submitted into the Securities and Exchange Commission's (SEC) comment file for the Proposal on Regulation NMS: Minimum Pricing Increment, Access Fees and Transparency of Better Priced Orders, a re-introduction of the tick framework we proposed last year with refreshed data from fourth-quarter 2022.
As you may recall, our tick reduction framework objectively identified tick-constrained securities and showed that applying a ½ cent tick to those securities would allow the marketplace to more safely understand and process the implications of tick reform before making sweeping changes that could introduce operational complexity and risk. The refreshed framework is flexible, with parameters that can be adjusted to increase the number of identified symbols.
/jlne.ws/3yjSUNj
Crypto Scams: SEC Orders Emergency Asset Freeze Over Alleged $100M Ponzi Scheme
Zahra Tayeb - Markets Insider
A Miami-based crypto firm was hit by an emergency asset freeze for allegedly running a $100 million Ponzi scheme that paid for the co-founder's life of luxury.
On Monday, the Securities and Exchange Commission took action against BKCoin and its co-founder Kevin Kang for raising millions of dollars and using some of it "to make Ponzi-like payments."
/jlne.ws/3kNtFA5
What to Watch as Grayscale (GBTC) and the SEC Meet in Court Over ETF Conversion
Katherine Greifeld and Vildana Hajric - Bloomberg
The crypto world's eyes will once again turn to Washington on Tuesday as oral arguments begin in Grayscale Investments's lawsuit against the US Securities and Exchange Commission. The case is being argued in the D.C. Court of Appeals.
The drama centers on the $14.8 billion Grayscale Bitcoin Trust, which has for two years been trading at a steep discount to the cryptocurrency it holds. That dislocation has been a point of pain for a beleaguered industry, and at times sparked a wave of distress among leveraged investors who piled into the trust to exploit a once-widely used trade. Over the past five years, the Bitcoin trust, which trades under the symbol GBTC, has lost more than 25% compared with a 126% gain for Bitcoin, according to data compiled by Bloomberg. Since the end of 2015, the year it listed, the trust is up more than 19-fold on a total return basis.
/jlne.ws/3J0gIe4
| | | | | | Strategy | | | A bet on short-term Treasury futures may be your best play on interest rates and inflation, inventor of bond-volatility gauge says
Barbara Kollmeyer - MarketWatch
How high will rates go to battle inflation is one question investors hope to get answers to when Fed Chairman Jerome Powell makes a Capitol Hill appearance on Tuesday.
Recent signals of a resilient economy have led some to expect the Fed chief will hint about rates staying higher for longer. While Friday's jobs data may loom larger for markets, some Powell-driven action definitely can't be ruled out, hence largely flat stock action this morning.
/jlne.ws/3SSsM5T
Traders Seeking Upside VIX Protection
Cboe (Video)
In #Vol411, Tim Biggam @Delta_Desk runs through today's $VIX & $SPX #options action following hawkish statements from Federal Reserve Chair Jerome Powell this morning.
/jlne.ws/3SVmi62
| | | | |  | | | | JLN Options is sponsored by: | | | | | |  |  |  |  | | | | | |  |  |  | | |
|
|
| | | |
| | | | 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
Publisher | | | Sarah Rudolph
Editor-in-Chief
| | | Jeff Bergstrom
Editor
| | |
|
|
| |
Disclaimer: All John Lothian Newsletters, JohnLothianNews.com, MarketsWiki.com and MarketsReformWiki.com are products of John Lothian News, a division of John J. Lothian & Company, Inc. The opinions expressed in all John J. Lothian & Company, Inc. publications are strictly those of their respective editors. They are intended solely for informative purposes and are not to be construed, under any circumstances, by implication or otherwise, as an offer to sell or a solicitation to buy or trade in any commodities or securities herein named. Information is obtained from sources believed to be reliable, but is in no way guaranteed. No guarantee of any kind is implied or possible where projections of future conditions are attempted. Security futures are not suitable for all customers. Futures and options trading involve risk. Past results are no indication of future performance. Nothing on any John J. Lothian & Company site should be considered an endorsement by any sponsor of any website or newsletter content.
© 2023 John J. Lothian & Company, Inc. All Rights Reserved. |
|
|
