| August 01, 2018 | | | |  | Spencer Doar
Editor
John Lothian News | |
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| | | | Observations & Insight | | | RCM Alternatives Infographic - Top 100 Managed Futures Programs
****SD: RCM Alternatives put together this cool infographic covering the big players in managed futures. You're going to want to click the image to blow it up. Lots of details in there. The largest vol fund - Catalyst Hedged Futures Strategy from Catalyst Capital Advisors - comes it at 26th overall.
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Tuesday's Miscellany
Spencer Doar - JLN
On August 7, the FIA will host a webinar covering futures and options volume trends in the first half of 2018. You can register here.
According to Amir Khwaja of Clarus Financial Technology, initial margin for listed futures and options (options on futures) declined by 9 percent from March 2017 to March 2018.
The FOMC meeting is today. The communication thus far indicates a rate hike next month. The CME's FedWatch Tool puts the odds of a September hike at 90 percent.
I'm still keeping an eye on NYSE's new FANG+ index options in the wake of all this earnings activity. Doesn't look like any have traded yet today.
Zero commission equity and options brokerage Robinhood (a unicorn with an estimated worth north of $5 billion) continues to gun for the incumbents in the space, announcing today that it would make after hours trading available for free as well.
| | | | | | Lead Stories | | | Next stock market sell-off: Trigger for latest meltdown still in place
Joe Ciolli - Business Insider (SUBSCRIPTION)
In the aftermath of the February market correction  which saw the S&P 500 decline 11%  market liquidity dried up.
It was an understandable reaction following such a jarring event, which featured the implosion of multiple volatility-linked products , rattled investors to their core, and even led to a talent raid on Wall Street .
/jlne.ws/2AxJrae
****SD: This is another look at recent liquidity concerns as related to volatility.
Former High-Speed Trading Executives Allege 'Tyrannical Coup' at Quantlab
Bradley Hope - WSJ (SUBSCRIPTION)
A leadership fight has broken out over one of the world's most secretive and profitable high-frequency trading firms, pitting a beret-wearing mathematician against a former business partner and a Ukrainian physicist
The dispute in recent weeks has spilled into lawsuits that, for the first time, shed light on the inner workings of Quantlab Financial LLC, a Houston-based high-frequency-trading firm. A website for co-founder Wilbur "Ed" Bosarge Jr. says the firm accounts for between 3% and 10% of total daily volume on the venues where it trades.
/goo.gl/NcVaUi
****SD: So the question is, who wears a beret better: Tom Sosnoff or Wilbur Bosarge?
China Debt-Market Optimism Is About to Be Put to the Test
Bloomberg (SUBSCRIPTION)
Recent optimism in China's debt market will soon be put to the test, with investors able to demand early repayment for as much as 544.7 billion yuan ($80 billion) of debt by year-end.
The amount of local bonds with put options that hit trigger points in the coming five months comes to almost 1.4 times the tally from January to July, according to data compiled by Bloomberg.
/jlne.ws/2MajfE3
****SD: We've known for a while that when it comes to puttable Chinese bonds, the proverbial stuff is going to hit the fan.
5 Questions with Kevin Muir of The MacroTourist
Brian Mehta - Trading Technologies
We're happy to feature a long-time user of Trading Technologies software in this edition of our "5 Questions with..." blog series. Kevin Muir has used TT on three fronts: as an institutional sell-side broker, as a prop trader managing his own account and now as a fund manager.
/jlne.ws/2M7AYM5
****SD: Muir has an options story in here.
The stock market just experienced the most seismic shift from growth to value since Lehman Brothers, says Nomura
Mark DeCambre - MarketWatch
Some of the most popular bets in the U.S. stock market have gotten pummeled in recent days, leading one analyst on Wall Street to declare it one of the biggest rotations from growth stocks into value stocks since the aftermath of the bankruptcy of Lehman Brothers back in mid September 2008.
/jlne.ws/2M9S10n
****SD: It's a 4 standard deviation move.
Interactive Brokers Group Reports Brokerage Metrics and Other Financial Information for July 2018, Includes Reg.-NMS Execution Statistics
Markets Insider
Interactive Brokers Group, Inc. an automated global electronic broker, today reported its Electronic Brokerage monthly performance metrics for July.
/jlne.ws/2AsMYGR
****SD: IB's average equity options order was for 7.6 contracts with an average commission of $5.18.
| | | | | | Exchanges and Clearing | | | Swaps Data: OTC Margin Up, Futures Margin Down
Amir Khwaja, Clarus FT - Risk.net
There were surprises and mysteries in the latest set of quarterly quantitative disclosures from derivatives clearing houses.
In the 12 months leading up to the end of March, the amount of initial margin consumed by interest rate swap clearing houses jumped 22%. But, here's one surprise: IM for listed futures and options declined 9% over the same period. That's not easy to explain when some of the biggest contracts in the listed market, such as CME's Eurodollar interest rate futures, have been posting record volumes.
/goo.gl/6gLHFc
Change to Final Trading Date for MSCI EAFE and MSCI Emerging Markets Index Options
Matt Moran - Cboe Blog
In regard to the Cboe's large-sized, cash-settled MSCI EAFE and MSCI Emerging Markets Index options, Cboe recently issued two notices with changes for the index options: June 2018 - Cboe Notice on Selection of MSCI Lead Market-Maker; July 2018 - Cboe Notice on Change to Last Trading Date and Symbol for MSCI EAFE and MSCI Emerging Markets Index Options.
/jlne.ws/2M93IV3
****SD: In case you missed the news, Russell Rhoads left the Cboe after nearly 10 years for Tabb Group this week.
Trading Statistics July 2018
Nasdaq
Cleared derivatives volume increased by 1.1% to a daily average of 332,744 contracts, compared with 329,196 contracts in July 2017.
/jlne.ws/2AxDeLs
At a glance: Eurex results in Q2 and in the first six months 2018
Eurex
Whilst trading volumes of equity index derivatives clearly increased during the first quarter of 2018 due to higher equity markets volatility, it was trading in interest rate derivatives that markedly rose during the second quarter of 2018.
/jlne.ws/2LGnXgt
EEX Achieves Significant Increases In Power Derivatives, Emissions And Agriculturals
Mondovisione
In July 2018, the European Energy Exchange (EEX) increased volumes on its power derivatives markets by 46% to 213.8 TWh (July 2017: 146,2 TWh).
/jlne.ws/2Mc5Gno
| | | | | | Moves | | | Top Morgan Stanley electronic trading executive Brian Gallagher has left the firm
Frank Chaparro - Business Insider Prime (SUBSCRIPTION)
A top electronic trading executive at Morgan Stanley has left the firm after 15 years, according to people familiar with the matter.
/jlne.ws/2AwLH1j
| | | | | | Strategy | | | Some FANG stocks are beaten down, but tech still looks good: BTIG
Keris Lahiff - CNBC
Fears of a widespread tech wreck have been greatly exaggerated, says BTIG's chief equity and derivatives strategist Julian Emanuel.
/jlne.ws/2AwDL09
Hunt for Yield Is Recharging the Global Credit Supercycle
Sid Verma and Luke Kawa - Bloomberg (SUBSCRIPTION)
...Appetite for options that pay off amid declines has surged for the $16 billion iShares High Yield Corporate Bond ETF, ticker HYG. Put open-interest hovers near a 17-month high versus bullish options, data compiled by Bloomberg show.
/jlne.ws/2M69VRp
4 Lessons From the Richest Woman In Wall Street History
Nick Maggiulli - Of Dollars And Data
I know you've heard the names John D. Rockefeller, Andrew Carnegie, and J.P. Morgan, but what about Hetty Green? Hetty stood as the lone woman among the titans of the Gilded Age, and upon her death in 1916 she was worth $100 million. This sum was roughly equivalent to 1/500 of U.S. GNP at the time, placing her 36th on the list of the 100 wealthiest Americans ever and the only woman in the top 100. For comparison, John D. Rockefeller, the richest person in U.S. history, had a net worth of $1.4 billion in 1937 (or 1/65th of U.S. GNP at that time).
/jlne.ws/2M8uc96
****SD: A bit different from the usual stories in "Strategy" but hey, let's give Hetty Green her due, even if it is 100 years late.
| | | | | | Events | | | Cboe to Host First-Ever Risk Management Conference Tel Aviv in November
Cboe
Cboe Global Markets, Inc. will host the first-ever Cboe Risk Management Conference (RMC) Tel Aviv on Tuesday, November 6, at the InterContinental Hotel David in Tel Aviv, Israel. Cboe is pleased to bring its premier educational event to Tel Aviv for the first time to be able to meet the growing demand seen throughout the region.
/jlne.ws/2AxzKZo
| | | | | | Miscellaneous | | | Elon Musk trolls David Einhorn: Sending 'a box of short shorts'
Michael Sheetz - CNBC
David Einhorn's hedge fund Greenlight Capital said the firm's bet against Tesla shares "was our second biggest loser" in the most recent quarter. The billionaire also said in the Greenlight letter he was "happy that his Model S lease ended" and was replacing the car because of problems with the technology.
Tesla CEO Elon Musk seized the opportunity on Twitter, retorting that he would send Einhorn "a box of short shorts to comfort him through this difficult time."
/jlne.ws/2AH0OFR
****SD: So many people have started to mention Musk's erraticism in their analysis of the company - should he still be trolling on Twitter? Tesla has earnings today, too. I don't put much stock (okay, I guess that's a heavy-handed pun) in buy/hold/sell rankings, but Tesla is one of those companies where it's an almost even division of opinion across all three. FT Alphaville (access with free registration) will be live blogging Tesla's earnings.
Did the Federal Reserve Trigger the FAANG Slide?
Randall W. Forsyth - Barron's
Money makes the mare go, according to old English proverb, but more importantly, money makes the markets go. And it's far from an original observation that the money created through the securities purchases by the Federal Reserve and other central banks has inflated the value of risk assets such as stocks, which, after all, was the aim of so-called quantitative easing.
/jlne.ws/2Ma4e4Z
Bears and short-sellers dare not wade into China's equity slump for fear of regulator's wrath
Zhang Shidong - South China Morning Post
A curious thing is happening in Chinese stocks, as the benchmark index of Asia's largest bourse hurtles toward the worst bear market slump since 2015: the short-sellers are nowhere in sight.Short interest was a minuscule 0.8 per cent of outstanding long interests on July 25, according to China Securities Finance's data, which means there are far fewer investors betting on the declining market than traders who are invested in advancing prices.
/jlne.ws/2AspRw5
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