| August 02, 2018 | | | |  | Spencer Doar
Editor
John Lothian News | |
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| | | | Observations & Insight | | | Options Exchange Market Share for July (via OCC)
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OCC Cleared Contract Volume Up 15 Percent in July
OCC
OCC, the world's largest equity derivatives clearing organization, announced today that total cleared contract volume in July reached 373,984,999 contracts, up 15 percent compared to July 2017 volume of 324,718,888. OCC's year-to-date average daily cleared contract volume is up 21 percent with 20,551,805 contracts compared to 17,045,133 contracts in 2017.
/jlne.ws/2OBMIbF
| | | | | | Lead Stories | | | Regulators Probe Options Market's Major Clearinghouse
Gunjan Banerji and Dave Michaels - WSJ
The probes from the Securities and Exchange Commission and Commodity Futures Trading Commission include concerns that Options Clearing Corp. failed to accurately forecast how much cash would be needed to cover trading losses triggered by a spike in volatility last February, some of the people said.
/jlne.ws/2O2DZhq
****SD: Recall the recent stories from Risk.net regarding margin calls - the OCC "reported 38 margin breaches with an average size of $61.4 million in the first quarter of this year. It is the largest average size since public disclosures began in the third quarter of 2015." But OCC's new modelling framework was just approved at the end of July. So if "deficiencies" are found - and regulators are just examining procedures at this juncture - it appears that OCC already has some mechanisms in the works to remedy the issue.
Algo trading scam and Ajay Shah's NSE links
Palak Shah - Hindu Business Line
"But you have to swear everyone to silence on the fact that the data that we are getting out of NSE for VIX (volatility index) and LIX (liquidity risk index) is being used for algorithmic trading work  it would be a severe problem if this fact comes to light since NSE has not given anyone else this data," Ajay Shah, a consultant to the Finance Ministry during the Congress-led UPA regime, wrote in a 2009 email.
Though the addressee is not clear, the email is part of a SEBI report that indicts Shah for his role in the co-location and algo trading scam that rocked the NSE between 2010 and 2016.
/jlne.ws/2Mdgfqg
****SD: Shah's response: "The last sentence, 'NSE has not given anyone else this data', is factually wrong, as this data goes out through numerous channels (Reuters, Bloomberg, CTC, NEAT). What was unique about us was that these files were coming out conveniently as .csv files for research. I was exaggerated in my expression in order to achieve extreme emphasis."
GAM's Bond Fund Distress Leaves Asset Manager Mulling Future
Patrick Winters - Bloomberg (SUBSCRIPTION)
About 7.3 billion francs frozen after fund manager suspended; Board 'considering all avenues to optimize shareholder value'
GAM Holding AG Chief Executive Officer Alex Friedman must be hoping bad luck comes in threes.
/goo.gl/4zH3A1
****SD: Add GAM to the "struggling bond fund with derivatives exposure" category alongside Bill Gross' Janus Unconstrained Fund. It is funny to take a look at this February note from Tim Haywood, the GAM manager who oversaw the firm's second biggest strategy and was suspended over issues with his risk management - Eight Reasons to Be Fearful for the Bond Market
| | | | | | Exchanges and Clearing | | | CME Group Changes FX Options Expiration Time to Align with OTC Market Conventions
CME Group
CME Group, the world's leading and most diverse derivatives marketplace, will change the time its FX options expire to 10 a.m. ET. This change will begin with contracts expiring after June 9, 2019. Clients across time zones will be able to trade listed options that expire at the same time as most over-the-counter (OTC) contracts.
/goo.gl/YDzcfg
Strong month for Eurex' Equity segment
Eurex Exchange
...Eurex' recently launched EURO STOXX 50 options with month-end expirations had a successful start with nearly 40,000 traded contracts. Introduced on 9 July, the product is another part of our buy-side initiative as it meets the needs of insurers and other market participants that offer pension schemes linked to the performance of the EURO STOXX 50 index.
/goo.gl/6UV6md
Cboe Global Markets Declares Increased Third-Quarter 2018 Dividend; Announces Increase in Share Repurchase Authorization
Cboe
Cboe Global Markets, Inc., one of the world's largest exchange- holding companies, today announced its Board of Directors has declared an increased quarterly cash dividend of $0.31 per share of common stock for the third quarter of 2018, representing a 15 percent increase compared with the prior quarter's dividend of $0.27 per share, and increased its share repurchase authorization by $100 million.
/goo.gl/3odg5h
****SD: Cboe stock has been unable to recover from its initial tumble after the spotlight was put on the VIX complex due to February's vol explosion and manipulation lawsuits. That has all led to concerns about revenue declines from decreased VIX futures and options trading (and related VIX products). The stock fell from a ~$135 high to $107 in February, recovered to $124 by early March and is now ~$95. In other Cboe news - Cboe Europe Reports Record Month for Cboe LIS.
Intercontinental Exchange Approves Third Quarter Dividend of $0.24 Per Share
ICE
Intercontinental Exchange (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, announced today a $0.24 per share dividend for the third quarter of 2018.
/jlne.ws/2AKBYVB
| | | | | | Technology | | | Coinmarketcap Launches Professional API and Adds Derivatives Markets
Bitcoin News
Coinmarketcap (CMC), the popular cryptocurrency markets tracker portal, has launched a professional-grade API for aggregated market data and added support for derivatives markets as part of a major quarterly overhaul of its operations.
/goo.gl/h4s4Ex
| | | | | | Strategy | | | Bull market in stocks could be in 'last innings' as bears set sights on strongest sectors
Ryan Vlastelica - MarketWatch
A long-running bull market in stocks may be about to enter its final inning.
Morgan Stanley reiterated its cautious view on equities, arguing that a "rolling bear market" wasn't yet over, and that it could soon impact the parts of the market that have been holding up successfully.
/jlne.ws/2vdd6An
Trade-war fears aren't really rattling investors, going by these gauges
Victor Reklaitis - MarketWatch
Get ready for more chatter about a potential global trade war, thanks to the Trump administration confirming that it may double down on its proposed tariffs on China.
"What was at first a trade skirmish," writes economist Joseph Stiglitz, "appears to be quickly morphing into a full-scale trade war."
/jlne.ws/2ODb1WE
Tesla Options Suggest Bearish Sentiment Growing Ahead of Results
Gregory Calderone - Bloomberg (SUBSCRIPTION)
Bloomberg's David Welch previews the latest earnings report from Tesla.
Investors anxiously awaiting Tesla's second quarter results may have already shown their hand as the stock has dropped 20 percent since trading to a 2018 high on June 18. Over that same time frame the put-to-call ratio hit a near-term peak, fell and then rose again over the last three weeks.
/goo.gl/ZMrNda
****SD: Well, we know how this turned out.
| | | | | | Education | | | How to Use a VIX ETF in Your Portfolio
Nathan Reiff - Investopedia
When it comes to investing, volatility is a critical measure to consider. The Chicago Board Options Exchange (CBOE) is known for its Volatility Index, also called VIX. VIX is generated from the implied volatilities on index options for the S&P 500, and it shows the market's expectation of 30-day volatility. Known also as the "fear index," among other similar names, VIX is commonly used as a measure of investor confidence in the market, or, conversely, as a way of gauging how fearful market participants are that volatility will plague the space. The VIX tends to be largely based on stock market reactions; for instance, when the prices of stocks fall, VIX tends to increase, often to an exaggerated degree.
/jlne.ws/2vd8URg
FX Options webinar: Volatility term structure
TradingFloor.com
Saxo Bank's Head of FX Options Dan Juhl-Larsen shares his insights and experience trading FX options and looks at the opportunities on offer in the market.
/jlne.ws/2AKIGLh
| | | | | | Miscellaneous | | | Apple hits $1 trillion market cap
Sara Salinas - CNBC
Apple hit a $1 trillion market cap on Thursday, making the iPhone maker the first publicly traded U.S. company to reach the record valuation.
The stock rose nearly 3 percent following a strong third-quarter earnings report earlier this week, briefly hitting a session high of $207.05 in midday trading before falling back below $207.
/jlne.ws/2va4haA
****JB: This must be a hard day for Ronald Wayne, who helped found Apple Computer back in the '70s. He sold his 10 percent share back to Steve Jobs and Steve Wozniak for $800 (and he got another $1500 to relinquish any future claims). Had he held on to it, today he would be worth $100 billion and the second wealthiest man in the world.
BOJ Takes the Fight to Bond Traders With Surprise Purchase
Bloomberg (SUBSCRIPTION)
The Bank of Japan is showing just what it means by being flexible with bond purchases.
/jlne.ws/2MddqWp
Brexit Doesn't Automatically Mean Rate Cuts, Carney Says
Jill Ward - Bloomberg (SUBSCRIPTION)
Brexit doesn't necessarily mean that interest rates will need to be cut, according to Bank of England Governor Mark Carney.
In response to a question as to why the bank was raising interest rates while there's still so much uncertainty, Carney said that officials "can't be handicapped or tied by the range of Brexit possibilities."
/jlne.ws/2McOiz4
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Editor
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