| October 16, 2018 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Lead Stories | | | Why Hedge Funds Will Stick With Ever-Risky Short Volatility Trades
Yakob Peterseil - Bloomberg
It's a familiar spectacle on Wall Street: the short-volatility complex takes a beating -- and prophets of doom warn money managers the strategy is running out of steam.
But the trade isn't going to be pounded into submission, even as late-cycle bears sharpen their claws and assets in passive products that bet against equity-price swings shrink to their smallest since 2013.
/bloom.bg/2EqbOce
Does Increased Volatility Mean The Bull Market Is Over?
Adam Sarhan - Forbes
The short answer is only time will tell. But when you step back and analyze the data, odds favor, this bull market has more room to run. The stock market has steadily rallied since 2009 making this the longest bull market in history. During that time, volatility has dried up considerably while the market has gone virtually straight up. When you step back and study history this type of one way low volatile market is an anomaly. Instead, it is perfectly normal to see the market rally with several bouts of volatility along the way.
bit.ly/2ErvAEl
Short Traders Mimic Cash Investors With Two-Way Bet on EM Stocks
Srinivasan Sivabalan - Bloomberg
Short traders are betting that a rebound in emerging-market equities will be confined to benchmark stocks, leaving shares of smaller companies to extend this year's losses.
Traders who profit from market declines have raised bearish wagers on the $46 billion iShares Core MSCI Emerging Markets Exchange-Traded Fund to a 20-month high on expectations the broader universe of stocks the fund invests in will continue its worst performance since 2015. But they have cut the short interest on the $29 billion iShares MSCI EM ETF, which only buys stocks in the benchmark gauge, to the lowest level since June.
/bloom.bg/2EryxEV
Volatility Is Here to Stay, Says Joule Financial's Tatro
Bloomberg (VIDEO)
Quint Tatro, founder of Joule Financial, discusses the current state of markets and his outlook for financials and tech.
/bloom.bg/2El3RFg
Investors gloomiest on world growth in decade, cut U.S. equity holdings
Helen Reid - Investing.com
Global investors have the most pessimistic outlook on the world economy since the 2008 financial crisis, according to Bank of America (NYSE:BAC) Merrill Lynch's monthly survey, which also showed a sharp fall in U.S. equity allocations.
The survey, released on Tuesday was conducted Oct. 5 to 11 and canvassed investors managing $646 billion. It showed investors remained overweight equities overall, though the 22 percent overweight was just marginally off the recent record low of 19 percent.
bit.ly/2ErzE7I
5 Reasons The Bull Market Remains Intact
Mark Kolakowski - Investopedia
The U.S. stock market's nosedive over the past week has sparked concerns among many investors that a long-feared bear market might finally be underway. The S&P 500 Index (SPX) is 6% below the all-time record high set during intraday trading on Sept. 21 as of the open of trading today. Goldman Sachs, however, says the firm is confident that the bull market remains intact. "Despite the recent sell-off, equity fundamentals are strong and we remain constructive on the path of the S&P 500," they write in their latest U.S. Weekly Kickstart report. Goldman's top reasons for continued bullishness are summarized in the table below.
bit.ly/2ErK5bg
Volatility up in Energy Markets
Jason Pfaff - Nadex
With the sharp movements in global stock indices, volatility across world markets is elevated across the board. In our opinion, if you consider all world markets together, this could be the most volatile week we have seen all year.
Nowhere is that more true than in US oil and natural gas markets.
bit.ly/2Eodqn1
| | | | | | Exchanges and Clearing | | | CME Group Achieves Asia Pacific Average Daily Volume of 726,000 Contracts in Q3 2018, Up 4 Percent from Q3 2017
CME Group
CME Group, the world's leading and most diverse derivatives marketplace, today announced that it achieved Asia Pacific quarterly average daily volume (ADV) of 726,000 contracts in the third quarter of the year, up 4 percent from the corresponding period last year. This was driven largely by a strong performance in Equity and FX products, up 41 percent and 36 percent respectively.
bit.ly/2Enk1Oj
CBOE Futures Exchange Amends and Reissues Guidance on ECRPs
Gary DeWaal - Lexology
Cboe Futures Exchange issued revised guidance on authorized exchange of contract for related position transactions - more commonly referred to as exchange for related position transactions on other derivative exchanges.
bit.ly/2Eo5KRJ
| | | | | | Technology | | | Trading Technologies Introduces TT OMS, a Full-Service Order Management System for FCMs and Brokers
Trading Technologies
Trading Technologies International, Inc. (TT), a global provider of high-performance professional trading software, today announced the launch of its new full-service order management system, TT OMS. TT OMS is a unique end-to-end solution that seamlessly integrates sophisticated order management capabilities with best-of-breed execution tools. It will be deployed via software-as-a-service (SaaS) through TT's global, high-speed network on an open platform designed with redundancy, failover and disaster recovery.
bit.ly/2EnIiUA
| | | | | | Strategy | | | Fischer Black was right. Somewhat; CFM quants show timing and extent of mean reversion using a highly data-intensive study
Nazneen Sherif - Risk.net
In a seminal paper published in 1986 called Noise, Fischer Black took the grim view that in the context of financial models, research would rarely lead to any reasonable conclusion because of the noise that creeps into observations.
He argued that because of the effect of noise, one can never really know how far away price is from value. Intuitively, however, he said an efficient market is one in which price and value are within a factor two - meaning the price is more than half of value and less than twice value.
Two was an arbitrary number here of course, but he added that although some might be sceptical of his views, "someday, these conclusions will be widely accepted".
bit.ly/2IYHPqK
****SD: The study used spot prices dating back to 1800 and futures prices on FX, bonds, commodities and indices since 1960.
ETF Investing During the Return of Volatility - Bloomberg
Bloomberg (VIDEO)
William Hobbs, head of investment strategy at Barclays, Bryon Lake, managing director and head of international ETFs at JP Morgan, and Wei Li, head of EMEA iShares investment strategy at BlackRock, speak to Bloomberg's Yakob Peterseil at the Bloomberg Invest ETF Summit in London about how investors can use passive vehicles to navigate the return of volatility.
/bloom.bg/2El333c
Crucial VXX Moving Average Jumps Back Into Play
Bernie Schaeffer - Schaeffer's Investment Research
It was just two short weeks ago in this space that we found ourselves looking askance at the state of the short volatility trade. And in the aftermath of last week's rapid-fire sell-off in stocks -- which was accompanied by the de rigueur spike in the Cboe Volatility Index (VIX) -- it's worth "assessing the damage" by way of a check-in with the iPath S&P 500 VIX Short-Term Futures ETN (VXX).
bit.ly/2EqsO2c
Share Markets: How India's Largest Hedge Fund Avendus Capital Deals With Volatility
Sajeet Manghat - BloombergQuint
Avendus Capital Public Markets, India's largest hedge fund, had shrugged off a surge in crude and a weaker rupee. Then defaults by Infrastructure Leasing & Financial Services Ltd. rocked the markets.
The current rout was triggered by liquidity concerns, according to Vaibhav Sanghavi, co-chief executive officer at Avendus Capital Public Markets. "When Nifty 50 was at 11,700 points, we still held on despite high valuations, rupee deprecation and macro headwinds. But the trigger point was what happened in the debt and credit market."
bit.ly/2Equsko
With more equity volatility on the horizon, what's an investor to do?
Bill Hoyt - CNBC
As the wise, old sage Yogi Berra once said, "When you come to the fork in the road, take it!"
That simple advice doesn't apply for today's investor, because the market offers several fork-in-the-road options for risk-minded individuals.
/cnb.cx/2EpU5Ss
U.S. Stocks- Blinders Verses Reality Led To Volatility
Andrew Hecht - Nadex
There have been bullish and bearish factors pulling the U.S. stock market in opposite directions for quite some time. However, equity prices had continued to climb as the market focused on optimism and ignored a rising tide of bearish factors.
bit.ly/2EyFYtQ
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