Lead Stories

Russell Investments Introduces New Russell Volatility Control Index Series
New indexes allow investors to set a desired level of risk to help better manage global market volatility.
Seattle, WA, March 5, 2012 — Russell Investments today is introducing a series of equity indexes to help investors more effectively measure volatility in today’s increasingly challenging and dynamic market environment. The new series of indexes draws on Russell’s industry-leading index methodology to enable clients to tailor their investments to a specific level of desired risk.
The new Russell Volatility Control Index Series is designed to help investors replicate a targeted volatility investment strategy by representing equity market returns with a dynamic allocation between an underlying Russell index and a cash investment. The result is an index designed to limit risk in times of heightened market volatility and allow maximum investment in the market during periods of low volatility. And, importantly, the index can be fully customized, so clients can target a precise level of desired risk exposure for any Russell global or U.S. equity index.

Russell, Nasdaq OMX each launch index series
Pensions & Investments: March 5, 2012
Russell Investments on Monday introduced an index series to help investors better manage global equity market volatility, while Nasdaq OMX Group teamed with Axioma to launch a series of indexes that use equities to provide exposure to the spot prices of commodities.
The Russell Volatility Control Index Series, applied to any Russell U.S. or global index, helps “investors build a volatility-responsive asset allocation through an index-based investment strategy,” according to a Russell statement.  The new Russell series is “designed to limit risk in times of heightened market volatility and allow maximum investment in the market during periods of low volatility,” the statement said.
http://jlne.ws/AhPJqW

VIX Rises With S&P 500 Index by Most Since 1996: Options
By Cecile Vannucci and Nikolaj Gammeltoft – Mar 4, 2012 6:01 PM CT
U.S. stocks and the price of protection against losses are rising in unison more frequently than at any time since 1996, as investors anticipate the end of the biggest Standard & Poor’s 500 Index rally in two decades.
The Chicago Board Options Exchange Volatility Index and S&P 500 increased together on 23 percent of days in January and February, the most during those months in 16 years, according to data compiled by Bloomberg. In the 22-year history of the VIX, as the options gauge is known, the two indexes climbed at the same time on only 12 percent of days, the data show.
http://jlne.ws/wnCdSF

A Contrarian View on Fear
By CHRIS DIETERICH, WSJ.com
Some Investors Say Surge in VIX Futures Volumes Driven by Bigger Risk Appetites
Stock bulls are drawing support from an unlikely corner: the market for fear.
Amid a debate over whether stocks will keep rising, investors are piling into futures contracts on the Chicago Board Options Exchange Volatility Index, known as the VIX. Daily trading volume last month was the second highest on record, at 1.34 million contracts, up 65% over January. Trading volumes on the VIX are up 65% over January. Above, a trader at the CBOE’s VIX pit last year.
The record was set in August, when the market was roiled by fears over Europe’s sovereign-debt crisis and a downgrade of the U.S.’s credit rating. But unlike that time, this latest surge has coincided with a period of strong gains for stocks. The Standard & Poor’s 500-stock index is up 8.9% this year, near a four-year high, and the Dow Jones Industrial Average this week closed above the 13000 level for the first time since May 2008.
http://jlne.ws/Ambb2x

Yuan Volatility Jumps on Currency’s Trading Band Outlook: China Overnight
Bloomberg
By Ye Xie and Belinda Cao – Mar 5, 2012
Bets on swings in the yuan surged and Chinese stocks fell in the U.S. as policy makers signaled they may allow greater flexibility in the currency and the government cut its growth target to the lowest level since 2004. Implied volatility on one-month options for the yuan versus the dollar rose nine basis points, the most since December, to 1.87 percent in New York trading after Xinhua News Agency cited People’s Bank of China Governor Zhou Xiaochuan saying the nation may “appropriately” widen the currency’s trading band. The Bloomberg China-US 55 index of the most-traded Chinese stocks in New York slid 2 percent as Premier Wen Jiabao reduced the growth goal to 7.5 percent from 8 percent over the past seven years.
http://jlne.ws/xxOUPQ

Why Trading in VIX ETFs is Surging
ETF Trends
March 5th at 7:15am by Paul Weisbruch, Street One Financial
Trading in futures contracts based on the CBOE Volatility Index, or VIX, is near record levels along with exchange traded products linked to Wall Street’s “fear gauge.”
From a fund flows standpoint, Volatility based products were once again in play, as iPath S&P 500 VIX Short Term Futures ETN (NYSEArca: VXX) took in an impresive $600 million plus in new assets last week, which is approximately 30% of the total assets outstanding in the fund. [Trading in Volatility ETF Ramps Up]
http://jlne.ws/xCWEJ6

Exchanges

BATS Equities and Options Market Share Off Slightly In February
Traders Magazine Online News, March 5, 2012
BATS Global Markets reported its U.S. equities matched market share totaled 10.9 percent in February, off slightly from 11.1 percent in January, but still up from 10.7 percent a year ago. The exchange operator saw an average daily matched volume of 757.5 million shares.
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In January, BATS saw an average daily matched volume of 766.6 million shares. BATS Options saw its matched market share come in at 2.8 percent in February, just off from the 3.0 percent seen in January, but up from the 1.7 percent level achieved one year ago. Average daily matched volume was 483,306 contracts.
The options exchange had an average daily matched volume of 483,050 contracts in January.
http://jlne.ws/A6wYCw
CME Signs MoU with Bank of China
By: Zacks Equity Research
Last week, CME Group Inc. (CME) and Bank of China signed a Memorandum of Understanding (MoU) to look at possible business collaboration opportunities, particularly in commodities futures and options trading. Additionally, the two institutions will help each other through investor education, employees training and product marketing.
Consequently, CME group will train the employees of Bank of China’s subsidiary – BOCI Commodities & Futures Limited (“BOCI”). Additionally, the exchange will share information on investor education and business development to help BOCI in expanding its product portfolio.
http://jlne.ws/y9HjhG

Strategy

ETF Spotlight: Buy-Write Strategy
March 5th at 10:30am by Tom Lydon, ETF Trends
ETF Spotlight on PowerShares S&a
mp;P 500 BuyWrite Portfolio ETF (NYSEArca: PBP), part of an ongoing series.
Assets: $116.5 million.
Objective: The PowerShares S&P 500 BuyWrite Portfolio fund is based off the CBOE S&P 500 BuyWrite Index. The Fund will hold a 80% or more of its assets in common stocks of the 500 companies on the S&P 500 Index and writes, or sells, call options. Specifically, the fund sells one-month at-the-money S&P 500 call options against the portfolio at regular intervals.
http://jlne.ws/zG61Om

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