Lead Stories

OCC Announces Average Daily Cleared Contract Volume Fell 6% in September, Futures and Securities Lending Activity Jumped Higher
Press Release
OCC announced average daily cleared contract volume in September was 17,570,113 contracts, a 6 percent decline from September 2011. Total cleared contract volume reached 333,832,141 contracts for the month, representing a 15 percent decline from the September 2011 volume of 394,148,808 contracts. OCC’s year-to-date total contract volume is down 14 percent with 3,058,201,355 contracts in 2012.
Options: Average daily options trading volume in September was 17,348,823 contracts, 7 percent lower than September 2011. Total options trading volume for the month reached 329,627,631 contracts, a 16 percent decline from September 2011, which had 2 more trading days. Year-to-date options trading volume is down 14 percent with 3,031,485,451 contracts.
http://jlne.ws/PovlV9

OIC Announces Average Daily Options Trading Volume Declined 7 Percent in September
Press Release
The Options Industry Council (OIC) announced today that 17,348,823 contracts were traded on average each day in September, a 6.9 percent decline from the 18,630,087 contract average in September 2011, and the highest average recorded since February.
Total options trading for the month was 329,627,631 contracts, down 15.7 percent from the September 2011 volume of 391,246,939 contracts. September 2011 had two more trading days than September 2012.
http://jlne.ws/SAlR9S

ISE Reports Business Activity for September 2012
Press Release
The International Securities Exchange (ISE) today reported average daily volume of 2.7 million contracts in September 2012. This represents a decrease of 18.4% compared to September 2011. Total options volume for the month was 50.8 million contracts. ISE was the second largest U.S. equity options exchange in September with market share of 18.2%*.
http://jlne.ws/Swo624 (PDF)

CBOE Holdings Reports September 2012 Consolidated Trading Volume: 92.9 Million Total Contracts; 4.9 Million Contracts ADV
Press Release
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that September 2012 consolidated trading volume for options contracts on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2SM) and futures contracts on CBOE Futures Exchange (CFE), totaled  92.9 million contracts.
– September 2012 average daily volume (ADV) for the three exchanges, combined, was 4.9 million contracts, a two-percent decrease from 5.0 million contracts ADV in September 2011, and a 23-percent increase from nearly 4.0 million contracts ADV in August 2012.
– Year to date through September, consolidated ADV for the three exchanges was 4.7 million contracts, down seven percent from 5.0 million contracts ADV for the same period a year ago.
http://jlne.ws/QmBy6B

U.S. Options Trading Falls 16% in September From a Year Earlier
Nikolaj Gammeltoft, Bloomberg
U.S. options volume fell 16 percent in September from the same month in 2011 as 329.6 million contracts traded, the Options Industry Council said today.
http://jlne.ws/SAo7hf

Trading Activity In VIX Futures Spurs CFE To Busiest Month In History
Press Release
The CBOE Futures Exchange, LLC (CFE) announced today that September 2012 was the most-active trading month ever for futures on the CBOE Volatility Index (VIX).  The record trading activity in VIX futures drove total volume at CFE to a new all-time high.  During the month, several new trading records — for both VIX futures and CFE — were set. 
http://jlne.ws/QmBwvk

VIX pointing Toward A Breakout
Mark Sebastian, Examiner
While in this market it seems reasonable to be a bit of a bull, there is something lining up that should keep most in cash or less short vol over the next few days. The SPX has done NOHTING over the last few weeks. Realized volatility is in the toilet at well below 10% over the last 10 days and right at 10% over the last 30 days.
http://jlne.ws/SAnLan

Exchanges

Options Exchange Marketshare – September 2012
Press Release, The Options Clearing Corporation

CFE To Launch S&P 500 Variance Futures On October 4
Press Release
CBOE Futures Exchange, LLC (CFE) today announced that it will launch trading in S&P 500 Variance futures on Thursday, October 4, pending regulatory approval.
The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps, allows users to trade the difference between the implied and realized variance of the S&P 500 Index. CFE’s futures contract will offer the same quoting conventions and economic performance of OTC variance swaps, while providing the advantages of exchange-traded contracts — transparency, price discovery and counterparty clearing guarantees.
The new S&P 500 Variance futures contract is designed to offer benefits to both current OTC users as well as to customers who have not traditionally participated in the OTC variance swap market.
http://jlne.ws/SAnrIL

Regulation

CFTC chief expects margin rules by early 2013
Alexandra Alper, Reuters
The top U.S. derivatives regulator said on Monday that his agency aimed to complete rules dictating the amount of margin, or collateral, needed to back uncleared swaps trades by early next year.
Gary Gensler, chairman of the Commodity Futures Trading Commission, said that the rules, proposed in April 2011, would be finalized with consideration given to insights offered by other international regulators.
http://jlne.ws/PTNInr

Strategy

How to Love Stocks Without the Commitment
Combine long-dated call options with bonds to create low-risk, high-reward equity investments.
Steven M. Sears, Barron’s
In their desire to eschew risk, individual investors continue to flock to bond funds while fleeing equity funds.
The latest indication is that Fidelity Investments bond-fund assets total $849 billion, Reuters reports. That is more than half of the $1.6 trillion that Fidelity—once known primarily as a growth-stock shop—has under management.
http://jlne.ws/RxMsYt

Where Are We In The Volatility Cycle?
iStockAnalyst
Just like the broader economy, market volatility moves in cycles. To know how seriously you should take risk scenarios and profit opportunities today, it helps to know where we are in the multi-year volatility cycle. Let’s think about the medium-term conditions for the stabilization of equities and check where were we are in the current market.
First, to understand the idea of cyclical volatility, we only need to look at a long-term chart of volatility. VIX will do. We can characterize a complete volatility cycle in four stages: the large initial shock, smaller aftershocks, a steep decline, and a period of stability.
http://jlne.ws/SAotVe

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