JLN Options: A Tale of Two Volatility Indexes

Mar 27, 2013

Lead Stories

A Tale of Two Volatility Indexes
Brendan Conway, Barron’s
You have the luxury of ignoring the proliferation of volatility indexes, the marketing of which has mushroomed since the financial crisis. Or you can watch them for unusual discrepancies, like Nikolaj Gammeltoft and Cecile Vannucci of Bloomberg News do this morning.
http://jlne.ws/11Nyvct

S&P 500 looks to end tantalizing March without breaking its closing high
Tom Bemis, MarketWatch
March began with a lion’s roar for U.S. equities, but unless the the S&P 500  can get its mojo back in the next 36 hours, the broad market index looks likely to head out of the month like a lamb.
http://jlne.ws/10QO2JU

The hedge fund rebound could be short-lived—or then again, maybe not
Simone Foxman, Quartz
Hedge funds are set to do remarkably well this quarter. Data from consultancy Hedge Fund Research show that, in January and February alone, the average fund was up 2.7% (paywall), and the average equity-focused fund was up 4%.
http://jlne.ws/10QC570

Greater share of Asian exchanges are experiencing rising derivatives trading activity 
FinCAD
A larger fraction of Asian exchanges are experiencing rising derivatives trades, according to data provided by FOW Intelligence.
http://jlne.ws/15UIxsU

Derivatives Market Share At Risk As ICE Prods For Speedier Review Of NYSE Euronext Deal
Trefis
The race among exchanges to capture the centralised OTC clearing market is heating up. While the CME Group (NYSE: CME) has started clearing OTC interest rate swaps in Europe this month, IntercontinentalExchange (NYSE:ICE) is trying to catch up by speeding up its merger with NYSE Euronext (NYSE:NYX).
http://jlne.ws/11NnxDW

EU includes ISDA in credit derivatives investigation
Foo Yun Chee, Reuters
The International Swaps and Derivatives Association (ISDA) may have joined with investment banks to keep exchanges out of the credit derivatives market, European Union regulators said on Tuesday, expanding an investigation into the sector.
http://jlne.ws/109gRPi

Credit Suisse Announces AES Options Offered Through PrimeTrade  
Press Release (Credit Suisse)
Credit Suisse today announced that AES Options single leg tactics for US listed Equity, Index and ETF options can now be accessed through PrimeTrade, Credit Suisse’s leading global front end trading system for listed derivatives, US treasuries and foreign exchange.
http://jlne.ws/11Nu15I

Exchanges

ICE and Gasunie Announce Launch of ICE Endex
Press Release (ICE)
IntercontinentalExchange (NYSE: ICE), a leading operator of global markets and clearing houses, and Gasunie, a leading European gas infrastructure company, today announced the launch of ICE Endex, following receipt of competition clearance by the Office of Fair Trading (OFT) in the U.K. and the declaration of no-objection from the Dutch Ministry of Finance. The transaction completed on March 26, 2013.
http://jlne.ws/10QDWsp

Regulation

U.S. Department of Justice Concludes Eight-Month Review of IPXI Licensing Model    
Press Release (PR Newswire)
Intellectual Property Exchange International, Inc. (IPXI), the world’s first financial exchange for licensing and trading intellectual property (IP) rights, today announced that the U.S. Department of Justice (DOJ) Antitrust Division has concluded an eight-month business review of the Exchange and issued its Business Review Letter (BRL), highlighting many innovative and efficient aspects of the IPXI licensing model.
The Exchange initiated the BRL process, while not required for IPXI to launch, to provide certainty to its members, market participants and prospects that the model that IPXI has developed provides efficiencies to the market and does not warrant enforcement action by the DOJ.
http://jlne.ws/10QIiQm

Strategy

Artemis’s Cole is finding ‘crisis alpha’ in volatility markets
Christopher Cole, Risk.net
Relative value volatility strategies can generate absolute returns and protect investors from hidden market risks and tail events.
http://jlne.ws/YJcKI3 

Commentary & Insight

Chris Ferreri

Chris Ferreri of ICAP on SEFs, IDBs and the Futurization of Swaps
MarketsWiki.tv

Chris Ferreri is a managing director at ICAP North America, where he oversees ICAP ETC, the company’s hybrid brokered OTC solution. He was the first chairman of the Wholesale Markets Brokers’ Association Americas Inc. (WMBA Americas), and served again as chairman in 2012.

Ferreri spoke with John Lothian News Editor-at-Large Doug Ashburn at the Futures Industry Association Boca 2013 conference about the CFTC’s delay in finalizing rules on swap execution facilities (SEFs), the futurization of swaps, and the future of inter-dealer brokerage. Ferreri stresses the need for voice broking services alongside electronic order books, and reminds that the migration from voice to electronic platforms is not seamless among asset classes. He also requests regulatory consistency among modes of execution. Finally, Ferreri discusses the history of innovation among IDBs and suggests that, after a period of transition to the new regulatory regime, the industry will continue to innovate and evolve.

Watch the video »

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