A Volatility Quant Nets $540 Million as Momentum Trades Boom; Don’t Sweat the Volatility Around Bitcoin: Gayeski

Apr 28, 2021

$40,526/$300,000 (13.5%)

Observations & Insight

JJL: It is a busy day today with the Options Industry Conference and FIA’s Law & Compliance conference kicking off. The JLN team is covering OIC more broadly and some L&C afterwards if we can get some interviews.

I really miss the swag of OIC, which is typically some of the best of any conference. I still have my cowboy boots from NYSE when the conference was in Texas, though I have not worn them for years.

In an effort to bring diversity to the OIC conference, organizers have the following women on the program: The Honorable Allison Herren Lee, commissioner, U.S. Securities & Exchange Commission; The Honorable Jill Sommers, senior advisor, Patomak Global Partners (and former CFTC commissioner); Annabelle Baldwin, chief revenue officer, SpiderRock Holdings; Julie Bauer, chief external relations officer, OCC; Alicia Crighton, managing director, Goldman Sachs; Arianne Criqui, senior vice president, Cboe Global Markets; Ryan Jachym, vice president, Goldman Sachs; Denise Knabjian, managing director, OCC; Lori Schock, director, Office of Investor Education & Advocacy, U.S. Securities & Exchange Commission.

Lead Stories

A Volatility Quant Nets $540 Million as Momentum Trades Boom
Justina Lee – Bloomberg
The Covid roller coaster may have lashed complex volatility trades beloved by the smart money, but a New York-based mutual fund has emerged as a $540 million winner with a back-to-basics strategy.
After a 36% gain last year for its flagship investing style, ABR Dynamic Funds LLC is in fighting form thanks to the strength of retail demand for stock strategies that cushion market corrections. Over the past year, assets under management have increased from $100 million to $640 million thanks to inflows and market returns.
/bloom.bg/2S0lBNp

Don’t Sweat the Volatility Around Bitcoin: Gayeski
Bloomberg (Video)
Troy Gayeski of Skybridge Capital says don’t sweat the volatility around Bitcoin. He says investors have to expect huge pullbacks.
/bloom.bg/3eFut2Q

Newest Reddit sensation MicroVision is living both sides of that meme-stock life
Thornton McEnery – MarketWatch
The newest meme stock is also the latest thing to separate the Reddit stock-market hipsters from the Basic B’s on WallStreetBets.
After soaring more than 31.87% on Monday and garnering a lot of attention in both regular and social media, shares in laser-scanning company MicroVision plummeted on Tuesday, prompting many of the stock’s more hardcore supporters on Reddit and Twitter to blame their new-to-the-party pals for trying to make a quick profit on their GameStop-like short-squeeze campaign.
/on.mktw.net/3vxfSxj

Exchanges and Clearing

CME Group Inc. Reports First-Quarter 2021 Financial Results
CME Group
CME Group Inc. today reported financial results for the first quarter of 2021. The company reported revenue of $1.3 billion and operating income of $725 million for the first quarter of 2021. Net income was $574 million and diluted earnings per share were $1.60. On an adjusted basis, net income was $641 million and diluted earnings per share were $1.79. Financial results presented on an adjusted basis for the first quarter of 2021 and 2020 exclude certain items, which are detailed in the reconciliation of non-GAAP results.1
/bit.ly/2Pt9MhS

Amendments to the Spot Month Position Limits for the Black Sea Corn Financially Settled (Platts) Futures and the Options on Black Sea Corn Financially Settled (Platts) Futures Contracts
CME Group
Effective on May 11, 2021 and commencing with the August 2022 contract month and beyond, the Board of Trade of the City of Chicago, Inc. (“CBOT” or “Exchange”) will amend the spot month position limits for the Black Sea Corn Financially Settled (Platts) Futures and the Options on Black Sea Corn Financially Settled (Platts) Futures contracts (collectively the “contracts”) as noted below and in Exhibit B of CBOT Submission No. 21-164. Please note that the spot month limits up to and including the July 2022 contract months remain unchanged. The contracts have diminishing balances.
/bit.ly/2R3QjVt

Position Limit, Accountability Levels, and Large Trader Reporting Requirements in Connection with the Initial Listing of the USD Malaysian Crude Palm Oil Day 15th Bullet Futures and USD Malaysian Crude Palm Oil Day 10th Financial Options Contracts
CME Group
In connection with the listing of the Chicago Mercantile Exchange Inc. (“CME”) USD Malaysian Crude Palm Oil Day 15th Bullet Futures and the USD Malaysian Crude Palm Oil Day 10th Financial Options contract (collectively the “Contracts”) on trade date Monday, May 3, 2021 (see SER-8738R published April 13, 2021), please note below and in Exhibit B of CME Submission No. 21-098 the corresponding spot-month position limit (Rule 559), accountability levels (Rule 560), aggregation allocations (Rule 559.D) and reportable levels (Rule 561) for the contracts.
/bit.ly/2PynzUw

Regulation & Enforcement

Wall Street beware: the SEC’s Gensler carries a big stick; Amid frothy markets and frenzied dealmaking, a few high-profile cases will soon get financiers’ attention
Brooke Masters – FT
The last time Gary Gensler ran an American financial regulator, he was charged with cleaning up the mess left by the 2008 crash. Now the new chair of the US Securities and Exchange Commission faces a rather different task: policing volatile and frothy markets that may be hiding all kinds of misbehaviour.
/on.ft.com/32XlhS2

*****JJL: Beware, the big bad Gensler is about to strike?

Strategy

Reducing Stress in Buying Stocks
Frank Kaberna – tastytrade
Buying stocks can create as much internal struggle as purchasing real estate or as little as choosing an outfit for today. The distinction between the two is a matter of expectations. Passive investors might take their hard-earned money to the stock market a couple of times per year, if that, and even then their zeal can be crushed by a justified line of questioning: Am I buying too high? If I don’t buy today, will I miss out on profits? Will stocks be cheaper tomorrow? Active traders who engage with financial markets on a more regular basis tend to reduce the weight of these questions because they usually lower expectations from large potential returns over the next several years to small ones in the following few minutes.
/bit.ly/3dZCEI3

Transcript: Chris Cole on How to Build a 100-Year Portfolio
Tracy Alloway and Joe Weisenthal – Bloomberg
On this episode of Odd Lots, we speak to Chris Cole, the founder of Artemis Capital Management and a previous Odd Lots guest, about how investors can build a portfolio that outperforms for the very long-term. He walks us through his recent research, in which he recreates 100 years of the most popular financial engineering and portfolio structures to identify what works best. You can find the episode here. Transcripts have been lightly edited for clarity.
/bloom.bg/2QD8f9C

Education

Learning the Greeks: An Expert’s Perspective
Cboe
Options trading can be complex. Add in unfamiliar letters, and the novice trader may feel overwhelmed before getting started. If this sounds like you, be sure to join the Cboe Options Institute and options expert Sheldon Natenberg on Wednesday, May 12.
Time: 12:00 p.m. ET.
/bit.ly/3vlctkU

Fundamentals of Futures & Options (also applicable to Series 3 Exam)
IFM
For more than 30 years, IFM has consistently provided learners with a solid foundation and understanding of futures and options markets and trading including terminology, risk management, pricing, and basic trade strategies. This instructor-led virtual course includes lectures from an engaging instructor with real-world expertise and supported by class discussion, practice exercises and educational materials. The course fee includes two must-read industry books, “Futures and Options” and the “Guide to U.S. Futures Regulation.”
Dates: May 10, 2021 through May 14, 2021, 12:00 p.m. to 2:00 p.m.
Location: Virtual Live. 2-hour sessions over 5 days.
Early-bird $495
Fee $595
Instructor: Marti Tirinnanzi
Class size registration is limited to approximately 20 participants to promote student participation and interaction.
/bit.ly/3fcGe2D

The Covered Call Options Strategy
OIC
Date: Wednesday, May 12, 2021
Time: 3:30 p.m. CT
Duration: 1 hour
Speaker:
Mark Benzaquen – Principal, Investor Education – OCC
For options investors, the covered call is one of the core strategies for income generation, but there are many details to consider before opening a position. On May 12, join The Options Industry Council’s Mark Benzaquen, a former pit broker who now focuses on options education, for a detailed overview of the covered call.
/bit.ly/328tLoZ

Events

Clearing 101: Exchanges, Clearinghouses and CCPs
IFM
Dates: Sep. 15, 2021 12:00 p.m. – Sep. 16, 2021 1:30 p.m.
Location Virtual Live. Two 90-sessions over 2 days.
Early-bird $199
Fee $225
Instructor: Marti Tirinnanzi
Registration is limited to approximately 20 participants to promote student participation and interaction.
Join us for a short program (90 minutes each day for 2 days) that explains the multilateral systems that provide the infrastructure for transferring, clearing and settling payments, derivatives and other financial transactions among financial institutions and end users. Following Dodd Frank, clearinghouses became designated as Systemically Important Financial Market Utilities, vital to the operations of the financial markets and subject to heightened regulatory scrutiny. Buyers and sellers in exchange transactions rely on clearinghouses to intermediate transactions and to manage credit risks between trading parties. As such, clearinghouses promote transparency, efficiency, and stability by providing market-based pricing, daily settlement, and ensuring adequate capitalization for markets to function.
/bit.ly/3gimCun

Q1 2021 ETD Volume
FIA
May 5, 2021; 10:00 a.m. to 11 a.m. ET
The webinar will highlight the main trends in trading activity in Q1 2021 in the global exchange-traded derivatives markets, with category and regional breakdowns as well as exchange and contract rankings. The webinar also will feature two guest speakers from UBS discussing the rise of retail participation in the U.S. ETD markets.
/bit.ly/3msVZEj

A New Virtual Experience
OIC
The Options Industry Conference is Going Virtual in 2021. Join OCC and the options exchanges for the 39th annual Options Industry Conference, April 28-29, 2021. While the conference will be held virtually for the first time in its history, the focus will continue to be the key topics facing the options industry today, from the regulatory shifts in the U.S. and Europe to the technological developments that are driving monumental change in markets around the globe.
jlne.ws/2PPGgQh

Miscellaneous

Fed Likely to Keep Rates Near Zero as Recovery Picks Up
Paul Kiernan – WSJ
Federal Reserve officials are wrapping up a two-day policy meeting Wednesday at which they are likely to maintain ultralow interest rates to support the economy’s accelerating recovery.
The central bankers have noted in public comments the recent pickups in hiring, spending and inflation, but have signaled no readiness to consider changing the Fed’s key policies.
/on.wsj.com/3dXyaSk

(Podcast) OIRN Interviews: Talking Options, Crypto and more with TMX
Options Insider
Guest: Richard Ho, head of retail equity derivatives, the Montreal Exchange
Mark and Richard discuss:
The Canadian options market; the retail options explosion during the pandemic in Canada; the world’s first bitcoin ETF; will we soon see 24 hours options trading in Canada; the; options industry conference; why you can’t sell a put in a Canadian RRSP account; and much more…
/bit.ly/3nuhhBH

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