Bitcoin’s Options Market Shows Strongest Bullish Mood on Record; DERIVATIVES SOFR trading tails off after ‘big bang’ boost

Nov 13, 2020

Observations & Insight

$15,261/$300,000 (5%)
Jessica Darmoni and Dayre Lashnits


FIA Expo: Cboe’s Ed Tilly Talks Retail Investors, European Derivatives Plans
Suzanne Cosgrove – John Lothian News

Although it was a period of heightened volatility, 2020 was a big year for retail investors who jumped in as many institutional investors moved to the sidelines. Finally, over the last week and a half, those institutions are coming back in, said Ed Tilly, chairman, president and CEO of Cboe Global Markets.

To read the rest, go here.


FIA Expo: Operations and Technology: Lessons learned from the pandemic
Matt Raebel – John Lothian News

Amid the COVID-19 pandemic, the financial industry has largely shifted to working from home this year. On Day Two of FIA Expo-V, executives from major institutions throughout the financial industry shared what they had learned from shifting to remote and work-from-home (WFH) business models, as well as coping with wild volatility, unprecedented trade volumes, and regulatory obstacles. Scott Andersen, the director and head of listed derivatives clearing at Societe Generale, led the discussion.

To read the rest, go here.


FIA Expo: How Small Can You Go?
Sarah Rudolph – John Lothian News

Mini and micro futures contracts at various exchanges have been gaining a lot of traction lately, presumably because of the “Robinhood effect” of retail traders coming into the markets. Our own John Lothian led a panel at FIA Expo-V Thursday titled “How Small Can You Go?” (an ironic title for a John Lothian-led panel, since anyone who has met John knows he cannot go small at all).

To read the rest, go here.


Riskfuel was named yesterday by the FIA as Innovator of the Year. Options AI was named the runner-up, and Wematch won the inaugural People’s Choice Award. What is amusing about the press release announcing the winners is that it had a dateline of “Chicago” as if we were holding EXPO-V there rather than virtually, in cyberspace. I guess Chicago is better than using a dateline of “Walt’s Laundry Room.”

Lead Stories

Bitcoin’s Options Market Shows Strongest Bullish Mood on Record
Omkar Godbole – Coindesk
Bitcoin’s options market is in the midst of its strongest bullish sentiment on record as the cryptocurrency rallies to three-year highs. The six-month put-call skew, or the spread between prices claimed by put options and call options expiring in six months, fell to a life-time low of -21.6% early Thursday, according to data source Skew. A call option gives the holder the right but not the obligation to buy the underlying asset at a predetermined price on or before a specific date. A put option gives the right to sell.

DERIVATIVES SOFR trading tails off after ‘big bang’ boost; Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
Ben St. Clair –
Swaps trading in the secured overnight financing rate (SOFR) hit new highs, then fell away in the two weeks after the so-called ‘big bang’ shift, when it became the discount rate of choice for cleared US dollar derivatives. These modest trading volumes have nonetheless remained above the lifetime average of the SOFR swaps market, which saw its first recorded trade in July 2018.

Exchanges and Clearing

Miami International Holdings and Vesica Technologies Partner to Provide Free Access to Institutional Trading Data
Miami International Holdings, Inc. (MIH), the parent holding company of the MIAX, MIAX PEARL and MIAX Emerald (together, the MIAX Exchange Group), and Vesica Technologies (“Vesica”), an innovative financial technology company whose products and services make financial data more accessible to individuals, today announced a strategic partnership and that MIH has completed an equity investment in Vesica Technologies.

MIAX Exchange Group – Options Markets – Corporate Action Alert: Axovant Gene Therapies Ltd. (AXGT) Name and Symbol Change to Sio Gene Therapies Inc. (SIOX)
MIAX Options
Axovant Gene Therapies Ltd. (AXGT) will change its name and symbol to Sio Gene Therapies Inc. (SIOX) effective on Friday, November 13, 2020. All GTC orders resting on the MIAX order books in AXGT will be canceled at the close of business on Thursday, November 12, 2020. NOTE: SIOX options will trade on Cloud 16 on the MIAX Options Exchange and on Cloud 8 on the MIAX PEARL Options Exchange and the MIAX Emerald Options Exchange.

Euronext announces its financial calendar for 2021
Amsterdam, Brussels, Dublin, Lisbon, London, Oslo and Paris – 13 November 2020 – Euronext, the leading pan-European market infrastructure, today announced its financial calendar for 2021, set as follows:

Reminder – Monday November 23: Strike Price Format Change for Eurodollar and SOFR Options in SPAN and Settlement Price Files
CME Group
Please be reminded that effective Monday, November 23, 2020, CME will begin listing strikes for options on Three-Month Eurodollars and Three-Month SOFR at intervals of 6.25 basis points (0.0625 index points), and hence strike price formats for these options in daily SPAN and settlement price files will be modified so that they are all consistent, with four implied decimal places and without any usage of assumed trailing digits.

Regulation & Enforcement

U.K. Fund Liquidity Rule Breaches Soared in Covid Early Days
Silla Brush and Suzy Waite – Bloomberg
British money managers ran afoul of liquidity regulations 13 times at the height of this year’s market volatility, exposing their investors to the kinds of risks that can trap billions of pounds for months.
Nine funds, whose names were kept confidential, breached the 10% limit on holdings of unquoted securities between March and May, according to Financial Conduct Authority data obtained by Bloomberg through a public records request. Most of the breaches occurred in March, when Covid-19 spread to Western economies and the value of investors’ more easily tradeable securities plunged.

FIA Expo – Derivatives markets should prioritize same-day trade processing/give-up acceptance, industry experts say
Jeff Reeves –
Bouts of extreme volatility, record volume, and market stress hit the market in early 2020 in the wake of the COVID-19 pandemic. However, participants at an FIA Expo panel on 11 November noted that this real-world stress test of the clearing industry provided an important opportunity to identify core areas of the model that need enhancement and modernization.


Riskfuel named FIA Innovator of the Year; Options AI is the runner-up and Wematch wins the People’s Choice Award
FIA announced today that Riskfuel has been named the FIA Innovator of the Year. In addition, Options AI was named the runner-up, and Wematch won the inaugural People’s Choice Award.

***** I like the name Riskfuel, but really, my risk does not need any extra help.~JJL

triBalance Completes First FX SA-CCR Optimization Cycle
CME Group
TriOptima, a leading infrastructure service that helps to lower costs and to mitigate risk in OTC derivatives markets, announced the completion of its first triBalance FX cycle optimizing exposures for clients who calculate their leverage ratio capital requirements under the Standardized Approach for Measuring Counterparty Credit Risk (SA-CCR). Bilateral and cleared initial margin exposures were simultaneously optimized in the FX cycle that took place on October 29, 2020.

TradeStation Crypto Platform Takes Home “Best New Product” at the 2020 Benzinga Global Fintech Awards for “Crypto Earn” Interest-Earning Feature
PR Newswire
TradeStation Group, Inc. (“TradeStation”) is pleased to announce that its subsidiary, TradeStation Crypto, Inc., which offers a cryptocurrency brokerage platform, won the title of “Best New Product” at the 2020 Benzinga Global Fintech Awards. The award specifically recognizes the platform’s new crypto interest capabilities, which currently allow account holders to earn up to 4% interest on eligible crypto holdings, whether they are actively trading or holding their account assets for longer-term investment.


Herding by ‘Naive’ Robinhood Traders May Be Good Signal to Short
Justina Lee – Bloomberg
From buying the dip to surfing the tech surge with options, an investor following the Robinhood crowd this year would have a lot to feel good about.
Provided they didn’t follow too long, that is.
Users of the millennial-friendly app — the first to offer commission-free trading — are more likely to chase popular stocks with extreme performance. The result is herding that ultimately becomes a drag on those companies’ returns, according to the latest academic research into retail investing.


VOLQ: How to Measure Nasdaq-100 Volatility
Phil Mackintosh – Nasdaq
The Nasdaq-100 is a very different index than the S&P500. It is technology dominant, excludes financials by design, and is historically underweight in many of the old economy stocks in the energy and industrials sectors.
That exposure to new economy stocks has helped it to outperform the broad market by 347% over the past 10 years ended Q3 2020, while also avoiding the worst of the past two crises. As a consequence, more and more portfolios are tracking the Nasdaq indexes. But historically, hedges and income strategies have been imperfect, thanks to the fact that the most common volatility hedges were on the S&P500 via the Cboe Volatility Index: VIX.


“Stories from a Contrarian Trader” Follow Up
Liz Dierking – tastytrade
Meet Liz, and Jenny… two “40 something” suburban moms who drive minivans and are on the school board… oh & did we mention, they are “certified badass” option traders with over 45 years combined trading experience. In this tradeTALK, Liz discusses the who, what, when, where, and why stories of a contrarian trader and how she is not ‘just a girl standing in-front her trading screen waiting for the bell to ring’…Check out tastytrade’s tradeTALK Episode #9.

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