JLN Options: CBOE Compliance Executive Patrick Fay Resigns Amid SEC Probe

Mar 12, 2012

Lead Stories

CBOE Compliance Executive Patrick Fay Resigns Amid SEC Probe
By Joanna Ossinger and Nikolaj Gammeltoft, Bloomberg
Mar 12, 2012
CBOE Holdings Inc. (CBOE), the options exchange being investigated by the Securities and Exchange Commission, said senior compliance executive Patrick Fay has resigned, spokeswoman Gail Osten said in an e-mailed statement. Fay had been placed on leave after the SEC began investigating the options-market operator’s oversight of traders, the Wall Street Journal reported last week, citing people familiar with the matter. He will “pursue other interests,” Osten said today.
CBOE Holdings said in its annual report filed Feb. 28 that the SEC began investigating whether the company was complying with its obligations as a self-regulatory organization.
http://jlne.ws/ybMrJO

New Study Finds That Certain Options- and Futures-Based Benchmark Indexes Could Help Manage Tail Risk of Traditional IndexesCHICAGO and BONITA SPRINGS, Fla., March 12, 2012 /PRNewswire/ — The merits of using options-based and futures-based strategy benchmark indexes to hedge and manage tail risk is the subject of a new study – “Key Tools for Hedging and Risk Management” – released today by investment-advisory firm Asset Consulting Group (ACG). The study, the second of two ACG papers commissioned by Chicago Board Options Exchange (CBOE), compares the performance of “traditional” indexes with the performance of five strategy benchmark indexes that use index options or VIX® futures: the CBOE S&P 500 95-110 Collar Index (CLL), CBOE VIX Tail Hedge Index (VXTH), S&P 500 VIX Mid-term Futures Index (VXMT), S&P 500 Dynamic VIX Futures Index (DyVX), and S&P 500 VIX Futures Tail Risk Index – Short Term (VTRsk).
The study focuses on two different time periods: 25-1/2 years (back to mid-1986) for the CLL Index, and 70 months (back to April 2006) for the four VIX-based benchmark indexes. VIX Index options opened for trading in February 2006.
http://jlne.ws/zJ714a

SEC Probes Operators’ Use of Multiple Markets Hal Weitzman, Kara Scannell and Telis Demos, Financial Times
The U.S. Securities and Exchange Commission seal hangs on the facade of its building in Washington, DC. The enforcement inquiries emerged from examinations by the Securities and Exchange Commission of how exchange operators, some of which also regulate their customers, manage conflicts of interest with hedge funds, high-frequency trading groups, banks and asset managers.
http://jlne.ws/x5iQve

U.S. Stock Options With Biggest Changes in Implied Volatility
By Bloomberg News – Mar 12, 2012
The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 11:30 a.m. in New York.
http://jlne.ws/xaTmOv

Options risk gauge and VIX futures lower Reuters Mon Mar 12, 2012
The CBOE Volatility Index, Wall Street’s favorite measure of investor sentiment known as the VIX, .VIX, fell 4.85 percent to 16.28 after bottoming to 15.23, the lowest level since July.
The behavior of the VIX is odd, given that the S&P 500 is down 0.1 percent to 1,369 The VIX, a 30-day risk forecast of stock market volatility conveyed by S&P 500 option prices, typically moves inversely to the S&P 500 benchmark. It is also Monday, a day when the Index should be relatively higher due to the weekend effect. Option traders reprice S&P 500 options after weekend time decay, said optionMonster analyst Chris McKhann.
http://jlne.ws/AsWyzz

Exchanges

Tibra Joins ISE as a Competitive Market Maker NEW YORK, March 12, 2012 – The International Securities Exchange (ISE) announced that Tibra Trading America LLC (Tibra) has become a Competitive Market Maker (CMM) on ISE’s options exchange. Tibra is the most recent market maker to join ISE under its new CMM trading rights program, which went into effect in September 2011. Since the launch of the new CMM program, four new market makers have joined the exchange.
http://jlne.ws/xkb8H9 (pdf)
BATS Global Markets Aims to Price I.P.O. at $16 to $18 By EVELYN M. RUSLI, NYTimes.com
Joe Ratterman, chief executive of the BATS Exchange and BATS Global Markets.Ed Zurga for The New York TimesJoe Ratterman, chief executive of the BATS Exchange and BATS Global Markets. BATS Global Markets, the third-largest stock exchange operator in the United States, said it planned to price its initial public offering at $16 to $18 a share, according to a filing submitted on Monday. At the midpoint of that range, BATS is on track to raise $107 million at a market value of $810 million.
BATS, founded in 2005 as an alternative to its larger rivals, Nasdaq OMX and NYSE Euronext, is prepping for its debut as the broader industry faces increasing scrutiny from regulators. http://jlne.ws/zCG5pv

Options on Futures

Speculators Slash Gold, Silver Futures, Options Positions — CFTC Forbes
The recent drop in metals prices sent speculators scurrying from bullish gold and silver futures and options traded on the Comex division of the New York Mercantile Exchange, according to U.S. government data. For the week ended March 6, speculators in the Commodity Futures Trading Commission’s weekly commitment of traders report saw their net-long positions in gold and silver drop significantly in both the legacy and disaggregated reports. Speculative positions in the platinum group metals fell somewhat, while action in copper was mixed.
http://jlne.ws/AnrZDs

Technology

TradeStation Receives Highest Rating – 4 1/2 Stars – in Barron’s Magazine’s Annual Ranking of Online Brokerage Firms MarketWatch
The review also praised TradeStation’s new options analysis platform — OptionStation Pro — calling it “dazzling” and stating that it “gives options traders new ways to analyze and visualize theoretical and actual options positions.”
http://jlne.ws/wBWSrN

D Börse tops European data charts By Philip Stafford, FT.com
Deutsche Börse is home to the consistently highest volumes of electronic orders in Europe but Chi-X Europe often sees the highest peaks, a new service that provides a snapshot of the region’s trading flows has indicated.
Exegy, a US market data processing company, has teamed up with the Financial Information Forum and MarketPrizm, a trading technology company owned by Colt, a UK telecoms provider, to create a service that tracks the data messages that pass through each of the region’s exchanges and trading platforms. It is due to go into beta testing on Monday.
http://jlne.ws/ybTyeq

Strategy

An Options Trader’s Bold Youku Bet Pays Off WSJ.com By KAITLYN KIERNAN
Talk about auspicious timing.
On Friday, an options trader made a longshot bet in calls of Youku Inc., China’s largest video website, in an apparent earnings play, according to Fred Ruffy, options analyst at Whatstrading.com.
By Monday, those calls now stand to pay off more than three-fold after Youku shares surged on news the company will acquire China’s No. 2 video website, Tudou Holdings Ltd., in a stock-for-stock transaction that will solidify the companies’ dominance of the sector.
http://jlne.ws/AxUIhz

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