JLN Options: CBOE To Introduce CBOE Low Volatility Index

Nov 29, 2012

LEAD STORY

CBOE To Introduce CBOE Low Volatility Index
Features Lower Downside Volatility Plus Upside Participation
CBOE Press Release
The Chicago Board Options Exchange (CBOE) announced today that it will begin disseminating values for a new benchmark index, the CBOE Low Volatility Index (ticker: LOVOL) tomorrow, Friday, November 30.
The CBOE LOVOL Index is designed for investors whose preferences have shifted from investing in riskier assets to lower-volatility assets. The new index aims to provide investors with the ability to replicate an investment strategy that is subject to less downside volatility in a portfolio of S&P 500® stocks, while still preserving the bulk of market gains.
http://jlne.ws/YuSZIh

Gold’s dive holds clues for 2013 outlook
Ross Norman, Futures
There has been much speculation about the causes of the 24 tonne gold sale on COMEX yesterday, but closer inspection provides some clues… and more importantly what it tells us about the market outlook for 2013.
The sale looks like a carefully crafted trade prepped and successfully executed by a well-known $14 billion U.S. fund. Prior to the sale there had been an unusually large purchase of gold puts —  a leveraged options play that profits from a downward spike in prices.
http://jlne.ws/V51mWA
** Front running yourself.  –JB

The Absence of Market Fear is Scary
Michael Kahn, Barron’s
Despite concerns about a looming fiscal cliff and a weak economy, stocks aren’t collapsing. But should investors be so complacent?
http://jlne.ws/X4HNBN
** We keep seeing this puzzling over the lack of fear in the markets.  Yesterday JLN Options posted the article, “Only The VIX Gets The Fiscal Cliff“.  It suggests the VIX is pretty good at gauging market uncertainty vs. policy uncertainty.  Who is right?  Guess we will have to wait and see. –JB

The SEC, from lapdog to watchdog
Dana Milbank, The Washington Post
In the early days of the Obama administration, I sat in a Capitol Hill hearing room and listened to Harry Markopolos, the whistle-blower in the Bernie Madoff scandal, bemoan the toothless Securities and Exchange Commission.
http://jlne.ws/SgGevT
** Seems they are just going after the low hanging fruit to me but guess they have to start somewhere. –JB

CFTC Enforcement Blitz: Eagle, Intrade, Cantor, Harbor Light
Elan Mendel, JD Supra
The U.S. Commodity Futures Trading Commission (CFTC) seems to be increasing the rate of its enforcement of financial regulation. The agency issued four new enforcement actions in the last week, against Eagle Market Makers, Cantor Fitzgerald, Harbor Light, and most recently, Intrade.
http://jlne.ws/TwbzvR
** Guess the CFTC does not want to be outdone by the SEC. –JB

Ryan Baccus of Sapient on Dodd-Frank Compliance and the Clearing Connectivity Standard

Ryan Baccus

MarketsWiki.tv

Ryan Baccus is vice president of market infrastructure and initiatives (MII) at Sapient Global Markets, a capital markets consulting firm. His work involves advising clients on regulatory reporting, clearing, collateral management and general compliance issues. He spoke with John Lothian News Editor-at-Large Doug Ashburn about the status of Dodd-Frank related regulation and the Clearing Connectivity Standard (CCS), a reporting and communication standard for asset managers, futures commission merchants, central counterparties and custodians, which was developed by Sapient.

On October 24, 2012, the International Swaps and Derivatives Association (ISDA) announced their support of CCS and committed to help develop the standard with Sapient Global Markets.

Watch the video »

Exchanges

CBOE Holdings To Transition SPXpm From C2 To Hybrid Trading On CBOE
Press Release
CBOE Holdings (NASDAQ: CBOE) announced plans today to transition its SPXpm product from the company’s all-electronic C2 Options Exchange (C2) to Chicago Board Options Exchange (CBOE), where it will be traded on CBOE’s hybrid trading model which incorporates both electronic and open outcry trading.  The transition will consolidate the company’s entire S&P 500 options product line on one exchange, CBOE.
http://jlne.ws/Tw7OGJ

Realignment for S&P 500 Weeklys, Quarterlys & SPXpm in 2013
Matt Moran, CBOE
Today CBOE Holdings announced plans to make the following two changes for its S&P 500® index options product line in the first quarter of 2013, pending regulatory approval –
http://jlne.ws/1130qGq

Chi-X may begin derivatives trading
Andrew White, The Australian
STOCK exchange Chi-X is considering a move into derivatives trading as the Australian Securities Exchange makes another attempt to restore volumes on its equity trading business by sharing revenue growth with clients.
http://jlne.ws/V8trKH

Regulation

Expect regulatory action on US dark trading – TABB
Richard Henderson, The Trade
Increased pressure to establish clarity in dark trading, both on and off exchanges, is needed to restore confidence in US lit markets, a report has warned.
The increasing use of dark venues to trade large blocks of liquidity will spark serious industry-wide discussions on the quality of lit markets, the report from consultancy TABB Group cautions.
http://jlne.ws/V8pWE7

CFTC Swap-Data Policies Amended Following CME Group Lawsuit
Silla Brush, Bloomberg
U.S. policies for swaps data have been amended and opened for additional public comment after a lawsuit challenging the rules was filed by CME Group Inc. (CME), owner of the world’s largest futures exchange.
http://jlne.ws/SgGgnt

ISDA pushes back on swaps margin rules
Mike Kentz, Reuters
As global regulators continue to hammer out new regulations that will make over-the-counter swaps more costly, the International Swaps and Derivatives Association is looking to salvage the bespoke, uncleared swaps market from what it considers to be dangerously high margin requirements.
http://jlne.ws/TwbgBm

Embattled hedge fund tells investors of looming SEC action
Andrew Tangel, Los Angeles Times
The hedge fund SAC Capital Advisors told investors it has received a notice of potential action by the U.S. Securities and Exchange Commission, according to a source familiar with the matter.
http://jlne.ws/V8qdGZ

Strategy

How
to Wash Away the Stink of Bad Stocks

Steven M. Sears, Barron’s
Use options to cost-effectively double-up on stocks with turnaround potential during year-end tax-loss harvesting.
http://jlne.ws/TttyRo

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