Credit Suisse Sued for Alleged Market Manipulation; OIC 2021 a Virtual Success – The Spread

Suzanne Cosgrove

Suzanne Cosgrove

Editor

 

Transcript:

Welcome to The Spread, I’m Matt Raebel.

Credit Suisse Group AG has been slapped by a lawsuit from a group of investors led by Set Capital LLC alleging that investors lost 1.8 billion dollars when Credit Suisse manipulated the value of “XIV Notes,” which increase in value when the market is calm and the VIX is low. A federal judge dismissed the case in September 2019 after ruling that Set Capital had failed to plausibly claim that the defendants were intentionally trying to manipulate the market, but a New York federal appeals court revived it on April 27, claiming that there were misstatements in the offering documents. I haven’t heard that much “he said/she said” since season one of “Love Is Blind.”

Anyway, let’s talk about some good things that are happening – there are probably enough negative stories on your Twitter feed these days. ABR Dynamic Funds LLC, which is a New York-based mutual fund, has netted 540 million dollars thanks to a bunch of momentum trades. In August 2020, ABR launched what it calls its 75/25 volatility fund, which is a mixture of long and short volatility strategies involving the trading of securities like S&P E-mini futures, VIX futures, and ETPs and derivatives tied to the VIX and the S&P. When the pandemic crash triggered bullish sentiment for ETFs and indexes tied to market volatility, ABR’s chickens came home to roost and the firm netted over half a billion dollars. Not too shabby.

Our sponsor, the OCC, won “Best Place for Working Parents” in Dallas, Texas, by a community-driven campaign called “Best Place for Kids,” an honor given in recognition for family-friendly business practices. The OCC touted its commitment to diversity and inclusion as a major factor. Good to see the company still takes care of its own even while clearing record numbers of options contracts.

The OCC also posthumously awarded the Joseph W. Sullivan Options Industry Achievement Award to Joe Levin, the former Cboe vice president of research and product development who led the development of the VIX along with Robert Whaley, who was then a Duke University professor. John Lothian covered this in an article published last week at OIC.

Besides John, the rest of JLN’s staff, including myself, covered OIC last week as well. Here are some key takeaways: One, options volume has been higher than usual over the past few years – no big surprise there – starting with ”Volmageddon” in 2018. It rose further amid high levels of volatility during the pandemic last year, and has continued all the way up to this year’s Q1 record-setting volumes. Two, a lot of the growth is coming from the huge increase in retail traders, who tend to prefer single-stock investing with mobile apps over investing in ETPs.

Three, as reported by JLN Editor Suzanne Cosgrove from the show, SEC Commissioner Allison Herren Lee said in an interview with OCC’s CEO John Davidson that last year proved that the markets are surprisingly resilient and can be run virtually, though some changes might be needed, like shortening the settlement cycle of some U.S. equities trades.

Be sure to check out John Lothian News dot com for our coverage of OIC, not to mention a new episode of the CryptoMarketsWiki Podcast and a new article on hemp farming and the market for carbon credits by Thom Thompson. Also, follow us on Twitter, Facebook, and LinkedIn for updates on news and new content. That’s it for The Spread this week – stay safe and happy trading.

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Sources:

Credit Suisse Must Face Suit Over Failed Play on Fear Index
Bob Van Voris – Bloomberg
https://bloom.bg/3tXv7iy

A Volatility Quant Nets $540 Million as Momentum Trades Boom
Justina Lee – Bloomberg
https://bloom.bg/2S0lBNp

ABR 75/25 Volatility Fund
ABR Dynamic Funds, LLC
https://bit.ly/3e0IYPt

ABR Funds ABR 50/50 Volatility Fund ABR 75/25 Volatility Fund Semi-Annual Report January 31, 2021 (Unaudited) ABR Dynamic Blend Equity & Volatility Fund
ABR Dynamic Funds, LLC
https://bit.ly/3t3GrZb

ABR DYNAMIC BLEND EQUITY & VOLATILITY FUND PROSPECTUS December 1, 2020
ABR Dynamic Funds, LLC
https://bit.ly/3gN25i0

OCC Designated as Best Place for Working Parents in Dallas
OCC
https://bit.ly/3xAToNI

OCC, OIC Announce Joseph W. Sullivan Achievement Award Winner
OCC
https://bit.ly/3eyQxvL

Hemp Farming Looking For Credit; Carbon Credit, That Is
Thom Thompson – JLN
https://bit.ly/2SeXGtK

The Cryptomarketswiki Podcast Episode 19: Coinbase Goes Public
Matt Raebel – JLN
https://bit.ly/3vERAkY

OIC 2021: What’s Next For The Options Industry? ‘Not Going To Put The Genie Back In The Bottle’
Suzanne Cosgrove – JLN
https://bit.ly/3nJvNWp

OIC 2021: Industry Experts Explain The Rise of Retail Options Trading
Matt Raebel – JLN
https://bit.ly/3uhhCKC

OIC 2021: ‘Washington Outlook’ Is For A Mix Of Clouds, Not Sunny Skies, For Biden’s Proposals
Sarah Rudolph – JLN
https://bit.ly/3vDc5yu

OIC 2021: SEC’s Lee Weighs In On 2020’s Challenges, 2021’s Regulatory Agenda
Suzanne Cosgrove – JLN
https://bit.ly/3vC1iED

OIC 2021: Options Industry Conference Kickoff Looks At State Of The Industry
John Lothian – JLN
https://bit.ly/3xJqlYb

OIC 2021: The Late Joe Levin Honored With Sullivan Award
John Lothian – JLN
https://bit.ly/3nGbitQ

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Past The Spread Episodes

The Spread – July 23, 2021

The Spread – July 23, 2021

Volatility makes a return appearance as the Delta variant jangles nerves; Treasury bond yields perk up; July options expire; John Lothian chats with Cboe’s Ed Tilly about a World of Opportunity; UBS and SEC reach a settlement; FIA Tech expands; and the Options Institute’s Kevin Davitt explains why contract size matters in the “Term of the Week.”

The Spread – July 16, 2021

The Spread – July 16, 2021

Options traders torn between higher Inflation and steady Fed policy; June market share up at MIAX; John Lothian talks about a World of Opportunity; SEC charges binary options shop with fraud; Moscow Exchange set to offer quarterly options on U.S. stock index futures; and the Options Institute’s Kevin Davitt talks about implied volatility in the “Term of the Week.”

The Spread – July 9, 2021

The Spread – July 9, 2021

Chicago, a data destination; SEC, Robinhood and payment for order flow; John Lothian weighs in with his take; Retail trading continues to percolate; and Cboe’s Kevin Davitt explains the differences between equity and index options in the “Term of the Week.”

The Spread – July 2, 2021

The Spread – July 2, 2021

Finra socks Robinhood with its biggest-ever fine; Cboe acquires Chi-X Asia Pacific; OCC reports another volume gain; NIO takes its cue from options; John Lothian weighs in with his take; Looking for volatility; and Jermal Chandler explains hedging in the options “Term of the Week.”

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