JLN Options: Dimon Says Volcker Rule May Have Cut Credit-Derivatives Loss

Jun 14, 2012

Lead Stories

Dimon Says Volcker Rule May Have Cut Credit-Derivatives Loss
Silla Brush and Dawn Kopecki, Bloomberg
JPMorgan Chase & Co. (JPM) Chief Executive Officer Jamie Dimon said a proposed U.S. ban on proprietary trading may have limited the bank’s derivatives-trading losses of at least $2 billion.
“It may very well have stopped parts of what this portfolio morphed into,” Dimon said, referring to the so-called Volcker rule during testimony at the Senate Banking Committee today. “It’s possible. I just don’t know.”
http://jlne.ws/KF0zpX

CBOE To Introduce First Interest Rate-Based Volatility Index
Press Release
The Chicago Board Options Exchange (CBOE) announced today that it will begin disseminating values for its first interest rate-based volatility index, the CBOE Interest Rate Volatility Index (ticker: SRVX), on Monday, June 18.  The SRVX Index is designed to offer fixed income options traders and portfolio managers a standardized and transparent measure of interest rate swap volatility.
CBOE’s Interest Rate Volatility Index measures expected basis-point volatility in the interest rate swap market. Specifically, the index is based on one-year/ten-year U.S. dollar-denominated swap options (swaptions), which are one of the most actively traded contracts in the $14.5-trillion notional over-the-counter (OTC) U.S. dollar interest rate option market.
http://jlne.ws/NAWHKT

CME to Return $130 Million in MF Global Assets
MICHAEL J. DE LA MERCED, The New York Times
The CME Group agreed on Thursday to return more than $130 million in MF Global assets to a trustee for the failed brokerage firm, helping to speed the distribution of customer money.
http://jlne.ws/NmBqFS

Bet Against Euro With Options Before Greece Election
Allison Bennett and Tom Keene, Bloomberg
Investors should use options rather than the spot market for bets the euro will decline before the Greek elections, according to Callum Henderson, global head of currency research for Standard Chartered in Singapore…
The use of options would limit losses if parties in favor of the bailout came to power, he said.
http://jlne.ws/NmDtd9

Exchanges

CBOE Holdings, Inc. Announces 2012 Annual Meeting Results
Press Release
CBOE Holdings, Inc. (NASDAQ: CBOE) announced the stockholder voting results from its 2012 annual meeting held today.
http://jlne.ws/KYyoqs

Strategy

VIX ETFs Thrive on Volatility and Risk Aversion
Tom Lydon, ETF Trends
As the Eurozone woes mount, market conditions have soured and the CBOE Volatility Index, or “VIX,” spiked to this year’s high in early June. Currently, the VIX and volatility-linked exchange traded funds are popping higher as reality sets in after the brief euphoria over Spain’s bailout.
http://jlne.ws/KYxvOL

VIX ‘fear index’ makes an intriguing hedge for investors
John Waggoner, USA TODAY
We’re used to miracle cures. Got a nasty infection? The doctor will give you antibiotics. Need your gall bladder out? They can now pull it out without slicing you from nave to chops. And if you ask your dentist nicely, he can probably get you Wi-Fi as well as AM and FM in your fillings.
What investors would like, however, is a cure for days like — well, most of last month. And even though there are some theoretically promising developments, we’re still in the Dark Ages as far as immunizing against big losses. Case in point: funds that follow the so-called “fear index.”
http://jlne.ws/JSoG2T

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