JLN Options: FOA calls for harmony on listed derivatives reporting rules

Jun 13, 2012

Lead Stories

FOA calls for harmony on listed derivatives reporting rules
Anish Puaar, The Trade
Trade body the Futures and Options Association (FOA) has raised concerns with UK and Italian regulators on potentially burdensome regulatory requirements for reporting listed derivatives trades.
The issue relates to article nine of the European market infrastructure regulation (EMIR), Europe’s blueprint for OTC derivatives reform, which obligates trade counterparts – both buy- and sell-side firms – and central counterparties (CCPs) to report derivatives trades to newly-created data repositories.
http://jlne.ws/LWRRWi

Bank Of America’s $67 Trillion In Derivative Positions Explained
Andrew Mann, Seeking Alpha
…This article will focus solely on Bank of America’s (BAC) derivative activities in its most recent quarter. I will be using information from the most recent 10-Q in order to shed some light on this often misunderstood issue.
How does Bank of America account for its derivatives, and are they included on the balance sheet?
http://jlne.ws/LWWNdK
** Somewhat lengthy but a good explanation with a little bit of everything including options. – JB

Why the Quadruple Witch’s Brew Won’t Impact the Market as Much as You Think
Steve Smith, Minyanville
We are coming upon the quarterly event known as quadruple witching, during which the following four standardized equities instruments cease trading on the same day, Thursday June 15:
1. stock index futures, namely  S&P 500 (^GSPC),
2. options on those futures, aka stock index options,
3. single stock futures,
4. stock options.
With these four items ceasing to trade in the last hour of this trading day (3:00 to 4:00 pm EDT, or “witching hour”), the conventional wisdom is that trading can become volatile as investors attempt to capitalize on pricing differences. However, “quadruple” witching is not only a misnomer but also less impactful than most people think.
http://jlne.ws/K2qPsW

Getco Said to Cut About 40 Jobs Amid U.S. Trading Slowdown
Nina Mehta, Bloomberg
Getco LLC, a Chicago-based automated trading firm, eliminated about 40 jobs last week amid an industry slowdown in transactions, according to a person with direct knowledge of the situation.
Sophie Sohn, a Getco spokeswoman, confirmed in a phone interview that the company cut positions on June 7. Edward Boyle, hired a year-and-a-half ago from NYSE Euronext to manage the firm’s relationships with exchanges and work on business strategy, was among the people let go, she said.
http://jlne.ws/KCfYY7

Japan Triples Down on Risk
James Simms, The Wall Street Journal
Two decades of ultralow interest rates have pushed Japan’s quest for decent returns to extremes…
The new twist is the addition of call-options on securities owned by the investment vehicle. The covered-call strategy provides an extra income stream. The strategy is supposed to mitigate downside risk while lifting the targeted yield on the fund. Nomura and Rakuten both said that they are following regulatory guidelines regarding the explanation of such products to buyers.
http://jlne.ws/LAs5rs

China to Loosen Reins on Insurers
The Wall Street Journal
China plans to allow insurers to make a broader range of investments, giving them more freedom to pursue higher returns and safeguard against potential risks, according to draft rules circulated by the country’s insurance regulator, two people familiar with the situation told Dow Jones Newswires on Wednesday.
http://jlne.ws/LAu5Qm
** This includes forward contracts, swaps and options. – JB

OptionsMonster Volatility Sonar Report with Jamie Tyrrell of Group1 Trading:

OptionsMonster Cash Money Zone with Eric Wilkinson and Joseph Vaclavik:

Exchanges

ICE Futures U.S. Announces Daily Volume Record
Press Release
IntercontinentalExchange, a leading operator of global regulated futures exchanges, clearing houses and over-the-counter (OTC) markets announced that ICE Futures U.S. established a daily volume record of 851,852 contracts on June 12, with 801,304 futures contracts and 50,548 options on futures traded during the day. The exchange’s previous daily volume record of 840,591 contracts was set on September 16, 2008.
http://jlne.ws/LE1jgH

Penny Pilot Issue Replacement (NYSE Arca)
Press Release (via email)
Subject to regulatory approval, effective July 3, 2012, NYSE Arca Inc. will be replacing  delisted issues in the Penny Pilot with the next most active multiply listed issues under $200 that are not yet in the Pilot.
The Exchange intends to file for extension of the Penny Pilot for Options, which will include a provision in NYSE Arca Rule 6.72 Commentary .01 for a semi-annual replacement of Pilot issues which have been delisted.  The proposed text includes:
The Exchange may replace, on a semi-annual basis, any penny pilot issues that have been delisted with the next most actively traded multiply listed options classes that are not yet included in the penny pilot, based on trading activity in the previous six months. The replacement issues may be added to the penny pilot on the second trading day following July 1, 2012.
The second trading day following July 1, 2012 is July 3, 2012.
The issues to be replaced are:
– EP — El Paso Corp
– PARD* — Poniard Pharmaceuticals Inc
*PARD is being delisted following June 2012 Expiration
The new Pilot issues are:
– KMI — Kinder Morgan Inc.
– ZNGA — Zynga, Inc.

Penny Pilot Issue Replacement (NYSE Amex)
Press Release (via email)
Subject to regulatory approval, effective July 3, 2012, NYSE Amex LLC will be replacing  delisted issues in the Penny Pilot with the next most active multiply listed issues under $200 that are not yet in the Pilot.
Consistent with NYSE Amex Rule 960NY Commentary .02: Options on certain issues are subject to a penny pilot which will expire on June 30, 2012. The pilot issues will be announced to the Exchange’s membership via Regulatory Bulletin and published by the Exchange on its website.
The Exchange may replace any penny pilot issues that have been delisted with the next most actively traded multiply listed options classes that are not yet included in the penny pilot, based on trading activity in the previous six months. The replacement issues may be added to the penny pilot on the second trading day following July 1, 2012.
The second trading day following July 1, 2012 is July 3, 2012.
The issues to be replaced are:
– EP — El Paso Corp
– PARD* — Poniard Pharmaceuticals Inc
*PARD is being delisted following June 2012 Expiration
The new Pilot issues are:
– KMI — Kinder Morgan Inc.
– ZNGA — Zynga, Inc

Technology

CDM Pekao Chooses SunGard’s Valdi for Warsaw Stock Exchange Connectivity
Press Release
Centralny Dom Maklerski Pekao S.A. (CDM Pekao), one of the largest securities firms in Poland and part of the UniCredit Group, has selected Valdi for direct market access trading on the Warsaw Stock Exchange (WSE).
CDM Pekao specializes in offering multi-asset, multi-market trading access to retail investors. Its traders will use SunGard’s Valdi workstations, trading tools and gateways for trading connectivity to the exchange.
http://jlne.ws/K2skHq

Strategy

The Long and Short of Futures Options: Talking Volatility, Indices and ETFs (Audio)
Options Insider
In this episode, Mark is joined by Scott Warren, Senior Managing Director o
f Equity Index Products at CME Group.
What to Know:
– An overview of the deal CME struck with McGraw-Hill for the S&P indices.
– Is this joint venture as a great way to help penetrate developing and emerging markets outside the USA?
– Scott walks through the deal to license the VIX methodology from the CBOE as well.
– An update on the NYMEX crude oil VIX and the Gold VIX
– Is there any plan to take the next step into an actual, tradable soybean and/or corn VIX right now?
– Are there any plans to continue licensing the realized vol methodology for the vol contracts on the Euro, or other methodologies? 
http://jlne.ws/MrYfF8 (Audio)

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