Lead Stories

CBOE Plans Trading on Government-Debt Volatility Index
Saumya Vaishampayan – WSJ
The CBOE CBOE -0.24% Futures Exchange is readying plans to launch futures trading on a volatility index based on U.S. government debt.
Futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index, under the symbol VXTYN, is expected to begin on Nov. 13, subject to regulatory review, and will allow users to hedge interest-rate volatility risk, the CBOE Futures Exchange said.

CME Group FX Volumes Rise 20% as FED Speculation Reactivates USD Volatility
Ron Finberg – Forex Magnates
Among FX brokers, the World Cup was attributed to partially causing volumes to be muted during both June and July of this year. More importantly was the continued decline in volatility of major currencies to 25-year lows. With both the World Cup no longer taking over people’s past times, as well as a small bump in volatility thanks to renewed monetary easing speculation, August FX volumes are so far appearing to have shown a strong rebound from earlier in the summer.

CBOE CEO Edward Tilly on Growing the Volatility Space
CBOE Options Hub
Day Two of CBOE RMC Europe kicked off with a welcome from CBOE CEO Edward Tilly. He said the agenda for RMC reminds him that “we are really at the beginning of the evolving VIX story” and highlighted several new CBOE initiatives designed to continue to grow the volatility space.

CBOE Adds Weekly Options To The VIX Mix
Saumya Vaishampayan – WSJ
There’s a new ingredient in the sauce that makes up the stock market’s fear gauge.
Chicago Board Options Exchange said Thursday it plans to include weekly S&P 500 options in its calculation of the CBOE Volatility Index. The change is scheduled to go into effect on Oct. 6.

Don’t Get Too Comfortable; Market May Be In For a Jolt
Anthony Mirhaydari – InvestorPlace
Stocks mostly finished lower on Wednesday in what was another round of head-fake headlines out of Ukraine. Since this all started earlier this year, there have been multiple iterations of this. But Wall Street seems to fall for it every time.
You know, like when stocks rallied when Russian President Vladimir Putin claimed he wasn’t interested in Crimea and that there were no Russian troops there? That was false. Or when stocks dropped in early August on reports of a Russian military convoy being destroyed by Ukrainian forces? No evidence ever surfaced.

Don’t Blame the Holiday for This Lackluster Volatility
Adam Warner – Schaeffer’s Investment Research
CBOE Volatility Index (VIX) near 12 isn’t anyone’s idea of a moonshot to the upside, but by one metric, volatility is wildly overpriced.
That’s the case if you compare VIX to 10-day realized volatility (RV). 10-day RV in S&P 500 Index (SPX) hit a low of 3.3 on Wednesday, meaning options anticipate a nearly four-fold spike in volatility.

Videocast: Large roll in VIX calls

Currency hedge funds welcome a return to market volatility
South China Morning Post
After posting three straight years of losses that thinned the ranks of hedge funds specialising in currencies, the foreign-exchange market is showing signs of rebounding.
Parker Global Strategies’ index of leading currency funds climbed 0.9 per cent in August, the most since January 2013 and trimmed losses in 2014 to 2.2 per cent. That followed a 0.3 per cent rise in July, the first two consecutive advances since October, as diverging policies among central banks create wider price swings for investors to exploit.

Gmex in talks with exchanges over licensing plans
Anish Puaar – Financial News
Gmex, the European derivatives trading start-up, is considering plans to licence its interest rate swap future to other exchange groups with the aim of boosting trading in the product and lowering collateral costs. The group, which is awaiting approval from the UK’s Financial Conduct Authority ahead of an expected launch later this year, is one of a number of derivatives initiatives that have emerged as a result of regulatory reforms that will push more swap trading onto exchanges and through clearing houses.


CBOE To Enhance VIX Index Methodology By Including SPX Weeklys Option Series (NASDAQ:CBOE)
Press Release (CBOE)
Chicago Board Options Exchange, Incorporated (CBOE) announced today that starting on October 6, it plans to begin including SPX WeeklysSM options series — expiring every Friday, except the third Friday of each month — in its CBOE Volatility Index (VIX Index) calculation.  CBOE CEO Edward Tilly made the announcement during his address to attendees at the CBOE Risk Management Conference Europe, currently taking place outside of Dublin.    

CBOE Futures Exchange To Launch CBOE/CBOT 10-Year Treasury Note Volatility Index Futures November 13 (NASDAQ:CBOE)
Press Release (CBOE)
CBOE Futures ExchangeSM (CFE) announced today that it plans to launch futures trading on the CBOE/CBOT 10-year U.S. Treasury Note Volatility IndexSM (ticker symbol VXTYNSM) beginning on Thursday, November 13, pending regulatory review. CBOE CEO Edward Tilly made the announcement during his address to attendees at the CBOE Risk Management Conference Europe, currently taking place outside of Dublin.    The VXTYN Index, on which futures on VXTYN is based, is calculated by applying the CBOE Volatility Index (VIX Index) methodology to futures options data from CME Group’s 10-year U.S. Treasury note contract — one of CME Group’s most active interest rate options products. In May 2013, CBOE began disseminating values on the VXTYN Index as part of an agreement between CBOE and CME Group.  

Intercontinental Exchange Reports ICE and NYSE Volume for August
Press Release (Intercontinental Exchange)
Intercontinental Exchange, Inc. (NYSE: ICE), the leading global network of exchanges and clearing houses, today reported exchange traded volumes for August 2014.
ICE’s August average daily volume (ADV) for futures and options was 4.4 million contracts, down 11% compared to August 2013.
– Commodity ADV declined 13% year to year, with energy ADV down 13%, offset by Other Oil ADV which increased 6%.
– Financials ADV declined 9% over the prior August due to continued low volatility in European short-term interest rates. ADV for medium and long-term interest rate contracts increased 15%, and equity index and single stock ADV rose 14% and 45%, respectively, over the prior August.
In August, NYSE’s U.S. cash equities and options ADV declined 7% and 8%, respectively, year to year.
– U.S. cash equities market share was 22.9% and U.S. options market share was 22.6%.

Regulation and Enforcement

Regulators Propose Rule to Reduce Risk of Derivatives
Peter Eavis – NY Times
Federal regulators announced on Wednesday an overhaul of a murky Wall Street market that gained infamy during the financial crisis of 2008.
The Federal Reserve and the Office of the Comptroller of the Currency, as well as three other agencies, proposed a rule that would apply to over-the-counter derivatives, the financial instruments that banks and other financial entities use to speculate or hedge their risks.


EEX Selects Trading Technologies’ Next-Generation Trading Platform as Direct Screen Offer
Press Release (Trading Technologies)
The European Energy Exchange AG (EEX), Europe’s leading energy exchange, and Trading Technologies International, Inc. (TT), a provider of high-performance professional trading platforms, today announced that EEX has contracted with TT to supply the exchange’s trading participants with direct access to the exchange via the direct screen. The software-as-a-service (SaaS) TT platform provides secure, high-performance, go-anywhere market access and trade execution.
The TT solution can be used to access the EEX markets for power derivatives, emissions spot and derivatives as well as coal and guarantees of origin.


Asset Allocation Rebalancing Using Short Options
CBOE Options Hub
Dr. Christoph Gort, Partner, SIGLO Capital Advisors and Pav Sethi, Chief Investment Officer, CEO, Gladius Investment Group, teamed up for the “Asset Allocation Rebalancing Using Short Options” session on Thursday afternoon.  In the presentation, they highlighted results from an empirical study on the use of SPX options to implement allocation shifts with market moves.  Interestingly, the genesis for the study was a conversation between SIGLO and CBOE at last year’s CBOE Risk Management Conference Europe in Portugal.  SIGLO’s recently published study found that while not a new concept, rebalancing with options can be very efficient.


OIC Announces Three-Part Seminar Series Returns for Fall Season
Press Release (OIC)
The Options Industry Council (OIC) announced today its equity options seminar schedule for the fall season. The fall schedule will feature OIC’s three-part seminar series which debuted to great success this past spring. The fall lineup will also include OIC’s popular Advanced Strategies seminar and interactive Options Workshop.

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