JLN Options: CBOE to expand VIX options trading hours from Monday; Ruble Hedges Curbing Post-Crimea Risk Buoy Russian Market; India’s VIX Caps Longest Loss Streak in Four Months After Budget

Mar 2, 2015

Lead Stories

CBOE to expand VIX options trading hours from Monday
Saqib Iqbal Ahmed – Reuters
CBOE Holdings Inc’s Chicago Board Options Exchange, the largest U.S. stock-options market, is set to extend trading hours for two of its most heavily traded index options starting Monday.
The exchange plans to add more than six hours of additional trading five days a week for options on the S&P 500 and the CBOE VIX index, a broadly used gauge of market volatility based on U.S. equity option prices.
http://jlne.ws/1wDQ8Qm
***DA: A good signal from the exchange that VIX products can maintain liquidity outside normal trading hours.  

Ruble Hedges Curbing Post-Crimea Risk Buoy Russian Market
Vladimir Kuznetsov – Bloomberg
A year after President Vladimir Putin’s incursion into Crimea put Russia on the path to capital-markets isolation, companies and investors are learning to live with the risks.
Trading in exchange-rate derivatives, which can be used to protect against ruble price swings, surged more than five-fold in the fourth quarter from a year earlier, according to Moscow Exchange data. Three-month volatility for the ruble, the world’s highest after Ukraine’s hryvnia, jumped about seven times in the past 12 months as policy makers abandoned a trading band, allowing it to weaken amid U.S. and European Union sanctions and plunging oil prices.
http://jlne.ws/1K8CWsv
***DA: Decent article; terrible headline.

India’s VIX Caps Longest Loss Streak in Four Months After Budget
Santanu Chakraborty – Bloomberg
The benchmark gauge of Indian option prices fell for a fifth day, its longest losing streak in four months, as stocks gained after the government unveiled budget proposals.
The India VIX index slumped 13.3 percent to 16.97 in Mumbai at the close of a special trading session for the federal budget.
http://jlne.ws/1DvYTsv
***DA: Fear subsiding in the emerging market?

What We Definitely Maybe Know About VIX in 2015
Adam Warner – Schaeffer’s Investment Research
Remember all those predictions that 2015 would see a return to “normal” volatility? Yeah, not so much anymore. As we noted the other day, the CBOE Volatility Index (VIX) has had its worst calendar month ever. And it’s still overpriced. That’s because realized volatility has utterly collapsed. Ten-day realized volatility in the SPDR S&P 500 ETF Trust (SPY) is now 3.9, roughly 30% of VIX. And that’s high realized volatility compared to the iShares Russell 2000 ETF (NYSEARCA:IWM), which now checks in at an almost incomprehensible 3.1.
http://jlne.ws/1K8HFuh
***DA: Predictions of the future of a predictive indicator had a predictable outcome.

The Week in VIX – 2/23 – 2/27
Russell Rhoads – CBOE Options Hub
The S&P 500 hardly budged on a week over week basis and VIX drifted lower. The March future drifted lower basically in sync with the index, but is still at a health premium relative to the index. I’m attributing that to the pending employment numbers coming out next week. I need to do a study and see what happens with that spread on the weeks that we get the employment report. I wouldn’t be surprised to see the gap narrow post-employment as there is often no pending market moving event until after expiration.
http://jlne.ws/1AwFfKJ

Bitcoin Swaps Exchange Gets Public Listing Via Reverse Merger
Michael J. Casey – WSJ
Investors looking to bet on the future of digital currency could soon have an equity vehicle for doing so, courtesy of a penny stock reverse merger that should see bitcoin derivative trading platform Tera Exchange become a listed company.
Tera Group Inc. announced earlier Friday that it has entered into a merger agreement with MGT Capital Investments, a New York Stock Exchange-listed company that runs online gaming sites. Under the terms of the deal, Tera will take a controlling stake in MGT, which will issue common stock shares worth 70% of its pro form equity to Tera’s owners. MGT, which has a market capitalization of $5.2 million, was last quoted at $0.70, up 36% on the day.
http://jlne.ws/1DvX92g
***DA: Um, I think they meant to say “a market capitalization of BTC 19,696.”

Do Cryptocurrencies Such as Bitcoin Have a Future?
WSJ
Despite the mystery, the whiff of scandal, and general public unfamiliarity with the concept, somebody out there is buying, and selling, not just bitcoin but dozens of other cryptocurrencies as well. The total market capitalization for these unregulated electronic forms of payment was roughly $4.04 billion as of mid-February, according to coinmarketcap.com, a website that tracks trading in alternative currencies. More than 500 altcoins, as they are also known, were represented on the site recently.
http://jlne.ws/1M1vbQB

Videocast: Traders see floor in VIX
optionMONSTER
http://jlne.ws/1K8J3wY

EconoMonitor : EconoMonitor » Oil Shock Part 1 – “The Great Sweating”
Satyajit Das – EconoMonitor
The price of crude oil, adjusted for inflation is at 1979 levels, having fallen by over 50 percent since June 2014. This is not the first oil price shock but part of the periodic conflicts in the oil market that John D. Rockefeller a century ago called the “great sweating”.
http://jlne.ws/1K8I8wg
***DA: As opposed to “The Great Sweater,” which I wear every year on Christmas.

LedgerX Selects Ancoa to Deliver First Real-Time Market Surveillance Capability for Bitcoin Options Trading
Press Release
Ancoa and LedgerX today announced that LedgerX has selected Ancoa to provide the first real-time market and trade surveillance platform for monitoring bitcoin options trading on LedgerX. Using the Ancoa platform, LedgerX will be able to instantaneously identify and investigate manipulative behaviors and suspicious trading practices on its own exchange, across other derivatives exchanges and across the multitude of bitcoin spot markets.
http://jlne.ws/1aIA1qA

Regulation and Enforcement

CFTC asks large banks about dividend arbitrage: WSJ
Reuters
The U.S. Commodity Futures Trading Commission is questioning what role global banks played in so-called dividend-arbitrage trades, the Wall Street Journal said on Friday, citing people familiar with the recent inquiry.
In a report from London, the newspaper said that the CFTC is examining the issue after asking banks last year for details about the controversial trades, which can help hedge funds and other clients cut taxes.
http://jlne.ws/1Dw5ByP

Bitcoin Investment Trust Gets FINRA Green Light to Trade
Yessi Bello Perez – CoinDesk
The Bitcoin Investment Trust (BIT) is set to become the first publicly traded bitcoin fund, having received approval from FINRA, the largest independent securities regulator in the US.
http://jlne.ws/1E9ekfp

Strategy

Barron’s Striking Price: The Tug of Cheap Options
Low volatility has reduced the cost—and thus the risk—of making a bet with long calls.
Steven M. Sears – Barrons
Does conviction matter when options prices are cheap?
Trading patterns indicate many investors don’t think so. They are using options to speculate on just about anything that moves.
http://jlne.ws/1APJqpV

Macro Take: Massive downshift in volatility opens up opportunities
TradingFloor.com
Live from the Asia-Pacific! As we kick of the last month of the first quarter, the beginning of the end.
A positive, insightful, profitable and growth-filled week to you all. The epic piece in last week’s Macro Take, a deep dive into Russia: In from the cold of Mother Russia. (Ping me for email version) has unfortunately become even more relevant now, with the sad and recent brutal assassination of opposition leader and democracy champion, Boris Nemtsov.
http://jlne.ws/1AwEp0K

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