JLN Options: Cheap Options, Cover Stories, and the Contrarian Mindset ; Taper Tremors: Volatility Gauge on Track for Sixth Straight Rise; 'Tis the year without volatility

Dec 3, 2013

Lead Stories

Cheap Options, Cover Stories, and the Contrarian Mindset
Bernie Schaeffer – Schaeffer’s Investment Research
I don’t often focus on three-month rolling returns (I tend to focus on full quarters and “quarters to date” and reserve my “rolling” periods to year-over-year returns). But for “laughs and giggles” (my explanation — others may accuse me of not having enough of a life outside the stock market), by way of the impressive screening capabilities at finviz.com, I took a look at the top and bottom performers for the past quarter and found some interesting situations.

Taper Tremors: Volatility Gauge on Track for Sixth Straight Rise
Brendan Conway – Barron’s
A closely watched measure of traders’ worry is creeping higher. The CBOE Volatility Index hit a seven-week high this afternoon and is headed for its sixth straight rise. The gain means investors are paying more to guard their S&P 500 holdings against a decline.

‘Tis the year without volatility
Jason Kephart – Investment News
The S&P 500 is up just over 27% through Monday, putting it on pace to be the best single-year return since the 28.7% it climbed in 2003. What’s made the returns even better, though, is the fact that they’ve come with the lowest volatility since before the financial crisis.

Videocast: Calm holidays for VIX?

DTCC’s ambitious master of change
Anish Puaar – Financial News
The Depository Trust and Clearing Corporation has taken on one of the most ambitious tasks in the post-financial crisis era through its plans to establish trade repositories across the world.

Risk management sweatshops? Number-crunchers move to satellite offices
Joe Rennison – Risk Magazine
From Berlin to Birmingham, from Tampa Bay to Dallas, banks have tried to boost their risk management resources – while keeping a lid on expense – by building teams in relatively low-cost cities. But do these far-flung offices improve performance?


CBOE Names John F. Deters Chief Strategy Officer and Head of Corporate Initiatives
Press Release (CBOE)
The Chicago Board Options Exchange, Incorporated (CBOE) announced today that it has appointed John F. Deters as Chief Strategy Officer and Head of Corporate Initiatives. Deters, 42, is based in Chicago and reports to Edward T. Tilly, Chief Executive Officer, CBOE Holdings, Inc. (NASDAQ: CBOE). Deters succeeds Richard G. DuFour, CBOE Executive Vice President, Corporate Planning and Development, who is retiring at the end of the year.

ISE Reports Business Activity for November 2013
Press Release (ISE)
The International Securities Exchange (ISE) today reported a combined average daily volume (ADV) of 2.6 million contracts in November 2013 for its two exchanges, ISE and ISE Gemini.

Eurex records ADV of 7.5 million contracts in November
Press Release (via Hedgeweek)
At Eurex Exchange, the equity index derivatives segment totalled 43.0 million contracts (November 2012: 49.3 million). The future on the EURO STOXX 50 Index recorded 16.3 million contracts. The options on this blue chip index totalled 15.9 million contracts. Futures on the DAX index recorded 1.9 million contracts while the DAX options reached another 3.2 million contracts.

BOX Price Improvement Activity for November
Press Release (BOX)
In the month of November, price improved contracts on BOX Options Exchange averaged 145,352 per day.
http://jlne.ws/18fxuiS (PDF)

Options Exchange Marketshare – November 2013
From The Options Clearing Corporation (via email)

November 2013 Total Options Marketshare:
AMEX-                 13.66%
BATS-                     2.75%
BOX-                       2.21%
CBOE-                   26.61%                                                            
C2-                          1.80%
GEM-                      2.59%
ISE-                        13.71%
MIAX-                     1.50%
NOBO-                    0.74%
NSDQ-                    7.81%
NYSE Arca-           10.33%
OMX PHLX-         16.30%

November 2012 Total Options Marketshare:
AMEX-                  14.30%
BATS-                      3.58%
BOX-                        3.04%
CBOE-                    24.95%
C2-                            1.45%
ISE-                          15.85%
NOBO-                     0.91%
NSDQ-                      5.61%
NYSE Arca-             11.29%
OMX PHLX-           19.03%

November 2013 Equity Options Marketshare:
AMEX-                  14.88%
BATS-                      3.00%    
BOX-                        2.41%
CBOE-                    20.06%
C2-                            1.96%
GEM-                        2.82%
ISE-                         14.95%
MIAX-                       1.64%
NOBO-                     0.80%
NSDQ-                     8.52%
NYSE Arca-           11.16%
OMX PHLX-          17.78%

November 2012 Equity Options Marketshare:
AMEX-                 15.73%
BATS-                      3.95%
BOX-                       3.35%
CBOE-                   17.86%
C2-                            1.56%
ISE-                        17.32%
NOBO-                    1.01%
NSDQ-                    6.17%
NYSE Arca-          12.35%
OMX PHLX-         20.70%

Regulation and Enforcement

Insider trading trial spotlights trades by SAC’s Cohen
Nate Raymond – Reuters
Portfolio manager Michael Steinberg sought to warn SAC Capital Advisors founder Steven A. Cohen that he was trading in the opposite direction to bets that were based on inside information, a former analyst at the hedge fund testified Monday.

Volcker Rule Set for Dec. 10 Approval by U.S. Regulators
Jesse Hamilton – Bloomberg
U.S. regulators will meet on Dec. 10 to adopt the final version of the Volcker rule banning banks from making speculative bets with their own money, the agencies said in statements today.
**Wake me up when they implement it. -JB

Exemptions in the balance as Volcker debate draws to a close
Peter Madigan – Risk Magazine
Two years on from its first draft, the Volcker rule is close to being finalised, but some regulators are still trying to close what they see as loopholes – and dealers see as vital freedoms.


A Hint of Fear in the Market?
Adam Warner – Schaeffer’s Investment Research
Thanksgiving is done, so we face close to a month of continuous trading. And we have taper talk, to boot! So, the CBOE Volatility Index (VIX) should act relatively well now, right?

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Past Options Newsletters

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