JLN Options: Look Out Vix, Treasury Volatility Falls on Speculation Fed to Maintain Policy, Implied Volatility and the Debt Ceiling Crisis

Oct 28, 2013

Lead Stories

Look Out Vix, Here Comes a New Way to Measure Volatility
Yahoo! Finance
Scott Nations, founder and CIO of NationsShares has a new product coming that he says is a better tool for tracking volatility and the way people on Wall Street really think of it. VolDex is an exchange he’s created that strips away the more obscure derivatives and measure the meat and potatoes options linked to the S&P 500 itself using the SPDR ETF.
***DA: I am dying to know how measuring the volatility of meat and potatoes will help me gauge the market.

Treasury Volatility Falls on Speculation Fed to Maintain Policy
A gauge of Treasury market volatility fell to a five-month low on speculation the Federal Reserve will maintain its debt purchases at $85 billion a month following a two-day policy meeting that ends Oct. 30.
***DA: The Fed is fueling the complacency bubble.

Implied Volatility and the Debt Ceiling Crisis
Dan Passarelli – The Options Insider
In the last couple of months, the market has shown some good movement. The S&P 500 and Dow set their all-time highs and then promptly moved lower. Washington struggled to find common ground which in turned partially shutdown the government and moved stocks all around. Now we are in the middle of earnings season and the roller-coaster ride may continue. It is important for option traders to understand one of the most important steps when learning to trade options; analyzing implied volatility and historical volatility.
***DA: Good overview of the difference between implied and historical volatility.

FENICS Launches LSV-Based FX Options Pricing Software For Exotics
Forex Magnates
FX Options software provider FENICS has today announced the release of a new pricing model which is intended to provide its users with a set of tools in order to price exotic FX options accurately.

8 must-read finance blogs
Christina Le Beau – Crain’s Chicago Business
When finance blogs are a dime a dozen, it can be hard to know which ones are worth the bandwidth. So we’ve curated eight of the best, covering everything from personal finance to commodities trading to free-market rhapsodizing. Better yet, these blogs are all written in Chicago. Sign on and read along.
***DA: Shameless self-promotion. Of course John Lothian News is on the list.

Rowady’s Thoughts on Volatility, Data and Crowd
All About Alpha
If you want to value the derivatives in your portfolio accurately, then you’d love to predict the forthcoming volatility. Right? Since you can’t, you’ll make do with either implied or historical volatility. Still, what you’d really like, the “holy grail” of the knights of valuation, is to know what volatility will be during the life of the instrument.

Barclays Bank PLC Announces Reverse Split Of The iPath S&P 500 VIX Short-Term Futures ETN (VXX)
ETF Daily News
Barclays today announced today that it will implement a 1 for 4 reverse split of its iPath® S&P 500 VIX Short-Term FuturesTM Exchange Traded Notes (the “ETNs”) effective Friday, November 8, 2013.

Sun Holdings Hopes to Grow Newly Acquired Toro Trading
Mary Schroeder – Traders Magazine
The recent acquisition of Toro Trading, an options market maker, by Chicago-based Sun Holdings, the parent of Sun Trading, will help Toro expand its trading reach and access capital to put more of its trading strategies into production, according to Chris Malo, CFO of Sun Trading.


Eurex to list eastern European derivatives based on Vienna’s indices
Press release
Germany’s Eurex and Austria’s Vienna Stock Exchange have formed an index licencing agreement that will see Eurex list new futures and options based on leading indices of the Vienna Stock Exchange.

Euronext exchanges set to map out their future
Financial News
IntercontinentalExchange is just a few regulatory nods away from completing a groundbreaking acquisition of NYSE Euronext – and this is likely to trigger upheaval for Europe’s stock exchange landscape.

Regulation & Enforcement

Senator: Finra too weak to go after deadbeat brokers
By Mark Schoeff Jr. – Investment News
The lawmaker who 20 years ago wrote the legislation that led to the creation of a database containing background information about brokers is calling on financial regulators to crack down on brokers who violate securities rules and continue to practice.


Options and Redline expand partnership
Options, the leading private financial cloud provider for the global capital markets industry, has today announced a further expansion of their partnership with Redline Trading Solutions, Inc., a provider of low-latency market data and order execution solutions, which will see the IaaS provider offer a fully managed ticker plant for options and equities.



Apple, Facebook options reflect hopes for stock gains
The options market is reflecting a higher probability of large upside moves in Apple and Facebook stock when both companies report quarterly earnings this week.

LinkedIn: How to Trade
By STEVEN M. SEARS – Barron’s
It’s time to link up with LinkedIn. Not in any permanent, serious I-love-you kind of way, but in a short-term big-date-to-the-prom way in anticipation of the 109% year-to-date rally is a sign of a good party.


Volatility Views 93: Returning in Style
The Options Insider’s Mark Longo interviews Russell Rhoads, senior instructor at the Options Institute, on retail participation in VIX options.

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