No Sleeping In as Stock Jocks Await Good Friday Jobs Report
Sofia Horta E Costa and Oliver Renick – Bloomberg
Yousef Abbasi will be checking his phone on Good Friday morning, thanks to the U.S. government and phases of the moon.
Technically, he has the day off, with U.S. stock exchanges shut for the holiday. But the Labor Department’s monthly employment report, one of the most closely watched gauges of the U.S. economy, means the chief market strategist of JonesTrading Institutional Services LLC will be up early.
***JB: I’m sleeping in.
U.S. Bull Run Losing Fans as Traders Load Up on S&P 500 Hedges
With rallies in U.S. stocks falling apart on a daily basis, one measure of trader anxiety in the options market is flashing more pessimism than any time in six years.
Bearish puts on the Standard & Poor’s 500 Index outnumber bullish calls by the most since October 2008, with the ratio steepening amid a run of economic reports that trailed analyst forecasts, data compiled by Bloomberg show. Sentiment is deteriorating amid a stretch of volatility that has seen the benchmark gauge for U.S. equities erase annual gains six separate times in 2015.
How Hedge Funds Rake in Cash Shorting VIX Futures
Adam Warner – Schaeffer’s Investment Research
First off, I’d like to wish everyone a nice holiday weekend. Normally, we see the CBOE Volatility Index (VIX) get a bit heavy into long weekends, thanks to the extra day of time decay. It’s not really a volatility dip, rather a “calendar dip.” But alas, the market acts rather weak lately, so we’re in one of those spots where “Fear of Weekend News and Monday Gap” seems to trump “Fear of Paying an Extra Day’s Worth of Decay.”
Eurex up as US options volumes slip back
Cian Burke – Futures & Options World
German exchange Eurex has set the tone for exchange rivals by reporting a strong March and a solid first quarter of the year though volumes were dragged down by its US options venue which has cast a shadow over that market.
Eurex Group, owner of Eurex Exchange and US based International Securities Exchange (ISE), saw solid trading activity in March, with total volumes for the month hitting 210 million contracts up from 200 million last year.
***JB: Press releases from various exchanges on March volumes can be found below under “Exchanges.”
Sharp drop in S&P 500 futures points to nervous market
Lawrence G. McMillan – MarketWatch
When the Standard & Poor’s 500 Index failed to make new all-time highs in mid-March, it opened the door for the bears to gain a foothold. Most of our technical indicators are bearish (although not all), plus the market has had some rather nervous action of late.
Risk Gauges Show Mild Unease Ahead of Easter
The market’s risk gauges were showing only mild signs of unease Wednesday ahead of what for many will be a long Easter weekend.
Traders were a bit surprised at the relative calm given that Friday’s non-farm payroll release, if a surprise, could prompt wide price swings due to the lack of liquidity.
Euronext expands spotlight options segment with options on Grandvision N.V.
Euronext has expanded its Spotlight options offering with options on GrandVision N.V.. The new products follow the company’s successful IPO on Euronext Amsterdam in February and are available for trading on the Amsterdam market with immediate effect. The contracts will have short-term maturities of one, two and three months.
CBOE Holdings Reports March 2015 Trading Volume
Press Release – CBOE
CBOE Holdings, Inc. (NASDAQ: CBOE) reported today that total trading volume during March for options contracts on Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2) and futures contracts on CBOE Futures Exchange (CFE) was 94.9 million contracts, an increase of seven percent versus February 2015 and a decrease of 12 percent from March 2014.
Total options and futures average daily volume (ADV) at CBOE Holdings during March was 4.3 million contracts, a decrease of seven percent from February 2015 and a decrease of 16 percent from March 2014.
CBOE Futures Exchange Reports March 2015 Trading Volume
Press Release – CBOE
CBOE Futures Exchange, LLC (CFE) today reported that March 2015 monthly average daily volume (ADV) and monthly total volume, both exchange-wide at CFE and for futures on the CBOE Volatility Index (VIX Index), increased from last month, although the totals declined from year-ago levels.
March average daily volume in VIX futures was 167,591 contracts, an increase of one percent from February 2015 and a decrease of nine percent from March 2014. Total volume in VIX futures for March was 3.7 million contracts, up 17 percent from the previous month and down four percent from a year ago.
ISE Holdings Reports Business Activity for March 2015
Press Release – International Securities Exchange, LLC
ISE and ISE Gemini combined represent 16.3% of equity options market share, excluding dividend trades.
ISE and ISE Gemini reported a combined ADV of 2.3 million contracts.
Dividend trades made up 0.9% of industry volume in March 2015.
CME Group Volume Averaged 15.0 Million Contracts per Day in First-Quarter 2015, up 10 percent versus First-Quarter 2014, Representing Second-Highest Quarterly Volume Ever
Press Release – CME Group
CME Group, the world’s leading and most diverse derivatives marketplace, today announced that March 2015 volume averaged 13.7 million contracts per day, down 3 percent from March 2014. Total volume for March 2015 was 302 million contracts, of which 88 percent was traded electronically. Options volume in March averaged 2.6 million contracts per day, up 2 percent versus March 2014, with electronic options growing 12 percent over the same period.
OCC Cleared Contract Volume Declined 6% in March, Stock Loan Activity Rose 17%
Press Release – OCC
OCC, the world’s largest equity derivatives clearing organization, announced today that total cleared contract volume in March was 341,593,001 contracts, representing a 6 percent decrease from the March 2014 volume of 362,379,835 contracts. OCC’s year-to-date average daily cleared contract volume is down 9 percent from 2014 with 16,500,170 contracts. Stock loan activity at OCC in March was up 17 percent from March 2014.
March 2015 Total Options Marketshare: (via email from OCC)
NYSE Arca- 8.26%
OMX PHLX- 15.28%
March 2014 Total Options Marketshare:
NYSE Arca- 11.12%
OMX PHLX- 14.15%
March 2015 Equity Options Marketshare:
NYSE Arca- 8.90%
OMX PHLX- 16.67%
March 2014 Equity Options Marketshare:
NYSE Arca- 12.20%
OMX PHLX- 15.63%
Regulation & Enforcement
Financier Lynn Tilton sues SEC after it charges her with fraud
Escalating her battle with the top U.S. securities regulator, flamboyant New York financier Lynn Tilton sued the U.S. Securities and Exchange Commission on Wednesday to stop it from pursuing a case charging that she defrauded her investors.
In a complaint filed in Manhattan federal court, Tilton and her firm, Patriarch Partners LLC, said the SEC violated the U.S. Constitution by bringing its case in an in-house administrative proceeding rather than in federal court.
An Open Challenge to Michael Lewis – Show Me the Front Running
David Weisberger – Traders Magazine
RegOne’s David Weisberger challenges Michael Lewis or any other critic to prove that retail investors are being taken advantage of in the current market structure. In particular, he asks for any critic to name a particular firm who they are willing to assert “front runs” individual investors.
Former Direct Access Partners Execs Sentenced in Bribery Scheme
John D’Antona Jr. – Traders Magazine
You can’t outrun the long arm of the law. But you can plead with it.
Two former top executives with institutional brokerage Direct Access Partners, a firm that shut down in December of 2013 after its clearing firm, Goldman Sachs, stopped clearing its trades, have opted to plead guilty for indiscretions regarding its bond trading business.
The rising challenge of multi-asset trading
Brian Collings – Futures & Options World
Over the years, we have seen increasing demand from financial institutions for a consolidated view of risk and reporting across asset classes. This has been driven, to some extent, by an increase in multi-asset trading, but more so by post-trade regulation.
As a result, back office systems can easily accommodate multi-asset class processing thanks to upgrades undertaken, unlike their front office system counterparts which have not benefited from the same level of development, or at least not to the same extent. Front office technology providers are now playing catch-up with back office systems to enable them to effectively service financial institutions which are increasingly seeking to provide multi-asset class trading.