Lead Stories

Stocks Rise on Profits as Yen Climbs; Russian Shares Drop
Callie Bost and Joseph Ciolli – Bloomberg
…The Chicago Board Options Exchange Volatility Index (VIX), a measure of stock volatility known as the VIX, rose 0.9 percent to 13.36. The gauge is down 2.8 percent this year.

Gold turns higher on Ukraine worries, options buying
Frank Tang and Clara Denina – Reuters
Gold rose on Thursday as rising geopolitical tensions and options-related buying helped reverse the precious metal’s early sharp losses after it fell to a 2-1/2 month low.
Bullion prices were underpinned after Ukrainian forces killed up to five pro-Moscow rebels as they closed in on the separatists’ military stronghold in the east.

EUR Steady After Volatility Drops To A Multi-Year Low
The FX market has failed to grab the headlines of late as stocks and earnings season hog the limelight. However, some interesting developments are taking place that are worth noting. In EURUSD two key things are worth pointing out:
– Spain managed to sell 10-year debt at a record low of 3.05% on Thursday.
– EURUSD volatility (measured using 1-month options) has fallen to its lowest level since 2007.

ISDA AGM: What does the future hold for the OTC markets?
This was reflected in the various panel discussions and the chatter on the conference floor and through the exhibition hall.
From the opening address and throughout the following two days, the event focused on the benefits derivatives can bring to end-users and the regulatory barriers that might prevent their continued use. This included the requirement to execute some trades on swap execution facilities (SEFs), as well as clearing and reporting requirements.

Bank Cutting Commodities Trade Severs Link With Equities
Isaac Arnsdorf – Bloomberg
Banks’ pullback from commodities trading is weakening the link between raw materials and equities and helping to re-establish supply and demand as the main factor in setting prices, United Nations researchers say.

VIX pullback is good opportunity to go long
By Vishal Kshatriya, Edelweiss Financial – Economic Times (India)
The April F&O series ended with the Nifty gaining around 3%. Telecom, metal, bank and engineering sectors outperformed while real estate, IT and FMCG underperformed during the current series.
We have seen lower-than-average rollover in both Nifty futures as well as market-wide rolls.

Videocast: Reversal in VIX pits
Chris McKhann, optionMONSTER

BNP Paribas appoints to senior roles
Luke Smolinski – Risk Magazine
…Newedge, a multi-asset brokerage and clearing firm, has hired Steeve Charvet as global head of execution for futures, options, equities and fixed income. Charvet will also join the company’s executive committee. He has served as global head of fixed income at Newedge since 2010.
***JB: The article is a laundry list of various people taking different positions.  This one seemed of most interest to our readers.  (Also, “Steeve” is spelled correctly so hold off on the emails.)

The Impact of India’s Election on Volatility
Traders in India are paying up for protection ahead of the country’s May 16 election results
Adam Warner, Schaeffer’s Investment Research
I was out for a couple days, and wouldn’t you know it, everyone’s now fighting to pay up for options. The CBOE Volatility Index (VIX) is surging!
India’s national election is causing a breakdown in the six-year relationship between prices of the nation’s equities and options.


What Maker-Taker Fees Mean To You
Andrew Bloomenthal – Investopedia
Exchanges and a few high-frequency traders are under scrutiny for a rebate pricing system regulators believe can distort pricing and diminish liquidity and cost long-term investors.
So-called maker-taker fees offer a transaction rebate to those who provide liquidity (the market maker), while charging customers who take that liquidity. The chief aim of maker-taker fees is to stimulate trading activity within an exchange by extending to firms the incentive to post orders, in theory facilitating trading.

CME Group Named ‘North America Exchange of the Year’ and ‘Clearinghouse of the Year’ by Global Capital
Press Release (CME Group)
CME Group, the world’s leading and most diverse derivatives marketplace, today announced the company was named ‘North America Exchange of the Year’ and ‘Clearinghouse of the Year’ by Global Capital, a new Euromoney Institutional Investor publication incorporating the former Derivatives Week and EuroWeek.

Regulation and Enforcement

Buyside Clears SEF Regulatory Hurdles
Rob Daly – Traders Magazine
When the U.S. Commodity Futures Trading Commission rolled out the rules for swaps execution facilities, it created a fragmented market structure in which buyside traders could access market liquidity directly, without routing orders through a futures contract merchant by becoming a member of an individual SEF.

S.E.C. Settles With Ex-Nvidia Employee in Insider Trading Case
Matthew Goldstein – The New York Times
The former Nvidia employee who the authorities contend supplied inside information about the chip maker’s earnings to a group of hedge fund traders and analysts has reached a settlement with securities regulators, the regulators said on Wednesday.


Sell in May and Go Away Alternatives (Part 2 – BXY)
Russell Rhoads – CBOE Options Hub
Last night I began a series of blogs that are centered on the Wall Street saying, “Sell in May and Go Away”.  I noted that I like to test such sayings and did find some merit in being out of the market for the months of May through October each year over the past 20 years.   I decided to perform some back testing and substituted systematic option strategies that are tracked by the CBOE for being in cash from May to October.

AAPL Says, “Take That Straddle Sellers”
Mark Sebastian – The Options Insider
This is why we don’t sell cheap straddles:  We noted Tuesday that AAPL IV was at extremely low levels into its earnings announcement yesterday.  Looking at a two year chart of AAPL 30 day IV one will notice this was the cheapest IV has been over that period of time.


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