JLN Options: Volatility Seen in Treasuries as Traders See Higher Yields; Equity & options SROs respond to SEC concerns; Does Volatility Matter?

Nov 12, 2013

Lead Stories

Volatility Seen in Treasuries as Traders See Higher Yields (2)
Liz Capo McCormick – BloombergBusinessweek
U.S. government debt is becoming increasingly perilous to options traders who are pushing up the cost to protect against sudden losses by the most in a year, even as Federal Reserve stimulus suppresses volatility.
http://jlne.ws/HSq77F

Equity & options SROs respond to SEC concerns
Press Release (ISE — Note most exchanges published this same press release and not just the ISE)
The SROs have come to general agreement on certain recommendations and preliminary implementation timetables in response to the September 12, 2013 meeting between leaders of the equities and options exchanges, FINRA, DTCC and Options Clearing Corporation and SEC Chair Mary Jo White.
http://jlne.ws/1fzvELE

Does Volatility Matter?
Gabe Velazquez – Inside Futures
In the last several weeks, there has been lots of talk among traders about the small intraday ranges in the S&P 500 e-mini futures contract.  Yes, volatility in the stock index futures has been subdued lately, largely due to the fact that three of the major averages (S&P 500, the Dow Industrials, and Russell 2000) continue to breach their all-time high.
http://jlne.ws/1fzxE6G

Videocast: VXX ‘contango bleed’
optionMONSTER
http://jlne.ws/HLtNY6

Exchanges

CME Group hikes transaction fees for 2014
Tom Polansek – Reuters
CME Group Inc, the largest U.S. futures exchange operator, on Tuesday said it would increase transaction fees for nearly all its major products next year after making investments in resources and technology.
http://jlne.ws/HSoo2c

CBOE Russell 2000 Volatility Index Futures And Options Launch Dates Announced
Press Release (CBOE)
CBOE Holdings, Inc. (NASDAQ: CBOE) today announced it will launch futures and options on the CBOE Russell 2000 Volatility Index in coming weeks. CBOE Futures Exchange (CFE) will begin trading the futures (ticker: VU) on Monday, November 18, and Chicago Board Options Exchange (CBOE) plans to introduce trading in the options (ticker: RVX) on Monday, December 2.
http://jlne.ws/1fzvt2N

NYSE Euronext takeover poses tough challenges for ICE boss
Arash Massoudi and Neil Munshi – Financial Times
Jeff Sprecher has built an enviable reputation by turning IntercontinentalExchange into the leading home for energy derivatives trading in just 14 years.
But as the ICE chief executive takes control of NYSE Euronext on Wednesday, he steps into unfamiliar territory as the new owner of the world’s most high-profile stock exchange.
http://jlne.ws/1ckJgry

ICE boss has eye on interest rate swaps
Neil Munshi – Financial Times
Jeff Sprecher has long sought an interest rate derivatives business.
His first shot at one came in 2007 with an unsuccessful attempt to halt the Chicago Board of Trade’s sale to CME. The ICE head then tried to purchase Liffe in 2011 by combining with Nasdaq OMX in a failed attempt to break up the merger of NYSE and Deutsche Börse, which was later blocked by regulators.
http://jlne.ws/HPNQFl

Regulation

Obama to Nominate Treasury Official as Top Derivatives Regulator
Alexandra Stevenson and Ben Protess – Dealbook
President Obama will nominate a senior Treasury Department official, Timothy G. Massad, on Tuesday as the new chairman of the Commodity Futures Trading Commission, an agency that polices some of Wall Street’s riskiest activity.
http://jlne.ws/HSpUBw

SEC chair eyes “zero tolerance” of trading errors
Richard Henderson – The Trade
Speaking at the Securities and Industry and Financial Markets Association annual meeting in New York on Tuesday, White said the industry and its regulators should aim for zero tolerance. Tuesday marked the deadline for feedback from exchanges summoned by the SEC in September after a Nasdaq glitch halted trading for three hours.
http://jlne.ws/1fzqX4q
**Anyone who messes up will be put on double-secret probation. -JB

U.S. authorities probing New York SEC staff investments -WSJ
Reuters
Federal prosecutors and the office of the inspector general of the U.S. Securities and Exchange Commission have contacted some employees in the SEC’s New York office in a probe of possibly improper financial holdings, the Wall Street Journal reported on Monday.
http://jlne.ws/1fzrsvd

Options Education

Volatility products within family office portfolio: keep it simple or minimise risk in other ways?
Vita Millers – Risk.net
Volatility plays executed with caution can be useful in a portfolio, although a well-diversified portfolio could achieve similar risk management objectives, according to speakers at the Demystifying Structured Products panel session held in London on November 7.
http://jlne.ws/17Seqtt

Beware the Pitfalls of Backtesting
Adam Warner – Schaeffer’s Investment Research
As someone with a statistical approach to the market (and… well, most everything), I tend to rely a ton on backtested data. Pretty much every time I write about a CBOE Volatility Index (VIX) rule, it’s based on backtested data.
http://jlne.ws/HLtUDc

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