MSCI and Cboe Global Markets enter into a strategic collaboration

Feb 22, 2024

Observations & Insight

Options Discovery Episode 30: Risk Management For Options Portfolios; Hilary Till, Principal At Premia Capital Management, Discusses This And More With JLN’s Asma Awass.
JohnLothianNews.com

In this episode of Options Discovery, Asma Awass discusses the benefits and risks of options portfolios. This episode includes a breakdown of why a trader might want to create an options portfolio as well as how beta affects the risk of a portfolio. Asma then sits down with Hilary Till, principal of Chicago-based Premia Capital Management, LLC and a consultant with Premia Research LLC, who shares more insight on risk management for portfolios. You can check out Premia Research LLC here: https://www.premiaresearch.com/

Watch the video »

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Risk Management For Options Portfolios: Hilary Till, Principal At Premia Capital Management, Discusses Risk Management Strategies In This Options Discovery Full Interview.
JohnLothianNews.com

In this Options Discovery full interview, Asma Awass speaks with Hilary Till, principal of Chicago-based Premia Capital Management, LLC and a consultant with Premia Research LLC. Hilary addresses a variety of topics from her career, including her background in statistics & computer science and how she got into the options industry. Hilary gives more insight into the different kinds of research and publications she has done. She also shares her experience managing risks on portfolios for large companies. You can check out Premia Research LLC here: https://www.premiaresearch.com/

Watch the video »

Lead Stories

MSCI and Cboe Global Markets enter into a strategic collaboration; The two businesses are set to jointly focus on new index options and volatility indices; new options are set to begin trading on 18 March.
Claudia Preece – The Trade
Cboe Global Markets has entered into a strategic collaboration with MSCI in a bid to leverage their combined expertise and develop innovative solutions for investors. Specifically, the initiative will expand Cboe’s suite of Cboe-MSCI index options and volatility indices, introducing five new products. Three are based on additional MSCI global indices: Cboe MSCI World Index Options (MXWLD), Cboe MSCI USA Index Options (MXUSA), and Cboe MSCI ACWI Index Options (MXACW), while two others will broaden its volatility index suite with new Cboe MSCI volatility indices: Cboe MSCI EAFE Volatility Index (VXMXEA) and the Cboe MSCI Emerging Markets Volatility Index (VXMXEF).
/jlne.ws/42NVklL

Man Group Says China Stock Rout Mirrors 2007 US Quant Meltdown
Ye Xie – Bloomberg
China’s equity rout a few weeks ago was exacerbated by quantitative funds stampeding to exit positions, akin to a 2007 episode in the US when such investors suffered an abrupt meltdown that roiled markets. That’s the analysis of Man Group’s Ziang Fang, who said in a note this week that the unwinding of these funds’ positions was so massive that it spurred small-cap stocks to underperform by a historic margin. China’s intervention to stem the turmoil also caused significant market dislocations, compounding the losses for these funds, according to Fang, a portfolio manager at the world’s largest publicly listed hedge fund.
/jlne.ws/3Ia0lLY

Quant Models Went Haywire as Chinese Stocks Crashed and Rallied
Bloomberg
China’s quantitative hedge funds are admitting to unprecedented failures by their stock-trading models during one of the wildest two-week stretches in the market’s history. One manager described it as the industry’s “biggest black swan event.” Another said its models “switched from doing it right to getting it wrong repeatedly.” While historical data on China quant returns is limited, all signs point to record underperformance for such funds – a shock that Man Group has compared with the “quant quake” that wreaked havoc on US managers in 2007.
/jlne.ws/3T8lNrd

US Federal Reserve officials were wary of cutting interest rates too quickly; Minutes from January meeting showed rate-setters remained ‘highly attentive’ to inflation risks
Claire Jones and Kate Duguid – Financial Times
Federal Reserve officials were wary of cutting interest rates too quickly this year, according to a record of their last meeting in January, as they remained “highly attentive” to the risk of resurgent inflation.
While rate-setters were content with progress on reducing inflation and meeting the Fed’s goal of full employment, the minutes confirmed their view that it was too soon to consider cutting rates from their 23-year high of between 5.25 per cent to 5.5 per cent.
/jlne.ws/4bOEYxg

Exchanges

MIAX Named Best Trading Platform at the Fund Intelligence Operations and Services Awards 2024
MIAX
February 22, 2024 — Miami International Holdings, Inc. (MIH), owner of Miami International Securities Exchange, LLC (MIAX ), MIAX PEARL, LLC (MIAX Pearl ), MIAX Emerald, LLC (MIAX Emerald ), MIAX Sapphire, LLC (MIAX Sapphire™), Minneapolis Grain Exchange, LLC (MGEX™), LedgerX LLC (LedgerX), The Bermuda Stock Exchange (BSX), and Dorman Trading, LLC (Dorman Trading), today announced that MIAX has been named the “Best Trading Platform” at the Fund Intelligence Operations and Services Awards 2024.
/jlne.ws/3UKrsox

January 2024 SEF trading activity
FIA
Trading volume on swap execution facilities reached a record $1.48 trillion in average notional value per day during January 2024. This was up 74.6% from the previous month and up 38.1% from the same month of the previous year. Compared to December 2023, trading was up in every sector.
Trading of interest rate swaps and other non-FRA rates products was a record $1.07 trillion per day in January. This level was up 73.5% from December 2023 and up 41.9% from January 2023. Tradeweb had the largest share of trading volume with 64.8%. Tullett Prebon had the second highest share with 11.8%.
/jlne.ws/3wkjWXa

Nifty hits record high, ends above 22,200; NSE VIX dips 5%
Business Standard
The benchmark indices settled higher on Thursday, with the Nifty50 reaching a new high of 22,252.50, propelled by widespread buying across sectors. This upturn came after a negative start, during which the Nifty50 temporarily dipped below 21,900 before staging a rally in the final hours of trading. The market displayed high volatility, largely attributed to the weekly expiry of Nifty50 options. However, the Nifty50 found support at the 21-day EMA on the lower end before surging towards higher levels. IT, auto and metal shares advanced, while banks and financial stocks declined.
/jlne.ws/4bOfzEc

Derivatives Holiday Trading (February 23, 2024)
Japan Exchange Group
The derivatives market will be open for holiday trading on Friday, February 23, 2024 (Emperor’s Birthday)
/bit.ly/3OQHn0N

Strategy

T-Bills Without Tax Bills? This Fund Says It Cracked the Code; A fast-growing exchange-traded fund called BOXX uses an old loophole in a new way.
Zachary R Mider – Bloomberg
A Marine Corps veteran with a finance Ph.D. has come up with a new way to avoid taxes. Any American holding US government securities has to pay income taxes on the interest they generate. For the richest investors, the Internal Revenue Service’s cut is 37%. But a year-old investment fund offers returns that closely track short-term Treasuries, with starkly lower tax bills. The fund, Alpha Architect 1-3 Month Box ETF, uses a complex options strategy and a longstanding tax loophole that favors exchange-traded funds.
/jlne.ws/49KRDQ2

Ether options open interest hits multi-month high with a skew towards calls: analyst
Brian McGleenon – The Block
An analyst has noted a significant surge in options open interest, with the majority of the increase being skewed towards calls.
“Ether options open interest has increased by more than 300,000 contracts in the past week,” Bitfinex Head of Derivatives Jag Kooner told The Block. This concurs with The Block’s Data Dashboard, which shows the total ether options OI across crypto derivatives exchanges has reached a multi-month high of $9 billion.
/jlne.ws/3IapN47

Behind the Ticker: Alpha Architect 1-3 Month Box ETF (BOXX)
Cboe (Video)
/jlne.ws/49nlhLH

Events

Cboe Global Markets to Present at the UBS Financial Services Conference on February 27
Cboe
Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, announced today that Jill Griebenow, Executive Vice President and Chief Financial Officer, and David Howson, Executive Vice President and Global President, will present at the UBS Financial Services Conference in Miami, Florida on Tuesday, February 27 at 10:30 a.m. ET. The live webcast and replay of the presentation will be accessible at www.cboe.com in the Investor Relations section, under Events and Presentations. The archived webcast is expected to be available within an hour of the presentation.
/bit.ly/3woGczb

Miscellaneous

Will a second inflation wave turn the AI boom into a winter of discontent?
Bryce Elder – Financial Times
In case you’re just tuning in, stocks are back at record highs following better-than-expected numbers from a company that makes things hardly anyone understands but everyone apparently needs.
Nasdaq 100 futures are up 2 per cent at pixel time, with Nvidia gaining an entire HSBC in value overnight. To Marko Kolanovic, chief global markets strategist at JPMorgan, all this rampant asset price inflation is beginning to look quite inflation-y:
/jlne.ws/48udwlL

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