JLN Options: Option Trades See Funding Stress from Rate-Manipulation Probe

Jun 28, 2012

Lead Stories

Option Trades See Funding Stress from Rate-Manipulation Probe
Howard Packowitz, The Wall Street Journal
Eurodollar options traders on Thursday signalled that a key interbank lending rate is expected to rise in the wake of the first settlement surrounding allegations that it was manipulated by financial institutions.
http://jlne.ws/OEDYA1

Buy Side Turns to Options as Strategies Grow More Complex
Justin Grant, Advanced Trading
U.S. buy-side trading firms are expanding their use of options and are turning to complex strategies such as multi-legged spread trades that are being executed through direct market access and algorithms, research firm Tabb Group said in a report.
http://jlne.ws/LTMFBI

OIC and CISI Content Sharing Agreement Expands Access to Options Trading Education
Press Release
he Options Industry Council (OIC) and the Chartered Institute for Securities & Investment (CISI) have signed a content sharing agreement making OIC’s renowned equity options educational materials available to CISI’s global membership.
http://jlne.ws/LTMsye

OptionMonster Daily Volatility Report with Jamie Tyrrell of Group1 Trading:

Exchanges

Changes to Option Contract Reasonability Limit Levels (ICE Futures U.S.)
Press Release
Effective with the start of trading for trade date Monday, July 16, 2012, the Exchange will implement revisions to Reasonability Limit (“RL”) levels for Sugar No. 11, Cotton No. 2, Coffee “C”, Cocoa, FCOJ, Russell Index and USDX options contracts. The new schedule of option contracts No Cancellation (“NCR”) and RL levels is shown below; no changes are being made to NCR levels at this time.
The new RL levels provide that the RL for a given option (including outright options, option combination transactions and hedged options) will be equal to three times the NCR for the option. Prior to this change, the RL is calculated as 20% of the fair value of the option, subject to specified minimum and maximum RL levels.
http://jlne.ws/KPvDa9 (PDF)

Updated Date: Changing ArcaBook Consolidated and Complex Channels (NYSE Amex/Arca Options)
Press Release (via email)
Please be advised that the Exchange has moved the date when ArcaBook (AB) series status channel (subscription 125) and complex channel (subscription 124) will be discontinued.  To allow our participants time to make the change, these two channels will be discontinued on July 16, 2012.    Please start using the new channels; AB consolidated channel (subscription 122) and the new complex channel (subscription 123).
AB consolidated channel (subscription 122) which sends all the series status messages will now also send crossing RFRs for regular series.   The new complex channel (subscription 123) will support all the existing complex messages as well as new complex RFR messages and complex series status messages.  Both of these new channels are uncompacted.

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Pending Fee Changes For July 1, 2012 (NYSE Amex Options)
Press Release (via email)
The Exchange, subject to effectiveness of pending rule filings, is intending to make several fee changes for July 1.
The monthly ATP Fee for Order Flow Providers and Clearing Members will increase from $500 per month to $1000 per month.  There will be no change to the monthly ATP Fee for Floor Brokers.
The fees for electronic Broker-Dealer and electronic Professional Customer transactions will increase to $.28 per contract.
At the same time, Broker-Dealers and Professional Customers who achieve sufficient average daily “taking” volume will be able to earn discounts of up to $.05 per contract depending upon the amount of “take” volume executed during the month.  The proposed volume based tiers and associated rates per contract are shown below.

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Technology

Options Analytics Specifications Now Available
Press Release
Pending the imminent launch of Options Analytics, NYSE Technologies informs clients that specifications are now available.

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 NYSE Technologies would like to inform clients that specifications and IP addresses for the forthcoming Options Analytics market data feed are now available.
Options Analytics is a real-time market data feed that includes implied volatilities and Greeks for U.S. listed options, monitoring the entire U.S. OPRA Composite NBBO feed and U.S. Level 1 Composite feeds for underlying stocks and indices. this low-latency, ready-to-use data feed will provide critical analytical content for options market participants.
Specifications and IP addresses can be found on the nyxdata.com product page and IP address page respectively.
http://jlne.ws/LTOdvB

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