S&P Forgot to Update the XIV Index
Matt Levine – Bloomberg
Credit Suisse Group AG used to have a product called XIV, the VelocityShares Daily Inverse VIX Short-Term ETN, an exchange-traded note that you could buy to bet against volatility. Loosely speaking, XIV gave you the daily inverse of VIX, the CBOE Volatility Index: If the VIX went up by 5% in a day, you lost 5% of your money; if it went down by 10% in a day, you added 10% to your money. One day — Monday, Feb. 5, 2018 — the VIX went up by 115.6%, from 17.3 the previous Friday to 37.3 that day. 1 So XIV investors lost all their money that day, and XIV doesn’t exist anymore. Fine!?
SPAC Selloff Bruises Individual Investors
Amrith Ramkumar – WSJ
Shares of special-purpose acquisition companies and firms they have taken public are tumbling, punishing individual investors who piled into the once-hot sector. The Defiance Next Gen SPAC Derived Exchange-Traded Fund, which tracks companies that have gone public through SPACs along with SPACs that have yet to do any deals, has fallen about 30% in the past three months and recently hit a six-month low. Popular firms tied to the sector such as electric-car-battery company QuantumScape Corp. and space-tourism firm Virgin Galactic Holdings Inc. are down 50% or more during that span. SPACs listing splashy firms such as electric-car startup Lucid Motors and personal-finance company Social Finance are also taking a beating.
US regulatory scrutiny of index providers mounts
Chris Flood – FT
A top US regulator has signalled that greater scrutiny of index providers could be necessary after the Securities and Exchange Commission hit S&P Dow Jones Indices with a $9m penalty for publishing incorrect data on a key measure of US equity market volatility. Hester Peirce, one of five politically appointed commissioners at the SEC, said on Monday that it was time to examine “whether a regulatory framework for index providers was appropriate and, if so, what it should look like.” “I am open to exploring the need for and propriety of such a framework,” said Peirce, after the penalty was announced.
Brexit Britain’s New Carbon Market Makes Polluting Pricier
Will Mathis – Bloomberg
The first handful of trades in the U.K.’s new carbon market on Wednesday morning indicates that polluting will be more expensive for everyone from power plants to factories than it is under the European scheme. The launch of the U.K.’s own carbon system is a replacement for the country’s participation in a nearly identical EU program that’s been going since 2005. Putting a price on carbon raises the dilemma for a British government of how to be a world leader on climate issues, but also make sure its businesses can compete globally.
Oil Sinks Most in Six Weeks Amid Broader Market Meltdown
Andres Guerra Luz – Bloomberg
Oil plunged by the most in six weeks alongside a broader market decline with traders also concerned with growing supply from the U.S. and Iran. Futures in New York tumbled as much as 5.4% on Wednesday amid increasing inflation fears. Equities declined and the dollar strengthened, making raw materials priced in the currency less attractive. Meanwhile, in the oil market, a U.S. government report showed domestic crude stockpiles surged by the most since mid-March last week. Traders are also following talks between world powers in Vienna around reviving an agreement that could remove U.S. sanctions on Iran’s crude exports. The Persian Gulf country said texts are mostly drafted for a return to the deal.
Crypto Complex Left Reeling as Bitcoin’s VIX Blasts Past 110
Justina Lee – Bloomberg
Bitcoin’s plunge below $40,000 is sending shock waves across the booming world of crypto derivatives. Just as big S&P 500 selloffs rock options and futures markets, the speculative ecosystem underpinning the industry is getting whipsawed by the $500 billion rout in the biggest cryptocurrency — a meltdown now deepening with disruptions at Binance and Coinbase, two major exchanges.
Exchanges and Clearing
ICE Reports Record Futures Open Interest of 47 Million Contracts Reflecting Depth of Liquidity Across Asset Classes; Record TTF Futures OI of more than 1.9 million; Murban Futures at Record OI of 52,148
Intercontinental Exchange, Inc.
Intercontinental Exchange, Inc. (NYSE:ICE), a leading global provider of data, technology, and market infrastructure, today announced record Total Futures Open Interest of more than 47 million contracts on May 17, 2021. ICE’s TTF natural gas futures contract reached an all-time open interest record of approximately 1.93 million contracts on May 17 and is up 20% year over year (“y/y”). Average daily volume (ADV) in TTF futures and options has grown over 40% per year on average since 2016. TTF ADV is approximately 127,000 contracts today, based on a 250 day average, reflecting the growth in trading activity as TTF is increasingly used by the market to provide a global gas price.
World Federation of Exchanges publishes Derivatives Report 2020
The World Federation of Exchanges (WFE) today published its annual report analyzing trends in the exchange-traded market in 2020. The Derivatives Report 2020 is based on the WFE’s annual survey of derivatives markets, which includes voluntarily provided data from WFE members, affiliates, and other infrastructure providers.
Amendments to the Strike Price Increments for Five (5) WTI Crude Oil Weekly Options and Five (5) Brent Last Day Financial Weekly Options
Effective Sunday, June 27, 2021 for trade date Monday, June 28, 2021, New York Mercantile Exchange, Inc. (“NYMEX” or “Exchange”) will implement amendments to the strike price listing increments for five (5) WTI Crude Oil Weekly Options and five (5) Brent Last Day Financial Weekly Options contracts (the “Contracts”) commencing with the July 2021 weekly options contracts and beyond for trading on the CME Globex electronic trading platform (“CME Globex”) and for submission for clearing via CME ClearPort (collectively, the “Rule Amendments”) as more specifically described in the table below.
Webinar: Understanding the Protective Put
Wednesday, June 09, 2021
3:30 – 4:30 PM CST
In the equity market, downside risk is always a consideration for investors. However, for some portfolios, certain options may help mitigate the potential for a loss of capital. One such strategy is the protective put. If you want to learn more about protective puts, and if they may be right for you, join The Options Industry Council on June 9th for a free webinar led by former professional options trader Ken Keating.
Webinar: Understanding Option Collars
Wednesday, July 14, 2021
3:30 – 4:30 PM CST
For many option investors, collars can be a core strategy. Generally, collars are created by combining an income opportunity with a protective aspect around a long stock position – but knowing the details is critical. On July 14, join OIC’s Ed Modla, a former market maker, to learn about traditional collars as well as variants.
Asset Management Derivatives Forum 2021; Co-hosted with SIFMA AMG
8 June 2021 – 9 June 2021 • 10:15 AM – 1:30 PM ET Daily • VIRTUAL
FIA and SIFMA AMG are bringing you a virtual take on the Asset Management Derivatives Forum in 2021. Join us for virtual programming on June 8 and 9, during which market participants from all sides of a trade and leading regulators will examine the latest developments impacting the use of derivatives by asset managers, including business, clearing, regulatory and operations issues.
With keynote speakers and panels, this virtual Forum presents a unique opportunity to gain insights into how investors, sell-side firms and market structure operators view the landscape for derivatives activity by the asset management community, attracting attendees from the joint membership of FIA and SIFMA Asset Management Group.
Clearing 101: Exchanges, Clearinghouses and CCPs
Dates: Sep. 15, 2021 12:00 p.m. – Sep. 16, 2021 1:30 p.m. ET.
Location Virtual Live. Two 90-sessions over 2 days.
Instructor: Marti Tirinnanzi
Registration is limited to approximately 20 participants to promote student participation and interaction.
Join us for a short program (90 minutes each day for 2 days) that explains the multilateral systems that provide the infrastructure for transferring, clearing and settling payments, derivatives and other financial transactions among financial institutions and end users. Following Dodd Frank, clearinghouses became designated as Systemically Important Financial Market Utilities, vital to the operations of the financial markets and subject to heightened regulatory scrutiny. Buyers and sellers in exchange transactions rely on clearinghouses to intermediate transactions and to manage credit risks between trading parties. As such, clearinghouses promote transparency, efficiency, and stability by providing market-based pricing, daily settlement, and ensuring adequate capitalization for markets to function.
Q2 2021 trends in futures and options trading
28 July 2021 • 10:00 AM – 11:00 AM ET
Moderator: Will Acworth, Senior Vice President, FIA
This webinar highlights the main trends in trading activity in the second quarter of 2021 in the global exchange-traded derivatives markets, with category and regional breakdowns as well as exchange and contract rankings.
(Podcast) OIR INTERVIEWS: A New Flavor of Put-Call Ratio
Options Insider Radio Interviews
In this episode, Mark is joined by: Garrett DeSimone, Head of Quantitative Research, OptionMetrics
Mark and Garrett discuss: what is OptionMetrics, what a banner year it has been for volatility, thoughts on GameStop and retail trading, how do you create a new, and potentially more accurate, put/call ratio for the post-GameStop era? And much more…