Scary Bitcoin volatility? $750M in BTC options set to expire for Halloween; US and European stocks slide on worsening Covid outbreaks

Oct 26, 2020

$9,141/$300,000 (3%)
Diane Saucier

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Observations & Insight

HKEX’s Kevin Rideout Talks about MSCI Move to HKEX from SGX

JohnLothianNews.com

Hong Kong Exchanges and Clearing Limited recently signed a long-term agreement with MSCI to list their indices in Hong Kong rather than in Singapore at SGX, which had listed the contracts for decades.

John Lothian of John Lothian News interviewed HKEX executive Kevin Rideout over Zoom on Thursday to ask him about HKEX’s plans for the MSCI index suite. John asked him how the deal occurred, the audience HKEX is targeting for the products, and why these indices are important to global investors.

Watch the video »

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The Spread: A Freight Train of Volatility?
JohnLothianNews.com

This week on The Spread, Cboe is set to acquire BIDS, TT branches out to South Africa, and more.

Watch the video »

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Remembrances of Peter Wind
From Bernie Dan:

My good friend and colleague for 35 years, Peter C. Wind, suddenly passed away on Saturday October 24, 2020. My thoughts and prayers are with Peter’s family, especially his beautiful wife Stephanie, during this difficult time.

Peter was a good man and cared deeply about his family and friends. He was a mentor to many and was always trying to help those in need. He made us all laugh – his infectious humor was priceless. His keen intellect, thirst for knowledge and broad interests enabled Peter to live an interesting and fulfilling life.

To read the rest of these remembrances, go here.

 

Lead Stories

Scary Bitcoin volatility? $750M in BTC options set to expire for Halloween
Joseph Young – Cointelegraph
The upcoming expiration of $750 million in Bitcoin options, which would occur on the last Friday of the month, coincides with other important dates. A big Bitcoin (BTC) volatility spike could occur by the month’s end as two major factors come into play. The BTC options market nears a massive $750 million expiration and the CME futures market’s open interest has also soared.
/bit.ly/31MwCnM

US and European stocks slide on worsening Covid outbreaks
Camilla Hodgson – Financial Times
Wall Street followed European bourses sharply lower on concerns a rising number of coronavirus infections will prompt a new wave of social restrictions that will dampen business activity.
The US benchmark S&P 500 fell 2 per cent in morning trading on Monday. The Vix index rose more than 4 points to 31.6, well above its long-term average of 20, in a sign investors are bracing themselves for flare-ups in volatility in the month ahead.
/on.ft.com/3mtb1IV

The U.S. could be looking at ‘severely’ limited growth even after the pandemic, warns top hedge-fund exec
Shawn Langlois – MarketWatch
That’s Bob Prince, co-chief investment officer of the world’s largest hedge fund at Bridgewater Associates, explaining to Bloomberg in a recent interview why the U.S. is looking at “severely” limited economic growth even after the pandemic.
Going forward, he said, fiscal policy will continue to be the main source of stimulus, which will only serve to fuel the mounting pile of debt and put pressure on exchange rates. This is a problem around the world, too, but it’s more acute outside of Asia, according to Prince.
/on.mktw.net/3otP8uM

European bank ETFs lose out as investors flock to US counterparts
Steve Johnson – Financial Times
Exchange traded fund investors are shunning European banks and flocking to their US counterparts, ignoring valuations that have plunged to their lowest in decades.
The sector last month sank to its lowest level on record as the Stoxx Europe 600 Banks index spiralled below its 1992 nadir. Yet bargain hunters are still thin on the ground.
/on.ft.com/37HiJL7

The Big Short in Treasuries Is Showing Some Pre-Election Cracks
Edward Bolingbroke and Liz McCormick – Bloomberg
Rates traders are starting to question the big short position that’s built up in long-maturity Treasuries on the expectation of a Democratic sweep in next month’s U.S. elections. In the market for options on Treasury futures, trades emerged in the past week that wager against a leap in volatility or a major breakout in yields heading into year-end. Specifically, they benefit from 10-year rates being capped around 1%, less than 20 basis points above current levels. Some popped up Friday, after the final presidential debate.
/bloom.bg/35PRvzJ

Exchanges and Clearing

Effective October 26, 2020 through October 30, 2020, MIAX Options and MIAX Emerald 2X Opening and Intraday Valid and Priority Quote Spread Relief in All Symbols
MIAX Options
Issue Symbol: All Symbols
Multiplier: 2X
Reason: In maintenance of a fair and orderly market.
Time: Opening and Intraday
Subject Summary: Please be advised, effective October 26, 2020 through October 30, 2020, the MIAX Regulation Department has granted 2 times opening and intraday quote parameter relief for all symbols on MIAX Options and MIAX Emerald.
/bit.ly/3mmjWf6

Pre-Execution Communications
CME Group
To Members, Member Firms and Market Users
From Market Regulation Department
# CME Group RA2015-5
Notice Date 26 October 2020
Effective Date 09 November 2020
Effective on trade date November 9, 2020, and pending all relevant CFTC regulatory review periods, this Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice RA2005-5 from July 13, 2020. It is being issued based on changes to the crossing protocol applicable to all CME and CBOT agricultural futures and options with the exception of CME Dairy futures and options.
/bit.ly/2HEyMhL

Exchange for Related Positions
CME Group
To Members, Member Firms and Market Users
From Market Regulation Department
# CME Group RA2016-5
Notice Date 26 October 2020
Effective Date 09 November 2020
Effective on trade date Monday, November 9, 2020, and pending all relevant CFTC regulatory review periods, this Market Regulation Advisory Notice will supersede CME Group Market Regulation Advisory Notice RA1911-5 from December 17, 2019. It is being issued to add new FAQ 28 concerning “true-up EFPs” and to update FAQ 21 to codify that EFRPs must be uniquely identified on account statements and other records of the transaction made pursuant to the requirements of Exchange Rule 536 and CFTC Regulation 1.38.
/bit.ly/2HvU9Sx

Listing of New Futures and Options Contracts
ICE Futures U.S.
Beginning on trade date November 23, 2020, ICE Futures U.S. will list the below Physical Environmental futures contracts for trading.1 The remaining Financial Power, Financial Gas, Oil Americas, and Financial NGL futures and options contracts will be listed for trading beginning December 7, 2020.2
/bit.ly/35EsF5L

Regulation & Enforcement

Notice of Disciplinary Action
CME Group
Member: MERRILL LYNCH COMMODITIES INC.
NYMEX RULE VIOLATION: 538.C. RELATED POSITION
The related position component of an EFRP must be the cash commodity underlying the Exchange contract or a by-product, a related product or an OTC derivative instrument of such commodity that has a reasonable degree of price correlation to the commodity underlying the Exchange contract. The related position component of an EFRP may not be a futures contract or an option on a futures contract.
PENALTY: In accordance with the settlement offer, the Panel ordered MLCI to pay a fine to the Exchange in the amount of $50,000.
/bit.ly/35rJJf1

Options Regulatory Alert #2020 – 36 UPDATED – PHLX, NOM, BX, ISE, GEMX and MRX – Weekly Quote Spread Parameter Relief October 26, 2020 through October 30, 2020
NasdaqTrader.com
Effective October 26, 2020, the updated market maker quarterly quote width requirements on Nasdaq PHLX (PHLX), The Nasdaq Options Market (NOM), Nasdaq BX (BX Options), Nasdaq ISE (ISE), Nasdaq GEMX (GEMX) and Nasdaq MRX (MRX) will be effective October 26, 2020 through October 30, 2020. The exchanges may, in their discretion, amend these requirements by providing notice to members.
/bit.ly/3jCdKOs

NOTICE OF DISCIPLINARY ACTION # NYMEX 19-1102-BC-2
CME Group
Effective Date 26 October 2020
NON-MEMBER:
Laszlo Balogh
NYMEX RULE VIOLATIONS:
Rule 432 General Offenses (in part)
It shall be an offense:
B.1. To engage, or attempt to engage, in fraud or bad faith.
B.2. To engage in conduct or proceedings inconsistent with just and equitable principles of trade.
G. To pre-arrange the execution of transactions in Exchange products for the purpose of transferring equity between accounts.
L.1. To fail to appear before the Board, Exchange staff or any investigative or hearing committee at a duly convened hearing, scheduled staff interview or in connection with any investigation.
/bit.ly/3kxoK0y

NOTICE OF DISCIPLINARY ACTION # NYMEX 19-1102-BC-3
CME Group
Effective Date 26 October 2020
NON-MEMBER:
Peter Ormandi
NYMEX RULE VIOLATIONS:
Rule 432 General Offenses (in part)
It shall be an offense:
B.1. To engage, or attempt to engage, in fraud or bad faith.
B.2. To engage in conduct or proceedings inconsistent with just and equitable principles of trade.
G. To pre-arrange the execution of transactions in Exchange products for the purpose of transferring equity between accounts.
L.1. To fail to appear before the Board, Exchange staff or any investigative or hearing committee at a duly convened hearing, scheduled staff interview or in connection with any investigation.
/bit.ly/3kz5Whq

NOTICE OF DISCIPLINARY ACTION # NYMEX 19-1102-BC-1
CME Group
Effective Date 26 October 2020
NON-MEMBER:
Laszlo Polszter
NYMEX RULE VIOLATIONS:
Rule 432 General Offenses (in part)
It shall be an offense:
B.1. To engage, or attempt to engage, in fraud or bad faith.
B.2. To engage in conduct or proceedings inconsistent with just and equitable principles of trade.
G. To pre-arrange the execution of transactions in Exchange products for the purpose of transferring equity between accounts.
L.1. To fail to appear before the Board, Exchange staff or any investigative or hearing committee at a duly convened hearing, scheduled staff interview or in connection with any investigation.
/bit.ly/3kzlySb

Technology

CCP Tracker; Quarterly data on risk exposures at derivatives clearinghouses
FIA.org
The CCP Tracker is designed to provide greater transparency into the amount of risk in the global clearing system and the financial resources available to protect the system from losses. Using the public quantitative disclosures published by derivatives clearinghouses on a quarterly basis, the CCP Tracker contains a set of charts and tables that allow users to compare several key metrics for each quarter going back to the second half of 2015.
/bit.ly/3kISLLf

Events

Q3 2020 trends in futures and options trading
FIA.org
28 October 2020 • 10:00 AM – 11:00 AM ET • Webinar
How has the pace of global futures and options trading changed during Q3 2020? Which sectors are continuing at a record pace, and which have started to ease back?
Join us on 28 October for a webinar that will present data on volume and open interest across the global listed derivatives markets, with break-downs by asset class and region as well as comparisons to historical trends.
/bit.ly/37C7ZOq

Diversity in financial markets
FIA.org
29 October 2020 • 11:30 AM – 12:30 PM ET
FIA and the Chicago Federal Reserve are teaming up with an expert group of panelists to explore past and present experiences, and the future outlook for a diverse and inclusive derivatives industry. The panelists will explore why diversity is important, how to achieve it and what metrics could be used to determine progress. During this interactive webinar, panelists will also share their experiences and answer audience questions on impactful changes and how to move your organization, and thus the industry, forward.
/bit.ly/31H4OAU

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