The Spread: An Eligible Bachelier

This week on The Spread, the OCC wins best equities clearing house for the third year in a row, a couple of Cboe directors bow out, we discuss the Bachelier model, and more.

Produced by Mike Forrester.


Welcome to The Spread, where we’re missing the great outdoors just as much as you are. I’m Matt Raebel. The OCC announced this week that it was named the best equities clearing house by Markets Media for the third year in a row. Considering how well they’ve been managing the unprecedented volume of contracts traded over the past few weeks, I’d say at the very least they’ve earned a gold star or two. Cboe had their annual meeting this week, and announced the preliminary shareholder voting results for their board of directors elections. Spoiler alert: almost everybody on their board of directors will be holding onto the reins for the time being. Two exceptions mentioned in the statement they put out on May 12th is that Carol Stone and Frank English, Jr. did not stand for re-election. Stone had been on the board since Cboe’s IPO in 2010, while English served from 2012 until this year. Small point of order here – a few weeks ago, I discussed the oil markets and the Bachelier options pricing model – the pronunciation of which I butchered by saying, “the (BAyAH-chu-LEER)” model in my natural Midwestern drawl. I would promise to speak all French terms that come up on this show perfectly from now on, but I think we both know that’s not gonna happen. Negative oil prices were the subject of an early-morning webinar hosted by the FIA this week, because working in your pajamas doesn’t mean you get to get out of working. Derek Sammann of the CME said at one point that the exchange put out notices and advisories about the possibility of negative prices calculated under the Bachelier model, rather than sounding the alarms by putting out a full press release. He said the CME was worried that a press release would lead to “unintended consequences.” Can’t fault them for being too careful. JLN also hosted our own webinar on the Bachelier model, which we’ll discuss more next week. Speaking of being careful, the CFTC issued a statement this week cautioning traders about the possible return of negative oil prices. They also advised exchanges to be vigilant in exercising emergency authority, lest the markets become too disorderly. “Nice market you got there. Be a shame if things got too rowdy and somebody…suspended trading.” Big announcement from Miami international Holdings this week, confirming that MIAX PEARL Equities — the first equities exchange in the MIAX family — will launch September 25, 2020 pending SEC approval. Testing dates will come out “soon,” depending on regulatory and quarantine-related conditions. It’s like when you’re on a long drive with little kids, and they ask, “are we there yet?” and you say, “no,” and they ask, “when will we get there?” and you say, “soon” to reassure them and to give yourself some peace. Thanks for joining us this week. We hope we’ll begin to return to some semblance of normalcy soon – until then, stay safe and happy trading.


OCC Named Best Clearing House – Equities by Markets Media

Cboe Global Markets Announces 2020 Annual Meeting Results

FIA Negative Price Webinar Emphasizes Proactive Communications
John Lothian – John Lothian News

CFTC warns on return to negative oil prices
Gregory Meyer – FT

MIAX PEARL Equities Announces Upcoming Testing Dates  Exchange Reaffirms September 2020 Launch Date



A young woman wearing a hijab on a pink background.

Asma Awass

I am a Finance and Business Analytics student at UIC. I am an active member of my university’s boxing club and I also enjoy the creative arts.

Full Episodes

Full Interviews

Episode Podcast