This week on The Spread, the CME announces the launch of new volatility indices, the OCC’s David Prosperi retires, and more.
Produced by Mike Forrester.
Welcome to The Spread, I’m Matt Raebel. FIA named Riskfuel its Innovator of the year late last week. Riskfuel is a fintech firm that developed software designed to generate derivatives valuation and risk sensitivity calculations quickly, cheaply, and with low latency, using machine learning models. Compared to other entrants, Riskfuel’s presentation at FIA didn’t have a lot of bells and whistles to it – basically, it does what it does well. Kind of like cooking a nice steak in a cast iron skillet – it’s simple, satisfying, and it gets the job done – only Riskfuel won’t set off your smoke alarms. The world of bitcoin has been on fire lately due to the market price of bitcoin breaking 18K for the first time since 2017. According to data from the blockchain data firm Skew, bullish bets late last week far exceeded bearish ones, although that changed this week as bitcoin has continued to climb and traders seemingly began hedging for a potential correction as one-month implied volatility jumped from about 55 percent to 70.5 percent, a four-month high, in the past two days. Lots of folks seem to be thinking – is it a bubble? Now, I’m not a bubble scientist, but I do know this: usually as soon as you think you know how bitcoin is going to perform, you’re already in trouble. The CME Group has announced the launch of a slew of new volatility indices based on the CME Group Volatility Index – or “CVOL” – methodology. According to a statement published Tuesday, it has begun publishing eight implied volatility indices on its 10-Year Treasury Note futures and G5 FX currency pair futures, and it plans to launch volatility benchmarks for every major asset class in the first half of 2021. Maybe someone ought to tell the CME to consider switching to decaf: “You’re doing fine, guys! Relax!” The OCC said goodbye to its senior vice president of communications, David Prosperi, who retired late last week. His communications career began in 1979 as a press aide for the Reagan campaign, and he returned to his hometown of Chicago to work at the Chicago Board of Trade in 1990, which happens to be the year I was born. Since then, he’s worked in the Chicago finance space in various roles, including working for the OCC for five years, and I’d say he’s earned his retirement. We wish you the best, David. That’s gonna do it for The Spread this week, check out John Lothian News dot com for more news – until next time, stay safe and happy trading.
Riskfuel named FIA Innovator of the Year; Options AI is the runner-up and Wematch wins the People’s Choice Award
Bitcoin’s Options Market Shows Strongest Bullish Mood on Record
Omkar Godbole – Coindesk
Bitcoin Options Investors Are Starting to Hedge Against Potential Price Pullback
Omkar Godbole – Coindesk
CME doubles down on volatility
Lynne Marek – Crain’s Chicago
CME Group Announces Launch of New Implied Volatility Indexes
The CME Group (press release)
David Prosperi retires from OCC
Drew Nicol – Securities Finance Times