JLN Options: VIX’s Cup Runneth Over

Feb 13, 2012

Lead Stories

VIX’s Cup Runneth Over
By Brendan Conway, Barrons.com
Even casual observers of the CBOE Volatility Index — that’s the market’s so-called “fear index” — know at least a little about the legion of trading vehicles that the index has spawned. There are at least 45 U.S. ETFs or exchange-traded notes with the words “VIX” or volatility” in the title. To judge by volume and fund flows, this year’s market could be a useful test of which volatility products are really wanted and needed, and which won’t catch on. The $1.1 billion heavyweight in this area, which the ETF reaper will probably spare, is usually known by its ticker alone, VXX. That’s because iPath S&P 500 VIX ShortTerm Futures exchange-traded note (VXX) is such a mouthful.
http://jlne.ws/zQuLbR
Expansion of the German equity option product suite
Deutsche Börse Group Press Release
Eurex: The international derivatives market Eurex Exchange introduced new equity options on 17 shares last Friday, 10 February 2012. 14 of the new options are based on shares which belong to the German mid-cap index MDAX®. This latest offering completes Eurex’s lineup of equity options on MDAX companies. In a further move, an additional 17 equity options based on individual shares in the TecDAX® index will be introduced on 24 February. This expansion will allow Eurex Exchange to offer equity options on all constituents of the German blue-chip indices DAX®, MDAX and TecDAX for the first time.
http://jlne.ws/xS0hyt

U.S. Stock Options With Biggest Changes in Implied Volatility
Bloomberg Feb. 13
The following are the U.S. stock options that had the biggest percentage changes in implied volatility from the previous trading day as of 11:30 a.m. in New York. This {OSCH } search was limited to options that are more than 10 days from expiration, have trading volume of at least 200 contracts and have strike prices within 5 percent of the underlying security’s price.
http://jlne.ws/yQGQBM
 February 13, 2012: Russell 2000 is hit the hardest in selloff
Chris McKhann, optionMonster
tradeMONSTER
The indexes all closed lower on Friday, and the VIX is back over the 20 level for the first time this year.
The Russell 2000 was the hardest-hit of the indexes. It reached its low near the end of the day and finished down 1.4 percent to 813.33. The Nasdaq 100 and S&P 500 hit their lows shortly after the open, retesting them late in the day, and climbed into the close. The NDX was down 0.65 percent on the session to 2547.32, and the SPX fell 0.69 percent to 1342.64. The CBOE Volatility Index (VIX) was up 11.6 percent at the end of the day to 20.79. Interestingly, it hit an intraday high of 21.98 about 45 minutes before the close and then gapped lower.
http://jlne.ws/yEx20N

Exchanges

CME to shrink board of directors
Crain’s Chicago Business
(Reuters) — CME Group Inc.’s super-sized board of directors is about to go on a diet, but the results are going to take a while to show. The giant futures exchange operator, which owns the 164-year-old Chicago Board of Trade and offers trading on assets from oil to interest rates, has the largest board at any U.S. publicly traded company. Despite changes like electronic trading that have swept the exchange industry in the past decade, CME’s board is a throwback to the days when futures markets were private clubs run by their traders. Ten of the board’s 32 members are there to represent the Board of Trade, beneficiaries of a deal made five years ago to grease the way for CME’s acquisition of its smaller rival.
http://jlne.ws/xPXXVx
 Deutsche Boerse Posts Profit as Exchange Plans Dividend, Buyback
February 13, 2012
By Nandini Sukumar
Feb. 13 (Bloomberg) — Deutsche Boerse AG, blocked from buying NYSE Euronext by European competition regulators this month, posted a fourth-quarter profit amid lower costs and higher sales while announcing a stock buyback and dividend. Earnings before interest and taxes at Europe’s largest exchange by market value was 228 million euros ($301 million), compared with a loss of 219.3 million euros a year earlier, the Frankfurt-based company said in a statement today. Fourth- quarter revenue increased 4.4 percent to 541.4 million euros, while net income was 141.9 million euros versus a loss of 61.2 million euros in 2010.
http://jlne.ws/wWXtnK

Options on Futures

Speculators Lift Wagers to Highest Since September: Commodities
February 13, 2012
By Elizabeth Campbell
Feb. 13 (Bloomberg) — Hedge funds increased bets on rising commodity prices to the highest since September on mounting confidence that growth in the U.S. will strengthen demand. Money managers boosted their combined net-long positions across 18 U.S. futures and options by 13 percent to 929,199 contracts in the week ended Feb. 7, Commodity Futures Trading Commission data show. That’s the highest since Sept. 20. Bullish wagers on copper rose to a six-month high, and soybean holdings jumped by the most this year.
http://jlne.ws/z5Drhp

Technology

ISE Introduces Premium Access Connectivity
New 10 Gigabit Connection Offers Ultra-Low Latency to Subscribers
New York, February 13, 2012 – The International Securities Exchange (ISE) is now offering a Premium Access connection in its primary data center. Premium Access subscribers will connect to ISE over Juniper Networks’ high performance, ultra-low latency 10 gigabit Ethernet switches. The introduction of the Juniper switches along with new network cards and a custom load balancing scheme will enable member firms with a direct connection to ISE to reduce their roundtrip network latency by up to 150 microseconds, or approximately 90 percent.
http://jlne.ws/xoTe8j (pdf)

Strategy

Buy Options on U.S. Small-Cap Stocks To Avoid European Woes
By STEVEN M. SEARS, Barrons.com
While Europe remains a risk, profit from small-cap U.S. stocks while limiting risk with call options.
The U.S. stock market has continued to move higher even as the European debt crisis drags on. The Greek parliament’s approval of new austerity measures to secure a debt bailout may have been greeted by rioting in the streets of Athens, but the European Central Bank’s Long Term Refinancing Operation, or LTRO, has stabilized the eurozone banks. As a result of this liquidity injection late last year, global markets’ risk perceptions have abated meaningfully. U.S. stocks, in particular, appear insulated for the world’s woes, which has pushed sentiment measures to bullish extremes. So, some caution may be in order as the crowd crows about stocks.
http://jlne.ws/wuaTYQ

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