Volatility Forum 2024 Part II: All Options Considered

Apr 8, 2024

Observations & Insight


Lead Stories

Volatility Forum 2024 Part II: All Options Considered
Bloomberg (Podcast)
This edition of All Options Considered is part II of the recording of the Bloomberg Volatility Forum 2024 held in London on March 19th. This is the discussion from the second panel on zero-days-to-expiry options (0DTEs) by David Cross, Co-Head of US options at DASH Financial Technologies, Henry Schwartz VP and Global Head of Client Engagement at Cboe Global Markets, JB Mackenzie, Vice President & General Manager at Robinhood and Zubin Ramdarshan, Head of Equity and Index Product Design at Eurex. The panel is hosted by Bloomberg anchor Kriti Gupta. Listen to this episode on Apple Podcasts and Spotify. View the full conference recording on the Terminal here. {BBTV 408791458}
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Doubts dog equity dispersion as market grows up to five-fold; Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Faye Kilburn and Helen Bartholomew – Risk.net
Equity dispersion has become the relative value volatility trade of choice for hedge funds and asset managers, with notionals up as much as five-fold in just four years. It’s a growth spurt leading some to question whether the strategy could be dampening volatility on the Standard & Poor’s 500.
Participants broadly agree that equity dispersion, in which investors bet the volatility of single stocks will outpace index volatility, now represents at least $500 million of vega notional.
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Options traders are reining in their bullish stock-market bets
Joseph Adinolfi – MarketWatch via MSN
Options traders are growing more cautious — but only slightly — as the rally in U.S. stocks recently hit a speed bump.
Data from Charlie McElligott, a derivatives strategist at Nomura, highlighted that demand for bearish put options relative to bullish calls tied to the S&P 500 index has risen over the past few weeks, causing a metric called “skew” to shift higher off historically flat levels. It is a sign that traders have grown slightly more apprehensive about the prospect of a selloff in stocks.
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Interest rates could hit 8% or more and wars are creating outsize geopolitical risks, Jamie Dimon warns; JPMorgan CEO sees opportunity with AI, and says war in Ukraine and hostilities in Middle East pose risks that could eclipse World War II
Ciara Linnane and Steve Gelsi – MarketWatch
Persistent inflationary pressures driven by fiscal deficits and military conflict among other factors may lead to U.S. interest rates of 8% or even more, JPMorgan Chase & Co. Chief Executive Jamie Dimon warned on Monday.
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Oil funds turn bullish as Mideast conflict intensifies
John Kemp – Reuters
Portfolio investors are increasingly bullish about oil as Saudi Arabia and its OPEC? allies restrict production in the face of rising demand and the shadow war between Israel and Iran spills into the open.
Hedge funds and other money managers purchased the equivalent of 37 million barrels in the six most important petroleum-related futures and options contracts over the seven days ending on April 2.
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Exchanges

LCH SA gains regulatory approval to clear cash-settled Bitcoin index derivatives; Clearing services will be provided for cash-settled Bitcoin derivatives traded on GFO-X through LCH DigitalAssetClear.
Wesley Bray – The Trade
LCH SA has received regulatory approval from the French national competent authorities and European supervisory authorities to clear cash-settled Bitcoin index futures and options contracts. Clearing services will be provided through LCH SA’s new dedicated service, LCH DigitalAssetClear, for these contracts traded on the UK FCA regulated digital asset derivatives trading venue, GFO-X.
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Moves

CME’s head of EMEA Michel Everaert leaves firm
Luke Jeffs – FOW
CME Group’s head of Europe, the Middle East and Africa Michel Everaert has left the US firm after two years in the role. London-based Everaert resigned last week and CME staff were informed on Wednesday that Everaert is now on gardening leave so he has effectively left the US exchange group. Serge Marston, CME Group’s head of sales for EMEA, is assuming Everaert’s duties on an interim basis, FOW understands. Everaert is said by sources to have found another role in the industry.
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EEX Group Volumes – March 2024
EEX Group
EEX Group reports its March 2024 volumes with the following highlights: EEX Group global power markets continue their strong growth also in March 2024, with a total of 1,057 TWh traded on the spot and derivatives markets (+39% YoY). Volumes on the European power spot markets increased by 12% YoY, reaching a total of 72.9 TWh. In March, EPEX SPOT registered new monthly records on the German Day-Ahead markets as well as intraday markets in the Netherlands and Great Britain.
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Nodal Exchange Sets New Records and Achieves Highest Quarterly Power Trading Ever in Q1 2024
Nodal Exchange
Nodal Exchange today announced strong performance in power, environmental, and natural gas trading in the first quarter of 2024. In power, Nodal posted a record quarter in Q1 2024 with 892 million MWh power futures volume traded, surpassing Q1 2022’s record of 850 million MWh. Nodal continues to be the market leader in North American power futures having the majority of the open interest with 1.343 billion MWh, representing over $120 billion of notional value (both sides), at the end of March. This is roughly equivalent to the electricity usage of 124 million U.S. households for one year.
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HKEX Monthly Market Highlights March 2024
HIGHLIGHTS – Securities Market
Market capitalisation was $30.3 trillion at the end of March 2024, an increase of 1 per cent from $30.1 trillion at the end of February 2024. The average daily turnover in March 2024 was $111.2 billion, an increase of 24 per cent when compared with $90.0 billion in February 2024. The average daily turnover for the first three months of 2024 was $99.4 billion. The average daily turnover of L&I Products for the first three months of 2024 was $2.5 billion, an increase of 4 per cent when compared with $2.4 billion for the same period last year.
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TMX Group Equity Financing Statistics – March 2024
TMX Group
TMX Group today announced its financing activity on Toronto Stock Exchange (TSX) and TSX Venture Exchange (TSXV) for March 2024. TSX welcomed four new issuers in March 2024, compared with 11 in the previous month and two in March 2023. The new listings were four exchange traded funds. Total financings raised in March 2024 decreased 92% compared to the previous month, and were down 79% compared to March 2023. The total number of financings in March 2024 was 18, compared with 32 the previous month and 30 in March 2023.
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Strategy

Earnings Season
Cboe (Video)
Some upcoming earnings reports to keep a lookout for include $DAL, $BLK, $JPM and $WFC. In #Vol411, Joel Hawthorne @louiswinthrop shares additional earnings season updates, trading action so far today, this week’s economic data and more.
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