Lead Stories

Wall Street’s ‘fear index’ jumps the most in about 5 months as Trump spooks market
Mark DeCambre – MarketWatch
A popular measure of Wall Street fear jumped to its highest level in more than four months on Monday, as the equity market retreated amid concern over President Donald Trump’s controversial executive order aimed at tightening U.S. immigration rules.

***JB: Further below is a story about the VIX at its lowest in 10 years, published 4 hours ago. My how fast things change!

VIX shorts hit new record
Helen Bartholomew – Reuters
Net short positioning in the CBOE’s VIX volatility index futures has hit record highs, despite Wall Street’s “fear gauge” marking its lowest close for three years as it ended Friday’s session at 10.58. The latest Commitments of Traders report from the CFTC, released on Friday, showed that speculators including hedge funds and asset managers held a net short of -134,224 VIX futures contracts – beating the previous record of -133,731 contracts that was reached in September 2016.

Trump Aides’ Confusion Mimicked by Bond, Stock Options Gauges
Tanvir Sandhu – Bloomberg
President Donald Trump’s aides aren’t the only ones offering conflicting interpretations. The markets are as well. While options investors in the U.S. are expressing risk-on sentiment, traders in Treasuries are beginning to sense a risk-off move may be round the corner.

Hedge funds load up on oil calendar spread options to bet on rebalancing
John Kemp – Reuters
Hedge funds are betting heavily that crude oil markets will move into a supply deficit and start to draw down excess stockpiles in 2017. Hedge funds and other money managers have amassed net long positions equivalent to 160 million barrels in calendar spread options on the New York Mercantile Exchange (NYMEX).

OPEC Convinces Investors That Its Oil Output Cuts Are Real
Mark Shenk – Bloomberg
OPEC appears to have persuaded investors that it’s making good on promised production cuts.
Money managers are the most optimistic on West Texas Intermediate oil prices in at least a decade as the Organization of Petroleum Exporting Countries and other producers reduce crude output. Saudi Arabia has said more than 80 percent of the targeted reduction of 1.8 million barrels a day has been implemented. Oil shipments from OPEC are plunging this month, according to tanker-tracker Petro-Logistics SA.

VIX hit lowest level in 10 years
Ritesh Jain – ValueWalk
VIX (volatility index)index hit the lowest level since 2007 before recovering a bit on Friday . VIX is a trademarked ticker symbol for the CBOE Volatility Index, a popular measure of the implied volatility of S&P 500 index options; the VIX is calculated by the Chicago Board Options Exchange (CBOE).

***JB: Published only four hours ago or so and already events have outpaced it.

Dow, S&P 500 aim for worst day in 3 ½ months as Trump orders weigh
Barbara Kollmeyer and Ryan Vlastelica – MarketWatch
The Dow and the S&P 500 index on Monday were on track to register their worst daily loss since mid-October as investors grappled with the latest policy decisions by President Donald Trump. Wall Street also looked ahead to a heavy week of economic data, corporate earnings and the latest meeting by the Federal Reserve set to begin Tuesday.

’50 Cent’ Volatility Buyer Has Options Insiders Asking 21 Questions
Luke Kawa – Bloomberg
People in markets just can’t rap their heads around it. The CBOE Volatility Index, commonly known as the VIX, has closed below 15 for over 50 consecutive sessions and large speculators are short the measure by the most in 12 years — but there’s a steady, sizable source of demand for short-term options from a mystery buyer that will pay off if implied volatility jumps to between 19 and 24.

****SD: Keep it coming Mr. Kawa — first, he starts a story last week with “Move VIX. Get out the way,” and now a 50 Cent themed options piece.

Volatility Patterns Show Nuance Behind Market’s Optimism
Teresa Rivas – Barron’s
Credit Suisse’s Mandy Xu examines volatility in the market in the past week, observing that while investors appear to remain bullish buyers of equities, there’s evidence of some skittishness looking at volatility markers.

Exchanges and Clearing

LedgerX files in US to trade bitcoin options
Julie Aelbrecht – Futures & Options World
The Delaware-based firm has applied to US regulator to be a Sef and a DCO
Bitcoin exchange LedgerX has applied for approval with the US futures regulator to run a swap execution facility and clearing house. The firm has applied to register with the US Commodity Futures Trading Commission (CFTC) to run a swap execution facility (Sef) and a derivatives clearing organisation (DCO). The approval of the application would make the company the first regulated bitcoin options exchange and clearing house to list and clear collateralised, physically-settled bitcoin options.

Nasdaq amends disputed fee proposal for key stock market data
John McCrank – Reuters
Nasdaq Inc (NDAQ.O) no longer plans to charge additional fees to access key data essential for stock market operations following complaints of price gouging from other exchanges, trading firms and an industry trade group, according to a regulatory filing.

NYSE Trading Speed Bump to Counter Flash Boys (ICE)
Gary Ashton – Investopedia
The New York Stock Exchange (NYSE) has reluctantly decided to implement delayed trading on its exchange for small- and mid-cap companies, six months after competitor exchanges adopt a similar model. The decision to implement delayed trading is a direct response to combat problems related to high-frequency trading (HFT). The NYSE’s move is partly intended to comply with regulatory requirements and partly to address issues of exchange competition.

TOM MTF Statistics Week 04, 2017
Click here to download the weekly statistics update of TOM MTF for week 04, 2017.

Mark Shore on VSTOXX Derivatives 3-part series
Mark Shore – Eurex
The 3-part series of Mark Shore on VSTOXX Derivatives is available now.


Thomas Texier Named Managing Director, R.J. O’Brien Limited
PR Newswire via Yahoo
Chicago-based R.J. O’Brien & Associates (RJO), the oldest and largest independent futures brokerage and clearing firm in the United States, today announced the promotion of Thomas Texier to the new role of Managing Director of its London-based affiliate, R.J. O’Brien Limited (RJO Limited).

Regulation & Enforcement

Europe’s Zombie Tax on Trading Kept Alive by Election Season
Jonathan Stearns and Alexander Weber – Bloomberg
A European proposal for a tax on financial transactions is trapped in limbo: financial realities won’t let it come to life while political opportunism is preventing a quick death.

CFTC fines E*TRADE for allegedly destroying customer records
Francine McKenna – MarketWatch
The U.S. Commodity Futures Trading Commission settled charges against Chicago-based E*Trade Securities LLC , an introducing broker, and E*Trade Clearing LLC, the firm’s futures broker-dealer, for record-keeping and supervision violations.


HFT supports liquidity in times of market stability – study
Hayley McDowell – The Trade
High frequency trading (HFT) provides vital support to liquidity in times when markets are stable and not volatile, the French regulator found in a recent study.
The Autorité des marchés financiers (AMF) analysed HFT activity on Euronext over a nine-month period – from November 2015 to July 2016 – during which market volatility varied widely.

City Execution Adds Market Depth Viewer to Eikon
Press Release – OptionsCity
OptionsCity’s City Execution, recently featured in “3 Great New Eikon Apps in 2017” by Thomson Reuters, has added a market depth viewer to their futures trading platform. The market depth viewer had been requested by many Eikon customers for a more complete view of futures markets. The market depth view provides a vertical view of the current order book on a single price scale.


Market Insights: What Does A Super-Low VIX Mean For The Market?
Seeking Alpha
Much has been said about the low levels the VIX has been sitting at lately. It currently sits below 11. I won’t get into the boring details, however, I went back to examine the history of the VIX since 1990, which is as far back as my data stretches. This data showed that the VIX has realized in the first percentile, when it was below 10.70. We are currently in that environment. Here is the 10-year data snapshot that currently indicates that the VIX index has been higher than today’s levels 99.4% of the time.


Trading option that warrants crowing about
Goh Eng Yeow – Straits Times
Spring is in the air as the Year of the Golden Rooster struts in, with the structured warrant market looking forward to a further thaw in sentiment after a spectacular rally following years in the doldrums. Overall warrant turnover more than doubled last year to $7.71 billion from $3.82 billion in 2015 to hit its highest levels in five years.

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