Wall Street’s New Fear Gauge (VIX1D) Is Trading in Curiously Stable Way

Jun 7, 2023

Observations & Insight

0DTE Options and Single Stock Futures – Two Products Linked Together in My Mind

Back in 2000 and years forward I was a huge proponent of single stock futures. I thought it was a product that was going to transform the futures industry as it opened up hundreds of new potential contracts to trade, new ways to hedge stocks, more efficient clearing and innovations in stock lending. Despite my enthusiasm, educational efforts, and even boosterism, the product and the exchanges listing the product ultimately failed in the United States.

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Arianne Adams celebrates three Cboe anniversaries and talks about the exchange’s evolving product lineup and opportunities for future growth at OIC 2023

JLN spoke with Arianne Adams, senior vice president, Cboe Global Markets, at the OIC Conference in Nashville in April. She talked about Cboe’s three anniversaries in 2023 and the continued growth in Cboe’s proprietary products, enhancing capital efficiencies, the popularity of 0DTE options, and the 1-day Volatility Index.

Watch the video »

Lead Stories

Wall Street’s New Fear Gauge (VIX1D) Is Trading in Curiously Stable Way
Lu Wang – Bloomberg
Designed to capture the mood of investors in a wild corner of the stock market, Wall Street’s new fear gauge is behaving in a decidedly un-volatile way. And that’s confusing traders accustomed to fast-changing moves in the world of options.
Like clockwork every day since its creation in late April, the Cboe One-Day Volatility Index has opened lower, dropping 3.2 points on average from its previous close.

Surge In 0DTE Options Volume Spurs Creation Of Cboe’s 1-Day VIX
Seeking Alpha
As seen in the surge in zero-day options (0DTE) trading volumes, interest in shorter-duration derivatives has skyrocketed.
According to the Financial Times, about half of the options volume in the S&P 500 during the month of April was in options that expired on the day of the trade.

Wall Street’s ‘Fear Gauge’ at 3-Year Lows as S&P 500 Nears Bull Market
Martin Baccardax – TheStreet
The stock market’s key volatility index, often called Wall Street’s Fear Gauge, this week has slumped to its lowest in three years as the S&P 500 looks set to break into bull-market territory.
Easing concern that a recession will set in and fading prospects for Federal Reserve rate increases are key factors in the move.

Traders Now Fully Price In a Fed Hike by July as US Yields Climb
Michael Mackenzie – Bloomberg
The Treasury market restored the full pricing of Federal Reserve tightening by July, which would be the last interest-rate hike in 2023.
The latest shift in expectations for Fed policy was accompanied by a slide bonds, with the yields on two- and five-year Treasuries up at least 11 basis points. Selling picked up after the Bank of Canada cited stubborn inflation pressures for delivering a quarter-point hike Wednesday.

Treasury’s $1 Trillion Debt Deluge Threatens Market Calm
Eric Wallerstein – WSJ
Investors are bracing for a flood of more than $1 trillion of Treasury bills in the wake of the debt-ceiling fight, potentially sparking a new bout of volatility in financial markets.
Some on Wall Street fear that roughly $850 billion in bond issuance that was shelved until a debt-ceiling deal was passed—sales expected between now and the end of September, according to JPMorgan analysts—will overwhelm buyers, jolting markets and raising short-term borrowing costs.

Libor’s long goodbye
Financial Times
There’s been a looming deadline hanging over financial markets. It’s coming to an end this summer. And the deadline has to do with shifting away from this notorious benchmark rate called Libor. It was used for decades to price different kinds of investments like loans. When regulators announced a few years ago that the global financial system would be moving away from Libor, the task seemed kind of daunting. Here’s the FT’s US capital markets correspondent Harriet Clarfelt.

Farmer sentiment sours as crop prices decline
CME Group
Producer sentiment fell to its weakest reading since July 2022, as the Purdue University/CME Group Ag Economy Barometer declined 19 points to a reading of 104 in May. The Index of Future Expectations was down 22 points to a reading of 98 in May, while the Index of Current Conditions was down 13 points to a reading of 116. This month’s lower sentiment was fueled by drops in both of the barometer’s sub-indices and likely triggered by weakened crop prices.


Miami International Holdings Launches New Real-time Clearing Platform on Minneapolis Grain Exchange
Miami International Holdings, Inc. (MIH), owner of Miami International Securities Exchange, LLC (MIAX), MIAX PEARL, LLC (MIAX Pearl), MIAX Emerald, LLC (MIAX Emerald), Minneapolis Grain Exchange, LLC (MGEXTM), LedgerX LLC (LedgerX), The Bermuda Stock Exchange (BSX), and Dorman Trading LLC, today announced the successful launch of a new real-time clearing solution for MGEX, a Designated Contract Market (DCM) and Derivatives Clearing Organization (DCO).

Eurex to build an EU-based liquidity pool for Euro short-term interest rate derivatives
Eurex will expand its Partnership Program for interest rate swaps to include short-term interest rate (STIR) derivatives segment. By combining an EU-based liquidity pool for STIR derivatives with its leading long-term interest rate (LTIR) derivatives segment and its OTC interest rate offering, Eurex further enhances margin efficiency. With this market-led solution to create an alternative liquidity pool for STIR derivatives, Eurex supports the EU’s systemic risk management and strategic autonomy agenda.

Euronext announces June 2023 quarterly review results of the AEX Family
Euronext today announced the results of the June 2023 quarterly review for the AEX, AMX, AScX and AEX ESG, which will be implemented after markets close on Friday 16 June 2023 and will be effective from Monday 19 June 2023.

Nodal Exchange achieves records in power and environmental futures in May
Nodal Exchange
Nodal Exchange today announced new records in power and environmental futures. In power, Nodal set a calendar month record for May with traded power futures volume of 234 million MWh, up from 220 million MWh in May 2022. Nodal continues to be the market leader in North American power futures with 52.6% share of open interest at the end of May with 1.286 billion MWh open interest representing $111 Billion of notional value based on both sides.

Regulation & Enforcement

Cboe’s Crypto Unit Receives CFTC Approval for Margined Digital Asset Futures
Helene Braun – Coindesk
The crypto unit of Cboe Global Markets, Cboe Digital, has received approval by the Commodities and Futures Commission (CFTC) to start offering margined bitcoin (BTC) and ether (ETH) futures contracts, the company announced Tuesday.
Traders on Cboe Digital will be able to trade physically and financially settled bitcoin and ether contracts as soon as the second half of 2023, said a company statement. Prior to the approval, the platform only allowed the trading of fully collateralized crypto futures.

SEC Sues Coinbase, Alleges It Is Unregistered Broker
Dave Michaels and Vicky Ge Huang – WSJ
The Securities and Exchange Commission sued Coinbase increase; green up pointing triangle on Tuesday, a back-to-back punch by regulators trying to rein in the crypto industry.
The SEC alleged that Coinbase, the largest crypto exchange in the U.S., violated rules that require it to register as an exchange and be overseen by the federal agency.


GameStop’s stock rallies as options traders prep for a big post-earnings move
Tomi Kilgore – MarketWatch
Shares of GameStop Corp. surged Wednesday as investors prepped for the videogame and consumer-electronics retailer’s quarterly results. The stock has a recent history of large post-earnings gains.
While the stock-options market didn’t pick a side, it was also ready for a bigger-than-average post-earnings move.

$700 Billion in Calls
In today’s #Vol411, @JoeTigay talks about #options activity, the #VIX being at its lowest since pre-COVID, the possibility of a bull market for the S&P 500 and more.


Cboe Global Markets to Present at Morgan Stanley’s U.S. Financials, Payments & CRE Conference on Wednesday, June 14
Cboe Global Markets
Cboe Global Markets, Inc. (Cboe: CBOE), the world’s leading derivatives and securities exchange network, today announced that Brian Schell, Executive Vice President, Chief Financial Officer and Treasurer, will present at Morgan Stanley’s U.S. Financials, Payments & CRE Conference on Wednesday, June 14 at 2:30 p.m. ET.


Gen Z Will Be More Lonely Because of AI Tech, Chatbots Like ChatGPT
Daniel Cox – Business Insider
Americans are trapped in a loneliness epidemic. Across the country, people are having fewer social interactions, spending more time alone, and reporting fewer close friends. These trends aren’t just a symptom of the COVID-19 pandemic — while the last few years may have accelerated the loneliness crisis, the shift toward a more solitary life has been happening for years.

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The Spread

OCC liquidity risk doubles to all-time high in Q2

Lead Stories OCC liquidity risk doubles to all-time high in Q2; Concentration of activity around June expiration responsible for record rise Joshua Walker - Risk.net The estimated largest payment obligation Options Clearing Corporation (OCC) could have faced had a...

Past Options Newsletters

OCC liquidity risk doubles to all-time high in Q2

OCC liquidity risk doubles to all-time high in Q2

Lead Stories OCC liquidity risk doubles to all-time high in Q2; Concentration of activity around June expiration responsible for record rise Joshua Walker - Risk.net The estimated largest payment obligation Options Clearing Corporation (OCC) could have faced had a...

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