| May 19, 2023 | | | |  | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | | The CME reported in a tweet that "Convexity in the 10-Yr Treasury Volatility Index is rising as debt ceiling negotiations intensify, which suggests the market is pricing in a premium for potentially large moves in either direction." You can learn more about the CME's Volatility Index (CVOL) on this CME web page. ~JJL
| | | | | | Lead Stories | | | Epic Stock Lull Spurs Volatility Sales Before $1.7 Trillion Test; S&P 500 set for narrowest quarterly trading range in decades; Friday's option expiry may open door for market to break out
Lu Wang - Bloomberg
The historic lull in the equity market has revived a controversial strategy of selling volatility. Though one calming factor is likely to fade as Friday's options expiration risks creating fresh turmoil for traders. Big benchmark swings have been missing of late as defensively positioned investors digest conflicting economic news and the US debt ceiling drama from the sidelines.
/jlne.ws/41PHlKe
If US Debt Ceiling Not Raised, S&P 500 Could Plunge 20%, UBS Warns
Emily Graffeo - Bloomberg
Stocks are primed for a precipitous drop if the US fails to raise the debt limit and delays government payments.
That's the warning from a team of UBS strategists. Although it's unlikely, if the US formally defaults and delays all payments beyond principal payments for a week, the S&P 500 will fall as much as 20% toward 3,400, the team led by economist Jonathan Pingle said.
/jlne.ws/41Up1Qe
Volatility Jumps as Japan Stock Investors Caught Off Guard by Nikkei Rally
Hideyuki Sano and Winnie Hsu - Bloomberg
The surge in Japanese stocks to more than 30-year highs this week has been accompanied by an unusual phenomenon: a spike in volatility.
The Nikkei Volatility Index â which like the CBOE VIX is based on options prices â climbed to as high as 22.48 from 15.78 a week ago. The rise comes amid a wave of short-covering by players who did not foresee the market's strong rally.
/jlne.ws/3MjhtAQ
Hedge Fund Capstone Bets on Volatility From BOJ's Outlier Policy
Lisa Du - Bloomberg
US hedge fund firm Capstone Investment Advisors said it's allocated more risk capital to Japan than ever before, as the central bank's decision to maintain negative interest rates creates uncertainties that may benefit its volatility trading strategy.
/jlne.ws/3pMSOwI
Kalshi Scuttles Bid for CFTC Nod to Offer Bets on US Elections
Lydia Beyoud - Bloomberg Law
Kalshi Inc. has withdrawn its bid to get the US government's blessing to list derivatives that would let Americans bet on the outcome of congressional elections, according a notice on the Commodity Futures Trading Commission website. The New York-based exchange plans to resubmit an application to let people bet on which party would control Congress within a matter of weeks, said a person familiar with the matter, who asked not to be identified because the plans haven't been made public.
/jlne.ws/3onSlAG
| | | | | | Exchanges | | | MIAX Completes Acquisition of LedgerX from FTX Debtors
MIAX
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), The Bermuda Stock Exchange (BSX), and Dorman Trading LLC, today announced that it has completed its acquisition of LedgerX LLC (LedgerX) from Ledger Holdings Inc. in connection with the bankruptcy proceedings of FTX Trading Ltd. and its affiliated debtors.
LedgerX is a Commodity Futures Trading Commission (CFTC) regulated exchange and clearinghouse and is registered as a Designated Contract Market (DCM), Derivatives Clearing Organization (DCO) and Swap Execution Facility (SEF) with the CFTC.
/jlne.ws/3OqKFbN
| | | | | | Technology | | | UBS found no advantage in quantum computing - ex data chief; Swiss bank tested various use cases in the trading business before giving up on the technology
Luke Clancy - Risk.net
UBS abandoned a multi-year effort to utilise quantum computing for trading after concluding that it offered no significant advantage over existing technologies, according to the person who led the project. "We ran Monte Carlo simulations against market data, we ran volatility curves, and what we were trying to do was simply use the technology to get an exponential 'back out' - something that would give us a competitive advantage," said Lee Fulmer, who was chief data officer and head of the
/jlne.ws/3odTdb5
| | | | | | Strategy | | | Here's how investors can profit and protect their portfolios if a debt-ceiling fight unleashes market chaos
Joseph Adinolfi - MarketWatch
With U.S. Treasury Secretary Janet Yellen's "X date" for Congress to raise the federal debt ceiling just two weeks away, some on Wall Street are seeing an opportunity in cheap option contracts that would yield large returns if U.S. stocks sold off like they did during the debt-ceiling drama in Congress in 2011.
/jlne.ws/3C096p7
A Debt-Ceiling Crisis Looms Closer. These Moves Could Protect Your Portfolio.
Reshma Kapadia - Barron's
The popular assumption among investors is that U.S. politicians will reach an 11th-hour compromise to raise the country's debt limit and avert a default that would throw global markets into turmoil. But after a period in which unfathomable scenarios have become more plausible, some investors are shoring up portfolios to brace for dysfunction in Washington.
/jlne.ws/3MIDIBC
Opinion: The stock market is sending so many mixed signals, it's easy to be confused
Lawrence G. McMillan - MarketWatch
The stock market, as measured by the S&P 500 Index SPX, -0.20%, has continued to remain in a narrow range since early April. That trading range is bounded by 4050 on the downside and 4200 on the upside. In the past two weeks, SPX has traded in an even tighter range, hovering almost exactly at the 20-day moving average of the index; neither side of the trading range has been tested recently.
/jlne.ws/3MdabhG
Apple Outweighs The Russell
Cboe
In the #RUTreport, @AngieMiles talks $AAPL and some large $RUT #options trades, $MRUT, and the upcoming Russell reconstitution.
/jlne.ws/3MnXGA0
| | | | | | Miscellaneous | | | 'Blunt and quite American' - new Societe Generale chief marks break with tradition
Owen Walker and Sarah White - Financial Times
When Societe Generale discovered in January 2008 that derivatives trader Jerome Kerviel had secretly run up EUR4.9bn of losses, panicked managers assembled a task force to assess the wreckage and steer the French bank through the near-fatal crisis. Among them was Slawomir Krupa, then a 33-year-old little known among SocGen's top ranks, who was asked to help diagnose the risk control failures and shake up the bank's internal culture.
/jlne.ws/42TNcQ0
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