| April 07, 2017 | | | | | Spencer Doar
Associate Editor
John Lothian News | |
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| | | | Lead Stories | | | The Great 'Buy the Dip' / 'Sell the Volatility' Trade
RCM Alternatives Attain Blog
We can't stop thinking/talking/analyzing volatility, in what has become the defining trade of the past few years. As JPM's quant Marko Kolanovic put it via ZeroHedge: "Shorting volatility is a multi-year alpha generating strategy utilized by the largest pension funds, asset allocators, asset managers and hedge funds alike that has profited from selling into short-term vol spikes (similar to 'buying the dip'). It will continue being done until it ceases working; it remains a +++ performance driver for now." You can see this clearly in track records like this emerging manager specializing in volatility, Aleph Strategies, who has managed to post positive returns in the first 15 months of their young track record.
/goo.gl/V25NO9
****SD: On the buying volatility side, how's that "50 Cent" trader doing? Maybe getting "Just A Lil Bit" frustrated?
Stocks Keep Calm Amid Carrying On
Nir Kaissar - Bloomberg Gadfly
Jamie Dimon, the chief executive of JPMorgan Chase & Co., thinks the U.S. has some problems. And not just a few problems: slow economic growth, declining real wages, low labor force participation, a shrinking middle class, high student loan burdens, high rates of felony convictions, reduced mortgage availability, poor educational system, crumbling infrastructure, a brain drain and excessive regulation. (Although Dimon says JPMorgan is doing great, thanks for asking.)
jlne.ws/2pa9klR
****SD: Stocks have that stiff upper lip.
U.S. equity options project calm as French election looms
Saqib Iqbal Ahmed - Reuters
Investors are unprepared for the market volatility analysts say could be unleashed should French far-right leader Marine Le Pen do the unexpected and win the country's upcoming presidential election, U.S. stock options data showed.
jlne.ws/2pabT7B
****SD: Of or related to the ocean writing utensil = Marine Le Pen?
Are Traders Creating a Bizarre New Feedback Loop... Feedback Loop... Feedback Loop?
Jon Sindreu and Christopher Whittall - WSJ
What if selling insurance against tornadoes made tornadoes occur less frequently? Something like that may be behind the incredible calm in global financial markets. The theory, advanced by several money managers, bankers and analysts, describes a type of feedback loop in which calm markets make selling insurance against sharp swings in asset prices profitable, which makes the markets more calm, which then makes selling insurance yet more attractive. And on and on. Behind the loop is a danger: If a giant shockÂa big tornadoÂdoes materialize, the loop could suddenly run in the other direction, amplifying big moves rather than damping them.
jlne.ws/2p9SJi3
From Steak Dinner to Situation Room: Inside Trump's Syria Strike
Shannon Pettypiece, Justin Sink, Jennifer Jacobs and Toluse Olorunnipa - Bloomberg
President Donald Trump was complimenting the wife of Chinese President Xi Jinping over steak dinner on Thursday as his military prepared to fire dozens of cruise missiles into Syria.
jlne.ws/2paxdK0
| | | | | | Exchanges and Clearing | | | Here's the deal on SGX tie-ups
Grace Leong - Straits Times
Even as the rumour mill went into overdrive on the Singapore Exchange (SGX) exploring possible tie-ups with overseas exchange operators, market observers were quick to downplay that likelihood. Bloomberg had cited "people familiar with the matter" as saying that the SGX had discussed selling a stake in itself - possibly even taking part in a full merger - with parties including Nasdaq and CME Group of the United States.
jlne.ws/2p9Vpwg
****SD: Guess they'll have to be content with Baltic for now.
With Brexit, location of derivatives clearing is key issue - EU's Dombrovskis
Reuters
The European Commission will reflect carefully on the location of euro-denominated derivatives clearing, a business mostly done in London now and that will be outside the EU when Britain leaves the bloc, the EU executive's vice president said on Thursday.
jlne.ws/2pa8R2Y
****SD: What was Dana Carvey's George Bush Sr. impression? Oh yeah, "Not gonna do it - wouldn't be prudent."
HKEX Monthly Market Highlights
Mondovisione
The average daily turnover of futures and options for the first three months of 2017 was 759,988 contracts, a decrease of 6 per cent when compared with the 805,276 contracts for the same period last year.
jlne.ws/2pa8zth
Interview with Jamie Cassidy, Options Trader and Head of European Index Options, SIG Susquehanna
Eurex Exchange
Interview with Jamie Cassidy, Options Trader and Head of European Index Options, SIG Susquehanna on European Fixed Income options and the current market opportunities.
jlne.ws/2p9Yblb
CBOE reports 30% jump in March trading
Merle Crichton - Futures & Options World
Singapore Exchange saw 8% dip in trading volume in March versus last year
The Chicago Board Options Exchange reported a 30% increase in trading for March, while the Hong Kong and Singapore exchanges reported mixed fortunes last month. The Chicago Board Options Exchange (CBOE), the largest US equity options market, said on Thursday its average daily volume for March totalled 165,555, a 30% increase from 127,933 in March 2016. The exchange said trading in its options contracts was up by 26% year-on-year to 159,388.
jlne.ws/2p9WAvN
CBOE Holdings' Exchanges Trading Schedule For Good Friday Holiday
CBOE
/goo.gl/Zb6pNt
| | | | | | Regulation & Enforcement | | | SEC charges Virginia men with Intel-Mobileye insider trading
Jonathan Stempel - Reuters
Two Virginia men have been charged by the U.S. Securities and Exchange Commission with insider trading in Mobileye NV (MBLY.N) before the maker of sensors and cameras for driverless vehicles agreed to a $15.3 billion takeover by Intel Corp (INTC.O).
jlne.ws/2pa8B4f
****SD: "According to the SEC, Cluff's and Shaoul's 'highly suspicious' trading occurred after the adult children of two Mobileye founders told Shaoul's adult children, with whom they were friends, about Intel's interest in Mobileye." I consider myself an adult child too.
Wall Street and Washington: A New Love Affair
Andrew Ross Sorkin - NY Times
Repealing Obamacare. Reforming the tax system. Spending big on infrastructure. One by one, President Trump's campaign promises seem to be less likely  or at least won't happen on the timetable he anticipated. So, why are so many chief executives and investors still seemingly bullish about a Trumpian economy? The answer they consistently provide: regulations. Or the promise to get rid of them.
jlne.ws/2panPGd
BoE's Carney says U.S. not rolling back financial regulation
Reuters
Bank of England Governor Mark Carney said on Friday that planned changes to financial regulation in the United States did not appear to amount to a wholesale rolling back of rules that would endanger international cooperation.
jlne.ws/2pa6o8Y
| | | | | | Strategy | | | VIX Sends Warning Sign To the Stock Market
Steven M. Sears - Barron's
Wall Street's winter of discontent never happened. Contrary to expectations, the stock market has rallied ever since Donald Trump was elected president. The CBOE Volatility Index, which was supposed to surge higher, has slumbered like Rip Van Winkle. At this point, so many investors have lost money wagering that VIX would surge, and stock prices would sink, that traders have quipped that VIX is where money goes to die
jlne.ws/2p9XeJp
Stock Market Volatility Is Tepid, But VIX Options Are Hot
Elizabeth Harrow - Schaeffer's Research
The CBOE Volatility Index (VIX) has been historically tame as the post-election "Trump rally" has played out, but interest in VIX options has remained strong. According to Trade-Alert, total options open interest on VIX stands at 9.68 million contracts -- an accumulation that registers in the 92nd percentile of its annual range. The current VIX open interest configuration is heavily tilted toward calls, of which there are roughly 6.82 million.
jlne.ws/2pafK4E
Asia demand, hedging boosts trading in forward U.S. oil contracts
Devika Krishna Kumar - Reuters
Trading volumes and open interest in U.S. crude futures soared in 2016, particularly among buyers out of Asia and shale companies locking in output, both of whom have shown an affinity for far-dated contracts, the CME Group Inc (CME.O) said on Thursday.
jlne.ws/2papEDd
U.S. energy stock options traders grow upbeat
Saqib Iqbal Ahmed - Reuters
Traders in the equity options market are betting the U.S. energy sector is ripe for a bounce with one gauge of sentiment, options on the largest energy sector tracking fund, dipping to its least bearish position in six months.
jlne.ws/2pa7jGs
SPY Options Demand Driven by Hedging Activity
Alex Eppstein - Schaeffer's Research
SPDR S&P 500 ETF (SPY) options traders are showing a distinct preference for puts over calls today. Roughly 1.1 million put options have changed hands, outpacing the the 900,000 calls exchanged so far. From the looks of it, the lion's share of the put activity can be traced to one SPY options trader.
jlne.ws/2pac8PN
Fading Commodity Euphoria Prompts Investors to Defy Goldman
Luzi-Ann Javier and Megan Durisin - Bloomberg
The euphoria that had lured investors back into commodities is showing signs of fatigue.
jlne.ws/2paxsEU
| | | | | | Events | | | Webinar: Investing in Volatility and VIX
RCM Alternatives
Thursday, April 13th, 11:30 CST / 12:30 EST
Join CBOE Director of Education, Russell Rhoads, + Three Professional managers on how they use VIX Futures and Options to manage millions
jlne.ws/2paj6o7
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| | | | John Lothian News (JLN) is the news division of John J. Lothian & Company, Inc. (JJLCO). The online media and financial services firm is staffed by derivatives industry, journalism and technology professionals. | | | | | | | John Lothian News Editorial Staff: | | | John Lothian
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Editor-in-Chief
| | | Sarah Rudolph
Managing Editor
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Editor
| | | Lysiane Baudu
Editor
| | | Spencer Doar
Editor
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