| November 10, 2023 | | | | | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | | The Japan Securities Clearing Corporation has shifted to a VaR margin methodology for enhanced investor protection.
Effective November 6, 2023, the Japan Securities Clearing Corporation (JSCC), affiliated with the Japan Exchange Group (JPX), has updated its margin calculation approach for JPX's derivatives market. The transition from the SPAN to the Value at Risk (VaR) method is aimed at bolstering investor safeguards within the marketplace. JPX has launched a marketing campaign to promote this important change to the way its customer margins are calculated, including a two-week sponsored content run in the John Lothian Newsletter that will begin next week.
The newly implemented VaR margin calculation framework is bifurcated into two distinct methodologies: the Historical Simulation Method (HS-VaR) and the Alternative Simulation Method (AS-VaR). The HS-VaR approach is adopted for Index Futures/Options, including the benchmark Nikkei 225 futures (with the exception of dividends index futures), as well as Japanese Government Bond (JGB) Futures/Options, Interest Rate Futures such as the 3-Month TONA Futures, and both Electricity and LNG Futures from the Tokyo Commodity Exchange (TOCOM), all traded on the Osaka Exchange (OSE).
Conversely, the AS-VaR method is designated for OSE's Dividends index futures, in addition to Precious Metals Futures/Options, Rubber Futures, Agricultural Futures, and the remainder of TOCOM's Energy Futures excluding Electricity and LNG contracts. JPX says this strategic enhancement reflects JSCC's commitment to maintaining robust risk management standards and aligning with global best practices for financial market infrastructure.
For more information on the VaR margin methodology, click HERE. ~JJL
| | | | | | Lead Stories | | | Crunch time for LOBO; If this dog were an option, would it be exercised?
Nicholas Dunbar - Financial Times
There are two kinds of options in finance. There are those traded as financial instruments, and priced using the Black-Scholes formula or more complex equivalents. Then there are options embedded in financial contracts, which are not traded and have to be modelled.
/jlne.ws/47tEoT0
The US economy may be reliving the 'roaring '20s' - and that means growth, inflation, and rates will all stay high, UBS says
George Glover - Business Insider
The economy's surprising resilience this year could set the stage for a new "roaring '20s" decade of growth, according to UBS.
Many forecasters had expected a recession, but growth has held up much better than expected, with US GDP expanding at its fastest pace in two years last quarter.
/jlne.ws/49xUw7s
Bitcoin Steadies and Ether Surges. Where Prices Go Next.
Jack Denton - Barron's
Bitcoin was little changed Friday, holding steady at elevated levels after a recent rally as traders remain bullish. The real star of the show was the second-largest crypto after asset manager BlackRock filed for an Ether exchange-traded fund.
/jlne.ws/3sjeLp2
| | | | | | Exchanges | | | India Derivatives Boom Helps Bourse's Stock Trounce Global Peers
Ashutosh Joshi - Bloomberg
BSE Ltd. has emerged as the world's best-performing exchange operator this year, and analysts are predicting more gains on expectations of its expanding derivatives business.
Shares of the Indian bourse have rallied 270% this year, trouncing global platforms such as cryptocurrency major Coinbase Global Inc. and Cboe Global Markets Inc., as well as the country's Multi Commodity Exchange of India Ltd. The rally was partly driven by BSE relaunching derivative contracts on the benchmark Sensex and the banking sector gauge in May this year, attracting investors with reduced lot sizes and a new expiry cycle.
/jlne.ws/47sTKXH
CME overtakes Binance to grab largest share of Bitcoin futures open interest
Gareth Jenkinson - Cointelegraph
Binance's dominance of Bitcoin futures open interest has been toppled by traditional derivatives marketplace heavyweight Chicago Mercantile Exchange (CME), following Bitcoin's first move past the $37,000 mark in over 18 months.
/jlne.ws/49yElH2
Euronext posts strong Q3 trading performance, offsetting lower cash trading revenue; Euronext has appointed Simon Gallagher head of global sales for Euronext and chief executive of Euronext London, having formerly led the cash and derivatives team.
Claudia Preece - The Trade
Euronext posted solid double-digit growth in fixed income and power trading, with the former up 18.7% year-on-year, which more than offset its lower performance in cash trading which saw its revenue fall 4.4% since this time last year. The derivatives trading revenue decreased by 3.9% driven by a decline in equity and index futures compared to the particularly volatile environment seen in Q3 2022, while FX trading was down 11.4%.
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NYSE Group Announces 2024, 2025 and 2026 Holiday and Early Closings Calendar
Intercontinental Exchange
NYSE Group, part of Intercontinental Exchange, Inc. (NYSE: ICE), a leading global provider of data, technology and market infrastructure, announced today the 2026 holiday calendar and early closing dates for its cash equity markets: New York Stock Exchange, NYSE American Equities, NYSE Arca Equities, NYSE Chicago, and NYSE National, as well as the NYSE American Options, NYSE Arca Options and NYSE Bonds markets. The 2024 and 2025 holiday and early closing dates are also set forth below.
/jlne.ws/3SHUmV4
US Exchanges to Close in Observance of Thanksgiving Holiday
New York Stock Exchange
In observance of Thanksgiving, the New York Stock Exchange, NYSE American Equities, NYSE Arca Equities, NYSE Chicago Equities, NYSE National Equities, NYSE Arca Options, NYSE American Options, and NYSE Bonds markets will be closed on November 23, 2023, and will operate on a shortened trading schedule on November 24, 2023. Regular trading sessions will close for all markets at 1:00 p.m. (1:15 p.m. for eligible options) Eastern Time (ET).
/jlne.ws/3MzoMFi
| | | | | | Regulation & Enforcement | | | SEC faces fierce pushback on plan to police AI investment advice; Brokers, hedge funds and advisers say proposals are unnecessary and impossible to implement
Jennifer Hughes - Financial Times
Brokers, hedge funds and investment advisers are pushing back hard against attempts by the main US markets regulator to manage how artificial intelligence is used to give financial advice to investors. Rules proposed by the Securities and Exchange Commission in July would force banks and fund managers to neutralise or eliminate any conflict of interest involving almost any form of technology when they advise clients.
/jlne.ws/3ubh8L7
| | | | | | Strategy | | | Is the Russell 2000's Unusual Options Activity Signaling It's Time to Buy Smaller Companies?
Will Ashworth - Barchart via Nasdaq
Well, it's Friday, and for a change of pace, I've decided to tackle more of a "big picture" issue by looking at the unusual options activity for the Russell 2000 iShares ETF (IWM).
The IWM tracks the performance of the Russell 2000 Index, a collection of 2,000 small-cap stocks. As the FTSE Russell website states, these are "true" smaller companies, not mid-caps masquerading as small caps.
/jlne.ws/47khMUY
ETF strategies designed to help combat market volatility
Jamie Sturgeon - The Globe and Mail
Investors are often looking to insulate themselves against the vagaries of the bond and stock markets. Many exchange-traded funds (ETFs) have emerged to do just that.
"There's no bad time to be looking at a low-volatility strategy. But with the risks we're seeing, investors are definitely more interested right now," says Mike Machel, wealth adviser and portfolio manager at Machel De Leeuw Wealth Advisory Group in Winnipeg, part of National Bank Financial.
/jlne.ws/3syKSRq
'There's a lot of things that can go wrong': A market-beating hedge fund manager shares how he's preparing for chaos in 2024 â and explains why uranium will continue to soar
James Faris - Business Insider
Hedge fund manager Harris Kupperman isn't satisfied with modestly beating the market.
His Praetorian Capital Fund has posted an 18.3% year-to-date return after fees through the third quarter, including an 11.9% net return in Q3, versus an 11.7% gain for the S&P 500. That's a good year for any fund, but unlike most managers Kupperman refuses to pat himself on the back for his performance.
/jlne.ws/3ucLJrG
Heightened rate volatility points to these opportunities in stocks, bonds for ETF investors, says State Street's Michael Arone
Christine Idzelis - MarketWatch
Bond-market volatility spilling into stocks in 2023 may also be creating investment opportunities that could pay off in the next year, according to Michael Arone, chief investment strategist for the U.S. SPDR business at State Street Global Advisors.
"When interest rates have this great of impact on the stock market, historically, going forward it's been a positive sign for stocks," he said in a phone interview.
/jlne.ws/3QTOKG4
November
Cboe (Video)
In #Vol411, Dan Deming @Djd551 talk about implied volatility, active $VIX #options and the #VIX futures term structure.
/jlne.ws/49sYxu3
| | | | | | Miscellaneous | | | How Cboe's Veterans' Initiative Strives to Help Veterans Find Their Next Chapter
Cboe
Christy Paoletti, Lead Technical Recruiter, knows firsthand what Veterans bring to the table, and how challenging it can be to prove it.
Christy was a U.S. Air Force Crew Chief for 10 years, enlisting after she graduated high school.
As a Member of the Air National Guard, Christy was able to work as a consultant and build up some civilian work experience when she wasn't actively deployed during Operation Enduring Freedom and Operation Iraqi Freedom. When she was ready to exit the military, Christy was able to leverage the experience and connections she made in consulting to find a full-time job.
However, not every person transitioning from the military is able to find work easily. And even in Christy's case, it still wasn't a particularly easy transition.
/jlne.ws/3QRgtr0
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