| September 04, 2024 | | | | | Jeff Bergstrom
Editor
John Lothian News | |
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| | | | Observations & Insight | | |
Volatility Insight of the Week: Lean Hogs volatility (HFVL) reaches a 3-month low while prices have recently risen. To learn more about CVOL, please visit here.
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OCC August 2024 Monthly Volume Data
In August 2024, the Options Clearing Corporation (OCC) reported a total contract volume of 1.067 billion, marking a 4.3% increase compared to August 2023. Equity options saw a 7.4% rise to 556.4 million contracts, while index options grew by 10% to 98 million contracts. In contrast, ETF options experienced a slight decline of 1.2%, totaling 406 million contracts. Futures contracts showed the most significant growth, surging 26.4% to nearly 7 million contracts. Year-to-date average daily volume for 2024 also increased by 6.8% to 47.6 million contracts, reflecting overall growth in trading activity.
See chart »
| | | | | | Lead Stories | | | Unwinding of VIX Trade Caused 'Massive Freakout,' Nomura Says; Facilitators of Friday VIX trade suddenly had to cover risk; VVIX index spiked in an abnormal move relative to the S&P 500
Jan-Patrick Barnert - Bloomberg
While equity volatility is rising once again, this spike is different from the one a month ago. It all started with a large Cboe Volatility Index options trade put on last week, and the impact of its hedging was another proof that the space gets "broken" when dealers become vulnerable to sharp moves in the gauge, according to Charlie McElligott, the managing director of cross-asset strategy at Nomura Securities International.
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Mystery Option Buyer Nets Fast $12 Million Gain on Stock Slide
David Marino - Bloomberg
The sense of calm in the US stock market was disrupted Tuesday as the S&P 500 Index plunged more than 2% and the VIX exploded higher. That's rewarded a late-Friday options buyer with some $12 million in paper gains. The spike in volatility came as the S&P 500 index was dragged down by a selloff in technology stocks with AI giant Nvidia Corp.'s market capitalization dropping by the equivalent of Chevron Corp. Late Friday, an investor or investors spent almost $9 million buying 350,000 call spreads on the Cboe Volatility Index, or VIX, to protect against a September jump in the gauge, which measures volatility on S&P 500 options.
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What investors are getting wrong about the VIX right now
Jared Blikre - Yahoo Finance
Thursday marks the one-month anniversary of the Aug. 5 "yen shock" - a mini-market panic that quickly spread throughout global markets after beginning in Japan the Monday following the July jobs report.
The Nikkei stock index (^N225) hemorrhaged 12% that Monday - its biggest one-day drop since 1987 - while the S&P 500 (^GSPC) plummeted 3%. The VIX Volatility Index (^VIX) spiked to 65, the third-highest level on record.
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FIA outlines how successful derivatives markets will attract investor interest and support the enhancement of the CMU
FIA
FIA, the leading global trade organisation for the futures, options and centrally cleared derivatives markets, has published a paper outlining its views on how to support the progress of the European Union's Capital Markets Union (CMU).
FIA's paper - Capital Markets Union at a Critical Juncture - sets out the role that derivatives play in effective capital markets. Specifically, FIA believes that centrally cleared derivatives are a key ingredient to building a strong CMU.
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Nvidia Suffers Record $279 Billion Rout as AI Worry Sinks Stocks
Jeran Wittenstein and Ryan Vlastelica - Bloomberg
Four weeks after US stocks buckled amid a global flight from risk assets, chipmakers touched off another bout of equities selling when a pair of industry analysts rekindled worries that the mania surrounding artificial intelligence had gone too far.
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Tradr ETFs launches first longer-dated 'calendar' reset leveraged ETFs
Suzanne McGee - Reuters
Tradr ETFs has rolled out a group of eight leveraged exchange-traded funds (ETFs) designed to allow investors and speculators to hold on to them for a week or even a month, the company said on Tuesday.
The move is a bid to shake up the growing universe of leveraged and inverse ETFs that allow investors to capture up to three times the return (or loss) of an underlying index or single stock and have attracted some $117 billion in assets, according to Morningstar. Until now, those products have offered users the chance to bet only the daily return of broad market products like the SPDR S&P 500 ETF Trust (SPY.P), opens new tab or volatile, heavily traded stocks like Nvidia (NVDA.O)
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| | | | | | Exchanges | | | US Treasury Clearing to Increase Trading Costs, Study Finds; Coalition Greenwich finds market safety will come with costs; Survey suggests trading volumes will fall with hedge funds hit
Greg Ritchie - Bloomberg
Mandatory central clearing of US Treasuries will make the market safer, but at the expense of costlier trading and potentially curtailed volumes, according to a new Coalition Greenwich survey. Over 70% of the 34 market participants questioned expect the cost of trading to rise due to new margin requirements and clearing fees, the study published Wednesday found. And around 85% of respondents believe increased margin costs could cause them to reduce their trading activity. The survey included four of the top five Treasury dealers by revenue, and was conducted during the second quarter.
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CME Group Reports Second-Highest Monthly ADV of 31.7 Million Contracts in August and Double-Digit Increases Across All Six Asset Classes
CME Group
CME Group, the world's leading derivatives marketplace, today reported its second-highest monthly volume ever, with average daily volume (ADV) up 31% to 31.7 million contracts in August, driven by double-digit increases across all six asset classes. The company's interest rate ADV reached a record 18.3 million contracts and its deeply liquid U.S. Treasury complex hit an all-time monthly record ADV of 11.5 million contracts, including the highest volume ever for 2-year, 5-year and 30-year futures contracts. In addition, SOFR futures and options volume climbed 48% to 6.3 million contracts and the company's BrokerTec cash U.S. Treasury notional volume hit a year-to-date record of $249 billion on August 5.
/jlne.ws/4dUyWMn
CME Group Reports Second-Highest Monthly ADV of 31.7 Million Contracts in August and Double-Digit Increases Across All Six Asset Classes
CME Group
CME Group, the world's leading derivatives marketplace, today reported its second-highest monthly volume ever, with average daily volume (ADV) up 31% to 31.7 million contracts in August, driven by double-digit increases across all six asset classes. The company's interest rate ADV reached a record 18.3 million contracts and its deeply liquid U.S. Treasury complex hit an all-time monthly record ADV of 11.5 million contracts, including the highest volume ever for 2-year, 5-year and 30-year futures contracts. In addition, SOFR futures and options volume climbed 48% to 6.3 million contracts and the company's BrokerTec cash U.S. Treasury notional volume hit a year-to-date record of $249 billion on August 5.
/jlne.ws/4dUyWMn
August 2024 figures at Eurex
Deutsche Boerse Group
Eurex, Europe's leading derivatives exchange, reported a 16 percent increase in total trading volume, reaching 154.6 million contracts in August, compared to 133.4 million contracts in the same month last year. Interest rate derivatives continued to show significant growth, rising by 24 percent from 54.9 million to 68.2 million contracts. Equity derivatives grew by 22 percent, totaling 20.8 million contracts, while index derivatives saw a 5 percent increase, from 61.4 to 64.6 million traded contracts.
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Moscow Exchange Trading Volumes in August 2024
MOEX
In August 2024, total trading volumes across Moscow Exchange's markets was RUB 125.4 trln (August 2023: RUB 127.5 trln). Unless stated otherwise, all figures below refer to performance for August 2024 and all comparisons are with the same period last year.
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CEDX Participant Spotlight: Susquehanna and Equity Options
Cboe
Cboe Europe Derivatives (CEDX) recently extended its product set beyond index derivatives to include equity options, with options now available on over 300 companies from 14 different European countries.
CEDX's offers a single access point to a pan-European product set and is leveraging Cboe's US options leadership to promote deep and liquid on-screen markets in Europe. Our aim is to grow the European derivatives market overall, through the creation of a simpler, lower cost, pan-European ecosystem, which is attractive to both institutional and retail investors.
All CEDX products are cleared by Cboe Clear Europe, the leading pan-European clearing house, allowing participants to benefit from greater capital and operational efficiencies. These include a pan-European margin pool covering equity index derivatives and equity options and settlement at domestic CSDs on options exercise and assignment.
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| | | | | | Regulation & Enforcement | | | Hedge fund boss Ken Griffin reportedly launches fresh attack at 'brazen' SEC cash grab
James Franey - NY Post
Hedge fund titan Ken Griffin is leading the charge to stop a move by US regulators that would force traders to help bankroll a new market surveillance system, according to a report. Griffin's Citadel Securities wants to block new rules that demand investors stump up funds for the so-called Consolidated Audit Trail system that has already cost an estimated $1 billion, the Financial Times reported on Tuesday.
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| | | | | | Strategy | | | Options Trading Is Booming. 5 Rules for Investors.
Steven M. Sears - Barron's
Investor interest in option-selling strategies has grown so intense that some observers fret the activity threatens the stock market. The fear is that investors who sell put and call options, and the dealers who enable the trades, will create a giant wave of stock buying or selling, causing the system to buckle.
The fears might seem extreme, but it happened one day in February 2018- the so-called Volmageddon -when troubles with options volatility funds pushed the stock market down more than 1,000 points. At the same time, the Cboe Volatility Index, or VIX, rose more than 100%, indicating investors were afraid of a severe stock market collapse.
/jlne.ws/4ebczSx
The stock market will be volatile until the election before resuming its rally to record highs, market vet Ed Yardeni says
Kelly Cloonan - Markets Insider
Market "choppiness" will likely continue until the elections before stocks can resume their climb to record highs, Ed Yardeni says.
"We're seeing quite a bit of choppiness going on in the market here. I think it may continue until the elections, and then I think we'll resume to new record highs," Yardeni said in a Wednesday interview with CNBC.
/jlne.ws/4e7y1I8
Bitcoin Touches One-Month Low as Glum Traders Hedge for Payrolls; A bout of caution in global markets spills across into crypto; Signs of bearish bets emerge in the Bitcoin options market
Suvashree Ghosh and Sidhartha Shukla - Bloomberg
Bitcoin flirted with a one-month low amid a wider retreat from riskier investments in global markets due to fears about the economic outlook.
The largest digital asset slid more than 4% at one point on Wednesday before paring a part of the decline to change hands at $56,318 as of 7:15 a.m. in London. Most other major tokens such as Ether also nursed losses.
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