RSS feedoptions
’A $12bn dispersion trade
Posted by Tracy Alloway on Jun 17 09:24. Comment.Och-Ziff Capital Management has just made a big trade — a $12bn dispersion one.
It’s kind of a nifty way to bet on an end to QEased suppression of market volatility, at a time when traditional safe haven assets like gold and government bonds could be considered over-priced. More…
No leaks, just algo trading
Posted by Izabella Kaminska on Jun 16 15:07. Comment.Everybody loves it when a high frequency trading strategy is exposed. So, here’s a new one courtesy of the guys at Nanex — algo analysts extraordinaire.
It’s connected to stories like this.
Turns out, More…
Vix settlement weirdness
Posted by Izabella Kaminska on May 19 09:45. Comment.News comes our way of there being some concern in the market about the Vix settlement process.
In one phrase: It’s off.
That is to say, it is not settling as it ought to.
According to the CBOE, the settlement process is as follows: More…
[FOW Amsterdam] Vix up, look Sharpe*
Posted by Guest writer on Apr 07 12:07. Comment.By Theo Casey, a columnist at Futures & Options World, blogging live from FOW’s European Equity Options conference in Amsterdam.
(*With apologies to Dizzee Rascal.)
Later today, I will be serving as moderator of a discussion panel on trading volatility. More…
FT Alphaville/FOW take on optionality in Amsterdam
Posted by FT Alphaville on Apr 06 10:35. Comment.FT Alphaville has joined forces with Futures and Options World to bring you the latest news and skew from the European Equity Options Trading Conference taking place this Thursday and Friday in Amsterdam. More…
Vix parity, volatility arbitrage and Japan
Posted by Izabella Kaminska on Mar 29 16:44. Comment.Olivier Jakob of Petromatrix is a rare breed of energy market analyst. He believes it’s important to look beyond the immediate scope of the energy complex to really understand what’s going on.
As a result his energy market reports are often filled with valuable little gems of insight. More…
CDS options market multiplies alongside questions
Posted by Tracy Alloway on Mar 28 12:47. Comment.What’s over-the-counter, a derivative, and expands despite financial crises?
The CDS index options market.
Last month Citigroup revealed in “a brief CDX options primer” that the market for these financial instruments had surpassed an average $5bn in trading volume per week. More…
Oil facilities on fire
Posted by Izabella Kaminska on Mar 04 16:51. Comment.Via Reuters on Friday:
An oil facility at Zueitina, south of the Libyan rebel-held city of Benghazi, has been damaged and was on fire, Al Jazeera said, showing a video of black smoke rising from an oil plant. More…
Skewed – the CBOE’s new fear indicator
Posted by Tracy Alloway on Feb 10 12:31. Comment.The Chicago Board Options Exchange has just launched a new ‘fear factor’ index to sit alongside the now-famous Vix. Meet the Six, or the CBOE S&P 500 Skew Index.
The ‘SKEW’ is an option-based indicator that measures the perceived tail risk of the distribution of S&P 500 returns at a 30-day horizon. More…
Bernanke’s genie released
Posted by Izabella Kaminska on Nov 05 15:48. Comment.The Bernanke put — a.ka. that almost magical and metaphysical QE2 effect — appears to be having an impact on equity options skew already.
Simply explained: skew is what happens when the price of calls does not equal the price of puts exactly. More…
A QE2 Vix twist
Posted by Izabella Kaminska on Nov 03 09:47. Comment.Kathleen Brooks at Gain Capital points out on Wednesday that there’s been some intriguing inconsistencies in the Vix index recently.
And it’s all down to how the ‘fear gauge’ has performed relative to the S&P 500 — the index it is actually derived from. More…
Goldman turns stocks to bonds
Posted by Tracy Alloway on Oct 14 10:09. Comment.Goldman Sachs have an innovative solution to the pervasive search for yield.
And the bond versus equities debate, for that matter.
Just ‘turn’ bonds into stocks.
That way, you get all the upside of corporate bonds (relative safety, More…
Same day options — no thanks
Posted by Cardiff Garcia on Sep 10 19:28. Comment.A tip of the stetson to Bloomberg for alerting us that the CBOE has formally asked the SEC for permission to list options with expiry dates of one to four days.
From the CBOE’s filing, here is how this will work (emphasis ours): More…
Dodd-Frank, destruction and Buffett’s derivatives
Posted by Tracy Alloway on Aug 06 12:00. Comment.That Berkshire Hathaway has a one-way mega-bet on equity markets is no secret.
The insurer built by Warren Buffett — the man who once condemned derivatives as “financial weapons of mass destruction” – has underwritten about $37bn in long-term equity index put options. More…
Betting on a cold snap
Posted by Neil Hume on Nov 18 13:58. Comment.Further to Wednesday morning’s Gazprom bid rumours, here’s a Bloomberg screen shot that shows the open interest in Centrica December 09 call options.
So, that’s almost 20,000 contracts.
Either the market believes this hardy perennial of a takeover story, More…
Traders pay up for downside protection in oil
Posted by Izabella Kaminska on Sep 21 16:34. Comment.Nymex WTI crude futures have been stubbornly trading around the $70 per barrel mark since about June this year, proving a number of bullish calls from the start of the year correct.
Nevertheless, if options pricing is anything to go by, More…
A natgas storm in a tea-cup
Posted by Izabella Kaminska on Aug 20 10:39. Comment.A yet ‘undisclosed’ hedge fund has taken out call options at triple — yes triple — the price of today’s spot market price for natgas come winter.
Here’s the mysterious trade in question:
As the FT reports: More…
A crude correction
Posted by Izabella Kaminska on Aug 17 09:59. Comment.Brent crude oil was trading at $70.02 on Monday morning; Nymex WTI crude, meanwhile, was trading at $66.08.
That is almost a $4 per barrel spread between the two contracts — its widest since mid-February when storage at Cushing, More…
Mirror, mirror on the wall… where’s the market come this fall?
Posted by Izabella Kaminska on Aug 11 16:25. Comment.As Bloomberg noted on Monday, a significant number of options and futures traders are betting on some semblance of market disruption come September.
Among the tell-tale signs, the news agency noted VIX futures were above the level of the underlying index — suggesting investors expect fluctuations to widen and stocks to retreat. More…
Intel on Intel?
Posted by Izabella Kaminska on Jul 15 08:36. Comment.Intel wowed the street on Tuesday with much better than expected numbers. As Reuters reports:
SAN FRANCISCO (Reuters) – Intel Corp’s quarterly results and outlook blew past Wall Street forecasts on better-than-expected consumer demand for PCs, More…
Warning signals: QE rally might be over
Posted by Izabella Kaminska on Jun 04 13:25. Comment.Just as Societe Generale’s Albert Edwards considers going uber-bullish, Marc Ostwald at Monument Securities interprets current sharp fluctuations in the US Treasury curve as implying an imminent end to Quantitative Easing-inspired rallies. More…
The art of selling toxic FX options
Posted by Izabella Kaminska on Feb 18 20:58. Comment.They’ve caused an international Eastern European meltdown alert. But just how widespread was the sale of “toxic fx options,” as they are fast becoming known?
Just to reiterate, fears about eastern European exposure to fx started off with concerns about retail-based fx denominated mortgages. More…
Safety in options
Posted by Izabella Kaminska on Nov 18 14:46. Comment.The largest options expiry in WTI history came and went Monday without too much ado. WTI’s closing price at just below $55 per barrel means some 580,000 December put options are likely to have been exercised. More…
Traded options volume: record high and rising
Posted by on Jan 11 13:15. Comment.The volume of equity options trades almost doubled last year, and the rise shows no sign of abating. Equity options traded on NYSE Arca Options reached record levels in 2007, trading 336 million contracts, More…