Derivs - Equity

Front month CBOE Volatility Index futures may experience a 1 vol point increase from -0.33 to 0.66 pts on Monday roll dates relative to historics, due to recent changes made to the indices methodology, closing off a strategy systematic volatility traders have been using to capitalise on the weekly “seasonality” effects of the roll.

The Chicago Board Options Exchange is in talks with the Financial Industry Regulatory Authority regarding an agreement for FINRA to provide certain regulatory services to the CBOE and C2 options markets.

Paul Baron, head of European equity derivative sales at Bank of America Merrill Lynch in London, has relocated to New York to take over from John O’Brien, former managing director and head of New York derivatives sales.

Benchmark provider FTSE launched Monday a series of so called frontier market tradable indices that could potentially be used as underlyings for structured products or exchange-traded funds.

Ed Steel, former managing director and global head of equity derivatives trading at Standard Chartered in Hong Kong, has joined Nomura in London.

Truston Asset Management, a Korean asset manager with assets under management of $14 billion as of April, has signed up to standardise its domestic equity post-trade processes with Omgeo, making it the first Korean asset manager to use Omgeo’s post-trade processing capabilities for domestic trades.

Denver-based financial boutique IPS Strategic Capital is looking to launch soon a structured note strategy that will combine selling short futures positions on the CBOE Volatility Index, while using long call options as a hedge.

The Chicago Board Options Exchange saw the most active month ever for futures on the CBOE Volatility Index this August, surpassing previous monthly volume and average daily volume records.

The Korea Exchange is remodeling its futures and options market, introducing real-time limits on derivatives prices and reforming the system for fixing erroneous transactions as the bourse gears towards the introduction of futures on its Volatility-KOSPI200 index.

As pressures for timely reporting of OTC transactions mount on both sides of the pond, Ian Salmon of ITRS Group explores the challenges that this presents, while explaining why the sell-side requires a fresh approach to avoid heavy fines and reputational damage.

John O’Brien, former managing director and head of New York derivatives sales at Bank of America Merrill Lynch, started at Deutsche Bank this week.

Insurance firms have been entering six-to-18 month hybrid out-the money S&P 500 equity 90-to-95% put options over the last month that execute should rates rise.