Derivs - Equity

A change to margin calculation for the S&P 500 exchange-traded variance future, which launched in May last year, is being discussed—a move market players said should help kickstart trading.

Grant Biggar,the ex-president of Creditex in New York, has joined Algomi as a strategic advisor, also in New York.

Volume and liquidity in Japan’s Nikkei 225 Volatility Index Futures market could increase next week, following the integration Monday of two of Japan’s derivatives markets.

The CBOE short-term volatility index is seeing roughly twice as much volatility as the longer-term VIX index, Dom Salvino, VIX specialist at Group 1, told attendees at the CBOE Risk Management Conference this afternoon.

Buysiders grappled with the question of whether volatility can be observed as an asset class in a lively panel session at the CBOE Risk Management Conference this afternoon.

Strategists at BNP Paribas are recommending investors take a tactical long position on the North American CDX high yield series 21 index against the S&P 500, ahead of the roll to series 22 on March 27.

NASDAQ OMX Derivatives Markets is planning to introduce weekly options on Swedish shares, with the product now available for member testing in external systems.

NASDAQ OMX Clearing has become the first European clearinghouse to receive approval under the European Market Infrastructure Regulation following a decision by the Swedish FSA. The decision on Tuesday followed an opinion on March 12 by regulators and central banks from Denmark, Finland, Norway, Sweden and the UK, including the European Central Bank and the European Securities and Markets Authority.

CBOE Futures Exchange is set to expand VIX futures trading hours to nearly 24 hours per day on June 22. The move follows a trading expansion by five hours, 45 minutes late last year.

Volatility arbitrage and multi-strategy hedge funds have been hedging potential China macro tail risk by going long volatility via volatility spreads that reference the HSCEI and the S&P 500.

Deutsche Bank has been given licensing rights to the Stoxx Europe Low Beta High Div 50 Index and plans to issue structured products linked to the underlying.

Singapore Exchange plans to launch options trading on China A50 futures in the third quarter this year and will also expand its suite of foreign exchange Asian currency futures to include renminbi around the same time.