Derivs - Equity

The Volatility Exchange plans to roll out realized vol-based exchange-traded products on a U.S. equity index next, followed by products based on interest rates and gold or crude oil as well.

Extraterritoriality poses the risk interdealer brokers will have to register the same trading platform in different jurisdictions or develop different platforms for each, according to Scott Fitzpatrick, director of client relations for Europe, the Middle East and Africa for GFI Group in London, at a breakfast briefing this morning.

The increasing prevalence of maker-taker pricing schemes in options markets, both exchange-traded and over-the-counter, will hurt exchanges and the market overall, said Jeffrey Sprecher, ceo of the InterContinental Exchange, on a panel at the Futures Industry Association Options Expo 2011 in Chicago today.

The debate over how to most efficiently segregate client collateral in the post-Dodd-Frank swaps market should be set to one side while the market works out other growing pains, said Craig Donohue, ceo of CME Group on a panel at the Futures Industry Association’s Options Expo in Chicago today.

Issuing new structured products in Europe would become more expensive and time consuming under rules proposed by the European Securities and Markets Authority.

Flow in options on realized volatility has jumped over the last week as players look to alternative structures to land cheaper protection against the eurozone crisis.

Niraj Gudka, coo of global equities at UBS, has resigned and seven officials have been suspended.

NASDAQ OMX plans to switch to calculating margins for fixed income derivatives using a yield curve approach, which may reduce cross-margin amounts 25-50%.

The International Swaps and Derivatives Association has called on the Japanese Financial Services Agency to ensure clearing requirements for derivative transactions, particularly those that are cross-border, be consistent with regulation in overseas countries when it implements its Financial Instruments and Exchange Act.

The Royal Bank of Scotland has issued a multi-asset note unique for paying out the best return of three strategies and including a 50% allocation to inflationary assets such as gold and other commodities.

Generally, implied volatilities pick up in a risk-off environment and we have seen the VSTOXX increase sharply over the last few months.

Strategists at the Royal Bank of Scotland are recommending a one-month 110% call option and a 90% put, with a 70% knockout, on the Hang Seng index to take advantage of the current market volatility.