Barclays Initiates Coverage of CBOE with $27 Price Target. Says shares already include a hefty premium to earnings.
Barclays Initiates Coverage of CBOE with $27 Price Target
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Financial Regulation and Derivatives: The Intersection of Theory and Practice
A brief summary of the impact of Dodd-Frank on derivatives.
Morning Futures Roundup
A roundup of activity in the futures market – Is the Rally in Copper Pointing to Improving Global Economic Conditions?
Volatility Trading Digest: Pendulum Swings – Strategies
Trade selection using volatility as the primary criteria. Different trades for different volatility opportunities.
The Vicissitudes of Hedging Tail Risks
People are excited about tail risk. On the institutional side, banks and asset managers are packaging up complex, multi-asset hedging products and selling them to pension funds, endowments, and other natural longs. On the retail side, Barclays and others are getting great traction with products like VXX, VXZ, VXX options and now XXV.
Volatility Trading Digest: Pendulum Swings
Once again, the pendulum swung back to the "risk on" position despite the uncertainties created by the unresolved macro debate over deficit cutting or more stimulus and coming changes to the financial system from "Fin Reg".
Unusual Options Activity Review – RMBS, FRX, KWK, CECO, RRI, RRC, KGC, DF, .RUT, IWM
Unusual options activity review for Friday, July 23, 2010
Weyerhaeuser (WY) – August Option Buyer into Earnings and Elevated Volatility
The company traded over 55,000 options on total daily average option volume of just 3,167 (note that the stats tab displays 75,000 which includes 20,000 cancelled contracts). The action was an Aug 14/17 strangle purchase and ~14,000 Aug 16 puts which may have been two sided paper.
Options Intelligence Report: Great Atlantic & Pacific Tea Co., Inc. (GAP) & Quicksilver Resources Inc. (KWK)
Put Options In Demand As Great Atlantic & Pacific Tea Co. Shares Collapse – Featured Tickers: GAP & KWK
Options Intelligence Report: McDonald's Corp. (MCD) & Foot Locker, Inc. (FL)
Options Intelligence Report McDonald's Corp. (MCD) & Foot Locker, Inc. (FL)
When VIX and VXV Get Out of Whack
Do traders expect more volatility in the longer term than they do in the short term? The one-month volatility (VIX) is almost always lower than the (three-month volatility (VXV), but sometimes it soars higher.
** UPDATE Itron (ITRI) – Strangle Buyer Wins; Pattern Persists
In the previous article I noticed an Aug 55/70 strangle buyer for $1.75 into earnings which are due out on 7-28-2010. ITRI has moved more than the straddle implies for the last two earnings cycles, and it looked like this trade was betting on a third move.