Chicago fact of the day

by on February 10, 2018 at 2:42 pm in Current Affairs, Economics | Permalink

The mayhem has not spared the Cboe [Chicago Board Options Exchange], with the exchange’s share price falling by as much as 28 per cent this week. Vix futures were responsible for about 40 per cent of the exchange’s earnings growth between 2015 and 2017, according to Goldman Sachs, with ETPs accounting for roughly 20-30 per cent of the “open interest” in Vix futures in recent years.

That is from Rennison, Wigglesworth, and Johnson at the FT.

1 Bill February 10, 2018 at 4:02 pm

So, whenever there is volatility, you should short CBOE.

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2 Doug February 10, 2018 at 4:17 pm

Not really. If anything VIX futures are much *more* traded during periods of intense volatility. That also includes this previous week. Overall trading volumes were multiples times higher this week than in the previous placid trading of 2018. That means more exchange and other fees for CBOE. The reason the share price is down isn’t because of direct losses related to this week. It’s down, because the XIV ETF unwind was so violent that it’s pretty likely new regulation is going to ban similar products.

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3 Bill February 10, 2018 at 5:20 pm

“The mayhem has not spared the Cboe [Chicago Board Options Exchange], with the exchange’s share price falling by as much as 28 per cent this week.” . So, what you are saying is that during normal periods of volatility, and not situations involving a violent unwind, …. So, whenever there are violent unwinds you should short the CBOE.

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4 msgkings February 10, 2018 at 5:47 pm

Good luck getting your short in after realizing there’s a violent unwind going on but before actual professionals and algos have put in theirs.

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5 Bill February 10, 2018 at 5:54 pm

Ah, but if the market algorithms know at time t+1, then a better algorithm will come along and act at time t, which means we will never have anything that can be violent because the celestial orbs will be turning on the predetermined and perfect algorithm and all will be well with the world because it will never get out of control. Everything will be in perfect equilibrium.

6 msgkings February 10, 2018 at 6:21 pm

That probably sounded pretty clever in your head.

7 A clockwork orange February 10, 2018 at 8:30 pm

In July 2017, Okorafor, a professor at Chicago State University, announced the novel, Who Fears Death, was the basis for an HBO television series in “early development”, with George R. R. Martin serving as an executive producer;[3] Selwyn Seyfu Hinds has been selected as scriptwriter.

Suddenly the mayham of Fundacao Getulio Vargas and 1000 Joas has been unleased on the anti-favela culture that Rayward and MSKINgS seek to cultivate. They live without Saturnalia and wish not for everything to begin again from de capo (from the beginning) .

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8 Art Deco February 10, 2018 at 9:18 pm

+1

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