Should US stocks settle T+1? The current T+2 settlement date is considered antiquated, and the Robinhood affair (gee, them again???) has relaunched the debate. Here is a review of the DTCC’s proposal, as well as an idea for derivatives traders.
Geode handles $700 bn of Fidelity’s index tracking assets. Geode Diversified, the much smaller hedge fund business, took a 36% loss on COVID’s volatility rally. It is now getting the axe.
‘When you combine ignorance and leverage, you get some pretty interesting results.” Warren Buffett
Three good notes from the derivatives research teams of Morgan Stanley, Société Générale, and Nomura point to a potential squeeze in the VIX, as a result of the increasing retail activism. This technical post explains the contents of the research papers. Spoiler alert, yes, the VIX is prone to a squeeze.
GameStop’s rally and its short squeeze are more than just market exuberance. Thanks to low-cost trading, employees working from home, and a Fed-induced market rally, retail traders are pushing the market to new highs and enjoying the excitement of the rally. Worse, social media allow them to focus on a few instruments, with wild rallies.
It is only a matter of time before this party is over, for this stock or the market. We should start thinking of the aftermath.
The schizophrenic behavior of Mr. Market. A bi-modal view of option-implicit asset return expectations
Skew is well explained by the sum of TWO return expectation Gaussians. The model reviews these distributions and leads to an interesting market structure interpretation, with applications in asset allocation.
The fight against one of the largest frauds in banking history (Eur 55 bn and counting) is progressing, with the indictment of Sanjay Shah by SKAT, the Danish Tax Agency.
Our article explains the Cum/Ex fraud, as well as ‘dividend arbitrage’ activities in general.
Oh, so faking up an initial spread to start a market isn’t allowed? Let me put this one out, it’s not rare… CFTC fines TFS-ICAP and its managers $7m for fake FX option markets.
Interestingly enough, the action comes from a whistleblower (who will be entitled 10-30% of that recovery…)
Martin Hairer, an Austrian-British researcher at Imperial College London, is the winner of the 2021 Breakthrough prize for mathematics. A paper so good, it must have been ‘written by aliens’. A big step ahead in stochastic PDE.
If you lose money in trading, your broker can and will go after your assets, including your personal assets. In fast markets, this happens even more often. A glitch at Interactive Brokers may be the rare exception.
Why was the price of the oil futures negative? The explanation is simple – delivery.