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Flash crash probe plays down quote-stuffing
September 2, 2010--Regulators probing the causes of the May 6 flash crash have concluded that quote-stuffing – placing and then almost immediately cancelling large numbers of rapid-fire orders to buy or sell stocks – was not a “major factor” in the turmoil, a person familiar with the inquiry said on Thursday.
However, the practice of quote-stuffing has come under increased scrutiny by regulators in both the equities and futures markets.
The Commodity Futures Trading Commission on Thursday confirmed it was reviewing data from Nanex, a database developer, which has suggested high-frequency trading firms could have used quote-stuffing to create arbitrage opportunities by slowing down electronic stock-trading networks or distracting their rivals.
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Source: FT.com
Claymore files with the SEC
September 1, 2010--Claymore has filed a post-effective registration statement, registration statement with the SEC.
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Source: SEC.gov
NEXT ETF’s LLC files with the SEC
September 1, 2010--NEXT ETF’s LLC has filed an application for exemptive relief with the SEC.
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Source: SEC.gov
Barclays Launches Exchange Traded Note Linked to S&P 500® Dynamic VEQTORTM Total Return Index
September 1, 2010--Barclays Capital today announced the listing of the Barclays ETN+ VEQTORTM Exchange Traded Note (ETN) on the NYSE Arca stock exchange under the ticker symbol VQT. The ETN is designed to provide investors with broad equity market exposure.
“Today’s launch expands our suite of volatility-linked products, underscoring our commitment to providing solutions that seek to meet our clients’ needs,” said Philippe El-Asmar, Managing Director, Head of Investor Solutions at Barclays Capital. “The VEQTOR ETN provides investors with an exchange-traded way to access US equity returns with a long volatility overlay designed by Standard & Poor’s to provide an alternative to the S&P 500.”
The Barclays ETN+ VEQTORTM ETN is linked to the performance of the S&P 500® Dynamic VEQTORTM Total Return Index (the “Index”). The Index seeks to provide investors with broad equity market exposure with an implied volatility hedge by dynamically allocating its notional investments among three components: equity, volatility and cash. The equity component of the Index is represented by the S&P 500® Total Return IndexTM and the volatility component of the Index is represented by the S&P 500® VIX Short-Term FuturesTM Index.
For further information please contact:
Kristin Friel
Tel: 212 412 7521
Source: Barclays Capital
ISE Reports Monthly Volume For August 2010
September 1, 2010--The International Securities Exchange (ISE) today reported average
daily volume of 2.4 million contracts in August 2010.
Average daily trading volume for all options contracts decreased 36.9% to 2.4 million contracts in August
as compared to 3.7 million contracts during the same period in 2009.
Total options volume for the month
decreased 33.9% to 51.8 million contracts from 78.4 million contracts in the same year-ago period.
On a year-to-date basis, average daily trading volume of all options decreased 24.3% to 3.1 million contracts traded. Total year-to-date options volume through August 2010 decreased 24.3% to 510.3 million contracts from 673.8 million contracts in the same period last year.
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Source: International Securities Exchange (ISE)
Barclays ETN+ S&P VEQTOR™ ETN list on NYSE Arca
September 1, 2010-- NYSE Euronext (NYX) announced that its wholly-owned subsidiary, NYSE Arca, today began trading Barclays ETN+ S&P VEQTOR™ ETN (Ticker: VQT) . The ETNs are linked to the S&P 500® Dynamic VEQTOR™ (Volatility Equity Target Return) Total Return Index which is calculated, maintained and published by Standard & Poor’s Financial Services LLC (“S&P” or the “index sponsor”).
The Barclays ETN+ S&P VEQTOR™ ETN seek to provide investors with broad equity market exposure with an implied volatility hedge by allocating its notional investments among three components: equity, volatility and cash. The equity component of the Index is represented by the S&P 500® Total Return Index™ (the “S&P 500 TR”) and the volatility component of the Index is represented by the S&P 500 VIX Short-Term Futures™ Index TR (the “Short-Term VIX TR” and together with the S&P 500 TR, the “Constituent Indices”).
The S&P 500 TR is intended to provide a performance benchmark for the U.S. equity markets, and the Short-Term VIX TR seeks to model the return from a daily rolling long position in the first and second month CBOE Volatility Index® (the “VIX Index”) futures contracts.
Source: NYSE Euronext
CFTC.gov Financial Data for Futures Commission Merchants Update
September 1, 2010--The CFTC.gov Financial Data for Futures Commission Merchants has been updated and is now available.
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Source: CFTC.gov
U.S. Department of the Treasury TIC Annual and Benchmark Surveys Update
September 1, 2010--The TIC Annual and Benchmark Surveys for U.S. Department of the Treasury has recently been updated, and is now available.
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Source: U.S. Department of the Treasury
August Trading Volume At CBOE Futures Exchange Rose 8% Over The Previous Month
September 1, 2010-- The CBOE Futures Exchange, LLC (CFE) today announced that August 2010 trading volume totaled 291,533 contracts, compared to 105,506 contracts during August 2009.
August was the third most active trading month at CFE this year and marked the eleventh consecutive month in which total volume registered an increase when comparing year-over-year trading activity.
August volume rose eight percent from the 270,014 contracts that traded during July 2010.
Average daily volume (ADV) of 13,250 contracts during August exceeded the year-ago ADV of 5,025 contracts. When compared to 12,857 contracts per day during July 2010, ADV in August increased three percent.
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Source: CBOE
OCC Announces Total Contract Volume Remained Flat In August While Stock Loan Program Activity Continued To Grow
September 1, 2010-- The Options Clearing Corporation (OCC) announced today that total OCC cleared volume in August reached 285,128,314 contracts, representing a 1% decrease over the August 2009 volume of 287,627,998 contracts.
OCC's year-to-date average daily volume is up 7% compared to 2009 with 15,440,615 and year-to-date total volume is up 7% with 2,578,582,756 contracts. Activity in OCC's securities lending program has continued to grow with an 88% increase over last August.
Options: Exchange-listed options trading volume reached 283,487,110 contracts in August, a 1% decrease from August 2009. Index options trading rose 10% from the previous August. Year-to-date average daily contract volume for exchange-listed options is up 6% compared to the same period last year.
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Source: Options Clearing Corporation (OCC)
