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CFE To Launch S&P 500 Variance Futures On October 4
New Contract Mirrors Quoting Conventions and Economic Performance of Over-the-Counter S&P 500 Variance Swaps
October 1, 2012--CBOE Futures Exchange, LLC (CFE) today announced that it will launch trading in S&P 500 Variance futures on Thursday, October 4, pending regulatory approval.
The S&P 500 Variance futures contract, like over-the-counter (OTC) variance swaps, allows users to trade the difference between the implied and realized variance of the S&P 500 Index. CFE's futures contract will offer the same quoting conventions and economic performance of OTC variance swaps, while providing the advantages of exchange-traded contracts -- transparency, price discovery and counterparty clearing guarantees.
The Method Behind Schwab's ETF Price-Cutting Madness
October 1, 2012--On Sept. 21, discount brokerage Charles Schwab (SCHW) effectively threw down on Wall Street by slashing expenses on each of its 15 exchange-traded funds, some to as low as 0.04 percent.
Investors in Schwab’s U.S. Broad Market (SCHB) and U.S. Large-Cap (SCHX) ETFs will now pay just 40¢ a year for every $1,000 they put into those funds. By specifically comparing these tiny expenses with higher fees docked by Vanguard and State Street (STT) ETFs, Schwab has effectively dared them, and by extension BlackRock, the parent of ETF leader iShares, to follow suit. In two cases, for example, State Street’s SPDRs now charge five times as much as Schwab’s corresponding index ETFs. “In this period of uncertainty in the markets,” said Schwab Chief Executive Walt Bettinger in the announcement, “the expenses investors pay are the only sure thing.”
Industry-provocation is quintessential Charles Schwab. In 1975, when regulators outlawed Wall Street’s fixed commissions, Schwab decided to go discount. In the late 1980s and 1990s, it was a trailblazer in cut-rate telephone and online trading.
S&P Dow Jones Indices Announces Changes to the S&P/TSX Canadian Indices
A Deletion from the S&P/TSX SmallCap Index
October 1, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
The shareholders of Pure Energy Services Ltd. (TSX:PSV) have accepted the $CDN11.00 cash per share takeover offer from FMC Technologies,
Inc. (NYSE:FTI). Pure Energy Services will be removed from the S&P/TSX SmallCap and Equity SmallCap Indices effective after the close of Thursday, October 4, 2012.
First Asset Launches ETFs on Emerging Markets
October 1, 2012--First Asset Exchange Traded Funds is pleased to announce that First Asset Morningstar Emerging Markets Composite Bond Index ETF ("EXM") has closed its offering.
The Fund's common and advisor class units will commence trading on the Toronto Stock Exchange ("TSX") today under the ticker symbols EXM and EXM.A.
EXM has been designed to provide investors with economic exposure to the performance of the Morningstar® Emerging Markets Composite Bond IndexSM, net of expenses. This index includes the most liquid sovereign and corporate bonds issued in U.S. dollars by governments and corporations in Latin America, emerging Europe, Africa, Middle-East and Asia. The common class units of EXM have a management fee of 0.50%.
FlexShares Introduces Developed and Emerging Market TILT ETFs
In first year, FlexShares funds surpassed the $1.5 billion asset milestone
October 1, 2012--FlexShares® Exchange Traded Funds, sponsored and managed by Northern Trust, has introduced two new ETFs that complement its U.S. tilt product (NYSE: TILT) by focusing on developed (NYSE: TLTD) and emerging markets (NYSE: TLTE) outside the U.S. The announcement coincides with FlexShares' first anniversary, a year in which the suite of innovative funds accumulated more than $1.5 billion in assets, as of 9/22/2012.
The new funds, listed on the NYSE, seek to counterbalance the inherent bias toward large-growth companies embedded in market-weighted strategies by applying a nuanced "tilt" methodology toward the long-term growth potential of small cap and value stocks. And unlike many alternatively weighted approaches, FlexShares’ tilted index funds seek a consistent level of risk exposure to size and style providing total market coverage - including large cap and growth.
Trading Activity In VIX Futures Spurs CFE To Busiest Month In History
Several All-Time Highs Reached During Record-Setting Month
October 1, 2012--The CBOE Futures Exchange, LLC (CFE®) announced today that September 2012 was the most-active trading month ever for futures on the CBOE Volatility Index® (VIX®).
The record trading activity in VIX futures drove total volume at CFE to a new all-time high. During the month, several new trading records -- for both VIX futures and CFE -- were set.
ISE Reports Business Activity for September 2012
ISE was the second largest equity options exchange in September with market share of 18.2%, excluding dividend trades.
Dividend trades made up 8.8% of industry volume in September 2012.
October 1, 2012--The International Securities Exchange (ISE) today reported average daily volume of 2.7 million contracts in September 2012. This represents a decrease of 18.4% compared to September 2011.
Total options volume for the month was 50.8 million contracts. ISE was the second largest U.S. equity options exchange in September with market share of 18.2%*.
Business highlights for the month of September include:
On September 7, 2012, ISE introduced $0.50 strike price intervals in weekly options, offering an expanded range of strike prices and potentially a lower cost of entry to investors who are using weekly options to carry out their trading and hedging strategies.
On September 10, 2012, ISE announced the launch of the first mutual fund based on an ISE index, the Virtus Wealth Masters Fund (Tickers: VWMAX, VWMCX, VWMIX). The fund tracks the Horizon Kinetics ISE Wealth Index, jointly developed by ISE and Horizon Kinetics LLC.
On September 20, 2012, ISE partnered with MEB Options to introduce Spread CrawlerTM, a new tool that provides powerful insight through Instant Messaging (IM) into the entire universe of realtime actionable spread orders. This unique product aggregates streaming spread book data from all options exchanges and transmits individual, user-defined spread orders to subscribers via IM.
Vanguard Wins Most Deposits Ever on Indexing Popularity
October 1, 2012--Vanguard Group Inc., the biggest U.S. mutual-fund firm, attracted more money from investors in the first nine months of 2012 than it has in any full calendar year in its 38-year history.
The company won $113 billion in deposits in mutual funds and exchange-traded funds through September, John Woerth, a spokesman, said today in an e-mail. The Valley Forge, Pennsylvania-based company received $104 billion in 2007, the previous high.
Morgan Stanley-US ETF Weekly Update
October 1, 2012--US ETF Weekly Update
Weekly Flows: $7.7 Billion Net Inflows
ETF Assets Stand at $1.3 Trillion, up 23% YTD
Two ETF Launches Last Week
ProShares Announces Share/Reverse Share Splits
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $7.7 bln last week, the ninth consecutive week of net inflows
US Equity ETFs generated $5.1 bln in net inflows last week, capturing 66% of net inflows
ETF assets stand at $1.3 tln (up 23% YTD) and have posted net inflows 31 out of 39 weeks this year
YTD net inflows of $129.8 bln are 71% higher compared to the $76.1 bln in net inflows at this point last year
13-week flows were mostly positive among asset classes; combined $58.3 bln net inflows
US Large-Cap ETFs have generated net inflows of $13.0 bln over the last 13 weeks, the most of any category
Fixed Income ETFs have posted net inflows 57 out of the past 59 weeks; including $8.1 bln over the past 13 weeks
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $3.4 bln, its 6th consecutive week of net inflows
The iShares Barclays 20+ Year Treasury Bond Fund (TLT) rebounded last week, posting net inflows of $407 mln; TLT has exhibited net outflows five out of the past seven weeks as investors have fled Treasury ETFs
Although both dividend paying and high yield bond ETFs have gathered significant inflows YTD, the iShares DJ Select Dividend
Index Fund (DVY) and the SPDR Barclays Capital High Yield Bond ETF (JNK) posted the largest net outflows last week
US-Listed ETFs: Short Interest Data Updated: Based on data as of 9/14/12
SPDR Gold Trust (GLD) had the largest increase in USD short interest at $857 mln
Despite posting net inflows for nine straight weeks and exhibiting strong market returns, GLD’s shares short climbed to their
second highest level of 2012
Aggregate ETF USD short interest increased by $3.7 bln over the past two weeks ended 9/14/12
The average shares short/shares outstanding for ETFs is currently 4.9%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$30 mln)
Both the euro and Yen ETFs are among the most heavily shorted despite exhibiting low correlations and often being used to express opposing views
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100% (only six ETFs exhibited shares short as a % of shares outstanding greater than 100%)
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research.
Data estimated as of 9/28/12 based on daily change in share counts and daily NAVs.
$8.6 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs generated the largest 13-week net inflows at $1.2 bln (PIMCO Total Return ETF-BOND and First Trust North American Energy Infrastructure Fund-EMLP had the largest net inflows in the space)
130 new ETF listings and 44 closures YTD (additional 29 liquidations have been announced)
Over the past year, many of the successful launches have an income/defensive orientation
Six different ETF sponsors and three asset classes represented in top 10 most successful launches
Over the past year BlackRock has launched 29% of all ETFs and commands 36% of new market share, the most of any sponsor
Top 10 most successful launches account for 73% of market cap of ETFs launched over the past year
Invesco Canada announces fund closures
October 1, 2012--Invesco Canada Ltd. today announced that Invesco Global Equity Fund (Series A, F and I) will terminate on or about Friday, December 21, 2012.
Prior to the close of the Fund, unitholders will have the option to switch their investments into any of Invesco Canada's family of funds or to redeem their units.
Additionally, PowerShares FTSE RAFI Emerging Markets Fundamental Index ETF will terminate on Friday, December 14, 2012. No investors will be affected by this closure, as the ETF was never offered to the public or listed on any exchange due to current market conditions.
US court scraps CFTC position limits rule
September 29, 2012--A US court has rejected a proposal by the Commodity Futures Trading Commission that aimed to limit speculation in commodity markets.
The “position limits” rule was to take effect in two weeks. It would have capped holdings of futures and options for 28 commodities and their derivatives, from crude oil to corn and cocoa, expanding existing limits to contracts for any delivery month.
Guggenheim files with the SEC
September 28, 2012--Guggenheim has filed a post-effective amednment, registration statement with the SEC for the Guggenheim Canadian Energy Income ETF
Guggenheim China Real Estate ETF
Guggenheim China Small Cap ETF
Guggenheim Frontier Markets ETF
Guggenheim International Multi-Asset Income ETF
Guggenheim Shipping ETF
Guggenheim Timber ETF
Guggenheim Yuan Bond ETF
Guggenheim files with the SEC
September 28, 2012--Guggenheim has filed a post-effective amendment No. 210, registration statement with the SEC for the Guggenheim S&P Global Dividend Opportunities Index ETF.
view filing
Statement of Chairman Gary Gensler on Position Limits
September 28, 2012--As part of the Dodd-Frank Act, Congress directed the Commission to impose limits on speculative positions in physical commodity futures and options contracts and economically equivalent swaps.
The Rule addresses Congress’ concern that that no single trader is permitted to obtain too large a share of the market, and that derivatives markets remain fair and competitive. I believe it is critically important that these position limits be established as Congress required. I am disappointed by today’s ruling, and we are considering ways to proceed.”
SEC Announces Panelists for Market Technology Roundtable on October 2
September 28, 2012--The Securities and Exchange Commission today announced the panelists who will participate in the agency's October 2 market technology roundtable that will discuss the relationship between the operational stability and integrity of the securities markets and the ways that market participants design, implement, and manage complex and interconnected trading technologies.
The morning portion of the event will focus on the prevention of errors, including discussion about current best practices and the practical constraints for creating, deploying, and operating systems used to automatically generate and route orders, match trades, confirm transactions, and disseminate data. The afternoon panel discussion will focus on error response, with experts discussing how the market might employ independent filters, objective tests, and other real-time processes or crisis-management procedures to detect, limit, and stop erroneous market activities when they occur.
