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“Moneyball”-Speech by Commissioner Bart Chilton before the Golden Networking High-Frequency Trading Leaders Forum 2011,
October 4, 2011--Introduction
It’s good to be with you today. I especially thank Edgar Perez for the invitation to be here. I also appreciate focusing on something Edgar has written about in his book The Speed Traders. If you haven't read his book, I recommend it highly.
This new breed of trader, speed traders, high frequency traders or HFTs, or what I call “cheetah” traders—because they are so fast, fast, fast—are an authentic market phenomenon. You can't look at what they do and not be impressed.
It is also nice to have this conference in Chicago. It is my favorite city. I grew up just across the lake in Indiana and when the skies were clear you could see the city. My family would come here and go to the Bulls, Bears or White Sox games. We were Sox fans, not Cub fans. But regardless of your team, baseball in Chicago is a wonderful thing, although neither team had a great season this year.
Dollar Beating All Assets in September Undermines S&P U.S. Debt Downgrade
October 3, 2011--After all the concern that the U.S. is debasing its currency, the dollar beat stocks, bonds and commodities for the first time since May as investors sought refuge from slowing growth and Europe’s sovereign-debt crisis.
The U.S. currency rose 6 percent in September, according to IntercontinentalExchange Inc.’s Dollar Index, beating returns of 1.6 percent by Bank of America Merrill Lynch’s U.S. Treasury Master Index. The MSCI All-Country World Index of stocks in 45 countries lost 8.9 percent, the largest monthly drop since May 2010. Raw materials measured by the Standard & Poor’s GSCI Total Return Index of 24 commodities slid 12 percent.
CME Group Joins Battle For NYSE Interest-Rate Futures Market
October 3, 2011--CME Group Inc. (CME) on Monday opened a new front in the battle for global derivatives trading, launching a futures market modeled on one of rival NYSE Euronext's (NYX) most-traded contracts.
The Chicago-based futures exchange group is mulling additional launches that could thrust it further into competition for foreign-based futures trade, according to officials, though just a handful of the newly listed contracts on a key European interest rate traded Monday. read more
Global X files with the SEC-3 ETFs
October 3, 2011--Global X has filed a post-effective amendment, registration statement with the SEC for the Global X NASDAQ 500 ETF
Global X NASDAQ Mid Cap 400 ETF and
the Global X NASDAQ 100 Global Technology ETF
Morgan Stanley-US ETF Weekly Update
October 3, 2011--- Weekly Flows: $3.8 Billion Net Inflows
ETF Assets Stand at $955 Billion, down 4% YTD
Launches: 3 New ETFs
ProShares Announces Share Splits
US-Listed ETFs: Estimated Flows by Market Segment
ETFs posted net inflows of $3.8 bln last week, recovering more than half of prior week’s outflows
Net inflows last week were driven by US Equity, International-Emerging Equity and Fixed Income ETFs
Fixed Income ETFs have exhibited net inflows for 7 straight weeks ($9.9 bln net inflows over the 7 weeks)
ETF assets stand at $955 bln, down 4% YTD (due to market depreciation)
13-week flows were mixed among asset classes; combined $19.4 bln net inflows
Fixed Income ETFs up $11.6 bln; US Sector & Industry ETFs down $5.0 bln
We estimate ETFs have generated net inflows 24 out of 39 weeks in 2011; net inflows of $76.1 bln YTD
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $2.3 bln last week, the most of any ETF
Despite volatile markets, ETFs providing exposure to riskier assets exhibited net inflows (emerging markets, small caps, high yield debt, financials)
3 out of the 10 ETFs to exhibit the largest net outflows last week were emerging market currency-based as stress in the funding markets has increased demand for the US $
US-Listed ETFs: Change in Short Interest
Data Updated: Based on data as of 9/15/11
SPY exhibited the largest increase in USD short interest since last updated
$4.4 billion in additional short interest
Highest all-time level of shares short for SPY
GLD exhibited the largest decline in USD short interest since last updated
$388 million in reduced short interest
Lowest level of shares short for GLD since 5/31/11
JP Morgan files with the SEC
October 3, 2011--JP Morgan has filed a second amended application foe exemptive with the SEC.
view filing
iShares with the SEC
October 3, 2011-iShares has filed an amended and restated application for exemptive relief with the SEC.
view filing
State Street files with the SEC
October 3, 2011--SPDR® Index Shares Fund has filed a Post-Effective Amendment No. 37, registration statement with the SEC.
view filing
State Street files with the SEC
October 3, 2011--SPDR® Series Trust has filed a Post-Effective Amendment No. 71 Amendment, registration statement with the SEC for the
view filing
The Options Industry Council Announces Options Trading Volume Increased 30% In September
October 3, 2011-- The Options Industry Council (OIC) announced today that total options trading volume for September was 391,246,939 contracts, 29.52 percent higher than the September 2010 volume of 302,075,193 contracts.
Average daily trading volume in September was 18,630,807 contracts, 29.52 percent higher than average daily volume of 14,384,533 contracts in September 2010. Furthermore, year-to-date volume stood at 3,507,063,494 contracts at the end of September, 22.46 percent higher than the same point last year when 2,863,809,736 contracts were traded. Average daily trading volume for 2011 was 18,555,891 contracts, up 21.81 percent over the 15,233,030 contracts traded in the same period last year.
OIC also reported that equity options volume (options on individual stocks and ETFs) in September came in at 359,818,479 contracts, up 28.65 percent compared to the same period last year. Daily equity options volume had an average of 17,134,213 contracts per day in September, which is 28.65 percent higher than the year-ago level of 13,318,876. Year-to-date equity options volume was 3,248,324,766 contracts, which is 22.95 percent higher than the same point last year when 2,642,004,136 contracts were traded
Dow Jones-UBS Commodity Indexes September 2011 Performance Report
October 3, 2011-The Dow Jones-UBS Commodity Index was down 14.74% for the month of September. The Dow Jones-UBS Single Commodity Indexes for Lean Hogs, Live Cattle, and Feeder Cattle had the strongest gains with month-end returns of 7.69%, 7.67%, and 7.67%, respectively.
The three most significant downside performing single commodity indexes were Silver Copper and Lead, which were down 27.98%, 25.03%, and 23.16% respectively, in September.
Year to date, the Dow Jones-UBS Commodity Index is down 13.67% with the Dow Jones-UBS Gold Sub-Index posting the highest gain of 13.61% so far in 2011. Dow Jones-UBS Wheat Sub-Index has the most significant downside YTD performance, down 35.98%.
CME Group Sets Monthly Records For OTC Clearing Volumes, Surpasses $45B In Cleared OTC Interest Rate Swaps And Credit Default Swaps
October 3, 2011--CME Group today announced that it set new monthly records for clearing both interest rate swaps (IRS) and credit default swaps (CDS). As of September 30, the company has cleared more than $45 billion in OTC interest rate swaps (IRS) and credit default swaps (CDS) through its open clearing solutions since their launch.
For the month of September, the company cleared over $35.5 billion in customer volume in IRS, exceeding the previous record monthly total of $1.2 billion in August. The company also cleared $6.5 billion in customer volume in CDS in September, surpassing the previous record monthly total of $287 million in August. As of September 30, open interest stood at $34.2 billion in IRS and $5.9 billion in CDS.
The company confirmed that it will expand its existing U.S. dollar-denominated IRS offering on October 17, 2011, to include Euro-denominated IRS. By year-end, CME Group will expand its CDS offering to include CDX high yield indices, and will extend its IRS offering to include the British pound, Japanese yen, Swiss franc and Canadian dollar-denominated IRS.
CBOE Holdings Reports September 2011 Trading Volume
CBOE Holdings' September Average Daily Volume of 5.0 Million Options Contracts Increased 31% from Year Ago
Third Quarter 2011 Volume of 346.8 Million Contracts Rose 46% From 2010
October 3, 2011--CBOE Holdings, Inc. (NASDAQ: CBOE) today reported that September trading volume for options on the Chicago Board Options Exchange (CBOE) and C2 Options Exchange (C2), the company's all-electronic market, combined, totaled 104.2 million contracts.
Average daily volume (ADV) was 5.0 million contracts, an increase of 31 percent from September 2010's ADV of 3.8 million contracts per day.
CBOE Holdings total options trading volume during the third quarter of 2011 was 346.8 million contracts, an increase of 46 percent from 237.4 million total options contracts during the third quarter of 2010. Third quarter average daily volume rose 46 percent to 5.4 million options contracts, up from 3.7 million options contracts per day during the third quarter of 2010.
ISE Reports Business Activity for September 2011
Dividend trades made up 3.9% of industry volume in September 2011.
ISE is the second largest equity options exchange in September with market share of 19.7%, excluding dividend trades
October 3, 2011--The International Securities Exchange (ISE) today reported average daily volume of 3.3 million contracts in September 2011. This represents an increase of 26.3% compared to September 2010. Total options volume for the month was 68.8 million contracts. ISE was the second-largest U.S. equity options exchange in September with market share of 19.7%*. Business highlights for the month of September
include:
On September 9, 2011, ISE announced that Volant Liquidity LLC joined ISE as a Competitive Market Maker (CMM), becoming the first new market maker under ISE’s new CMM trading rights
program that launched on September 1.
On September 13, 2011, ISE announced that it had introduced several new risk management features to its PrecISE Trade® front-end execution system. With the upgrade, risk managers are now able to set and monitor compliance with risk parameters available in the system.
On September 13, 2011, ISE and BOX announced that they had entered into an agreement to resolve a patent infringement case filed by BOX against ISE in May 2011.
On September 22, 2011, ISE announced that its latest Optimise™ release included an enhancement to its Price Improvement Mechanism (PIM) to accept tied-to-stock orders. The technology release also included several performance upgrades.
Remarks before the Swap Execution Facility Conference, Chairman Gary Gensler
October 3, 2011--Good morning. I thank the Wholesale Markets Brokers’ Association for inviting me to speak today at your second Swap Execution Facility Conference. I also thank Shawn Bernardo for that kind introduction.
I’d like to start by taking a moment to talk about what we’ve been up to at the Commodity Futures Trading Commission (CFTC) since I spoke with you at your inaugural conference last year.
Since then, the CFTC has substantially completed the proposal phase of the rule-writing process required by the Dodd-Frank Wall Street Reform and Consumer Protection Act. We held 19 public meetings to issue more than 50 proposed rules – on issues including transparency, clearing and regulating swap dealers.
The CFTC has benefited from significant public input throughout this process. We have received more than 25,000 comment letters. CFTC staff and Commissioners have met more than 1,000 times with members of the public to discuss the rules. We have conducted 14 public roundtables on Dodd-Frank.
This summer, the agency turned the corner and began finalizing rules to make the swaps marketplace more open and transparent for participants and safer for taxpayers. To date, we have finalized 15 rules, and we have a full schedule of public meetings this fall and into next year.
