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Our experts frequently write blog posts about the findings of the research we are conducting.

Displaying 111-120 out of 223 results for "Volatility Products".

SLCG Research: Volatility Smiles from Leveraged ETF Options

(Jan 2013)

Leveraged ETFs are a perennial subject on our blog. I thought I'd take this opportunity to highlight a recent research project entitled "Crooked Volatility Smiles: Evidence from Leveraged and Inverse ETF Options" that I recently completed with my colleagues Geng Deng, Craig McCann and Mike Yan.

While studying options data on leveraged and inverse ETFs, we began to notice a pattern such that deep-in-the-money call options -- contacts whose strike price is well above the current spot price --...

ETP Turnover in 2012

(Jan 2013)

2012 was a busy year for the exchange-traded product (ETP) market. As we've noted before, many new funds have been created, and many others have been closed and liquidated. The analysts at IndexUniverse have been keeping track, and have produced the final year-end tally for 2012.

In all, 178 ETFs or ETNs were launched in 2012. iShares (BlackRock) was the largest issuer in terms of number of new funds, but the market was highly divided such that 44% of funds were launched by the smallest 26...

Why a Physical Copper ETF Might be a Really Big Deal

(Dec 2012)

JP Morgan recently obtained approval by the SEC to launch a new copper ETF that, instead of holding derivatives linked to copper, will actually accumulate physical copper itself. While this may not seem like a thrilling market development, there are serious concerns that if this ETF becomes popular and garners significant assets, the world market for copper might be upended. Here's why:

Think of demand for copper as having two components: demand for industrial or productive uses and demand as...

Derivatives in Active ETFs

(Dec 2012)

Over two and a half years ago, the SEC initiated a moratorium on approvals for new ETFs that made extensive use of derivatives such as options and futures contracts. Much of the concern at that time was that derivatives-based ETFs, particularly leveraged, inverse, and futures-based ETFs may not have investor protections or oversight commensurate with their level of risk. Regular readers of this blog know that we have spent a good deal of time discussing those issues in addition to our ...

CFTC Chief Economist Finds High Frequency Trading Harms Traditional Investors

(Dec 2012)

Andrei Kirilenko, chief economist at the Commodity Futures Trading Commission (CFTC), recently released a report that purports to show that the "high-speed trading firms that have come to dominate the nation's financial markets are taking significant profits from traditional investors" according to an article posted by Global Association of Risk Professionals (GARP) as well as the New York Times.

The report categorizes HFT firms as 'aggressive', 'mixed' or 'passive' depending upon the...

Massachusetts Securities Regulators Getting Tough on Non-Traded REITs

(Dec 2012)

LPL Financial, the largest independent broker-dealer in the US, is being sued by Massachusetts securities regulators for "numerous regulatory violations in connection with the sale of non-traded REITs." We have covered non-traded REITs extensively on this blog, as well as in a detailed working paper, and it appears that many of the problems that have been identified with these products are finally attracting attention from regulators.

According to the complaint, the action is specifically...

Structured Products Highlight: Citigroup ELKS Linked to YAHOO!

(Dec 2012)

Today we're highlighting a structured product issued on May 25, 2011 by Citigroup. This product (CUSIP: 17317U501) is an Equity LinKed Security (ELKS) linked to Yahoo! (YHOO).

ELKS are similar to reverse exchangeables in that the notes pay periodic coupons (monthly at an annualized rate of 9.50% in this case) and protect principal on a limited basis (if YHOO's price remains above the $13.08 trigger during the term of the note). In contrast to reverse exchangeables, once a trigger event occurs...

Deliverable Interest Rate Swap Futures

(Dec 2012)

Interest rate swaps are important tools used by many financial and non-financial firms to manage their interest rate exposure. Earlier this week, the CME Group launched a new derivative product called Deliverable Interest Rate Swap Futures with the contention that the product offers "maximum efficiency for managing interest rate exposure." This move is close in spirit to the recent move by the Eris Exchange to offer interest rate swaps on an open exchange. Both of these products are designed...

PowerShares to List Actively Managed Downside Hedged S&P ETF

(Dec 2012)

Late last week, Invesco PowerShares filed a form N-1A registration statement with the SEC to list an exchange traded fund (ETF) with exposure to the S&P 500 with downside exposure actively hedged through VIX futures contracts. The PowerShares S&P 500 Downside Hedged Portfolio (PHDG) seeks to "achieve positive total returns in rising or falling markets that are not directly correlated to broad equity or fixed income market returns" and has annual operating expenses of about 39 basis points....

Structured Products Highlight: JP Morgan Reverse Exchangeable Linked to Ford

(Dec 2012)

Today we're highlighting a structured product issued on January 19, 2012 by JP Morgan. This product (CUSIP: 48125VHZ6) is a Reverse Exchangeable linked to Ford Motor Company (F). Investors who purchased the notes were exposed to the possibility that JP Morgan would default on the obligations spelled out in the note's offering documents.

This particular note offered investors monthly coupons at an annualized rate of 11.25% for the six month term of the note. If, during the term of the notes,...

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