Americas ETP News
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OIC Announces April Options Trading Volume Decreased 5%
May 1, 2012--The Options Industry Council (OIC) announced today that 319,640,606 total options contracts changed hands in April, 4.71 percent less than the 335,425,947 contracts traded in April 2011.
Average daily trading volume in April was 15,982,030 contracts, 4.71 percent lower than the 16,771,298 contracts in the same year ago period. Year-to-date volume for April stood at 1,380,749,815 contracts, which is 7.04 percent lower than the 1,485,309,264 contracts traded at the same point last year.
Equity options volume (options on individual stocks and ETFs) for April came in at 295,433,916 contracts, down 5.94 percent compared to April of last year when 314,102,867 contracts were exchanged. On average, 14,771,696 contracts changed hands each day in April, which is 5.94 percent lower than daily average from the previous April of 15,705,143 contracts. Equity options year-to-date volume came in at 1,279,941,692 contracts, down 7.72 percent compared to the 1,387,063,516 contracts traded throughout the same period last year.
Source: OIC
ISE Reports Business Activity for April 2012
May 1, 2012--ISE was the second largest equity options exchange in April with market share of 18.3%, excluding dividend trades.
Dividend trades made up 4.5% of industry volume in April 2012.
The International Securities Exchange (ISE) today reported average daily volume of 2.6 million contracts
in April 2012.
This represents a decrease of 10.7% compared to April 2011. Total options volume for the
month was 52.0 million contracts. ISE was the second largest U.S. equity options exchange in April with
market share of 18.3%*.
Business highlights for the month of April include:
On April 26, 2012, ISE was named “Most Proactive Exchange for ETF Options/Derivatives” at the 8th Annual Global ETF Awards® Dinner and Workshop. Hosted by exchangetradedfunds.com, the Global ETF Awards are awarded to ETF industry participants for outstanding achievements in 2011 and recipients are selected by ETF industry professionals representing over 520 organizations worldwide.
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Source: International Securities Exchange (ISE)
Statement of Chairman Gary Gensler on the Proposed Interpretative Statement Regarding the Confidentiality and Indemnification Provision in the Dodd-Frank Wall Street Reform and Consumer Protection
Chairman Gary Gensler
May 1, 2012--Commodity Futures Trading Commission Chairman Gary Gensler today issued the following statement:
"I support the proposed interpretative statement regarding the application of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act) indemnification provisions for swap data repositories (SDRs). The Commission is working closely with international regulators on a collaborative approach regarding how data may be accessed by regulators.
The proposed guidance, which benefited from international input, states the Commission’s view that foreign regulators will not be subject to the indemnification provisions in the Dodd-Frank Act if the SDR is registered, recognized or otherwise authorized by foreign law and the data to be accessed is reported to the SDR pursuant to foreign law. The public will now have an opportunity to comment on the proposed guidance, and I look forward to the public’s input.”
Source: CFTC.gov
Direxion files with the SEC
April 30, 2012--Direxion has filed a post-effective amendment, registration statement wiuth the SEC for Direxion Shares ETF Trust.
view filing
Source: SEC.gov
ISE Launches ISE Premium Hosted Database
Comprehensive Tick Data and Analytics
Hosted Solution Provides Straightforward Access to over 200 Terabytes of Data
April 30, 2012 --The International Securities Exchange (ISE) announced today that it has launched the ISE Premium Hosted Database (ISE PhD).
ISE PhD is a fully managed historical tick database that offers full OPRA data including all quotes and trades from all exchanges, U.S. equities level one data, pre-computed implied volatilities and Greeks, full corporate action histories, and ISE Open/Close trade data.
This hosted solution is ideal for full tick or time interval back-testing, validating algorithms, pre/post trade analysis, charting, scanning and time and sales. Subscribers benefit from a “pay as you go” pricing model that is flexible and customized to their specific data requirements. ISE PhD is easily accessible through a web browser interface with pre-defined queries or directly through a standard API. In addition to internet access, a variety of connectivity alternatives are offered for ISE PhD, including a cross-connect at ISE’s primary data center (Equinix NY4), through a secure FTP server or via a direct connection from one of many managed connectivity providers, such as BT Radianz.
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Source: International Securities Exchange (ISE)
CME Group Expands Multi-Asset Class OTC Offering with First Cleared FX Non-Deliverable Forward
April 30, 2012--CME Group, the world's leading and most diverse derivatives marketplace, announced today that on April 27 the company cleared its first customer FX Over-the-Counter Non Deliverable Forward (NDF) trade, further expanding the company's market leading OTC solution across multiple asset classes. The currency cleared was the Brazilian Real.
The company also offers NDF clearing for the Chinese Renminbi Yuan, Philippine Peso, Malaysian Ringgit, Indian Rupee, Korean Won, Taiwan Dollar, Chilean Peso, Colombian Peso, Peruvian Sol, Russian Ruble and Indonesian Rupiah.
"As the leader in cleared OTC U.S. customer volume, clearing our first customer FX NDF trade adds to our already robust, multi-asset class OTC clearing service," said Laurent Paulhac, CME Group Managing Director, OTC Products & Services. "Clients see a lot of value in leveraging the same risk, operational and legal infrastructure across interest rate swaps, credit default swaps and foreign exchange. We continue to work with buy-side, sell-side and clearing member firms to further develop our overall OTC offering and FX has become a key priority for clients in the last few months."
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Source: CME Group
Canadian securities regulators grant Designated Rating Organization status under new regulatory framework
April 30, 2012--The Canadian Securities Administrators announced today the official designation of DBRS Limited, Fitch, Inc., Moody's Canada Inc., and Standard & Poor's Rating Services
(Canada) as Designated Rating Organizations (DROs) under applicable Canadian securities laws, as contemplated under National Instrument 25-101 Designated Rating Organizations (NI 25-101).
On April 20, 2012, NI 25-101 came into force, establishing a regulatory framework for the oversight of credit rating organizations, by permitting them to apply for DRO status. This
framework is consistent with international regimes applicable to credit rating agencies.
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Source: CSA
BOX Granted SRO Approval From U.S. Securities And Exchange Commission
April 30, 2012--BOX Options Exchange announces it has received SEC approval of its application for registration as a national securities exchange and thus, act as its own self-regulatory organization (SRO).
BOX expects to start using its own exchange license in mid-May. Being an SRO eliminates the need for BOX to rely on Nasdaq OMX Group Inc., which has been conducting the regulatory oversight of its options market.
“After years of hard work, we are excited to act as our own SRO and no longer be regulated by a competitor,” said Tony McCormick, BOX CEO. “We are anticipating greater efficiencies, and the ability to directly file for new products and contracts that will enhance the experience for our customers.”
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Source: BOX Optons Exchange
Morgan Stalney-US ETF Weekly Update
April 30, 2012--US ETF Weekly Update
Weekly Flows: $7.2 Billion Net Inflows
ETF Assets Stand at $1.2 Trillion, up 14% YTD
Nine ETF Launches Last Week
ProShares Announces ETF Share Splits
Vanguard Reduces Expense Ratios on 13 ETFs
US-Listed ETFs: Estimated Flows by Market Segment
ETFs generated net inflows of $7.2 bln last week; the third largest ETF net inflows YTD
Last week’s net inflows were primarily driven by US Equity ETFs ($5.8 bln in aggregate) where all segments were positive
ETF assets stand at $1.2 tln, up 14% YTD; ETFs have posted net inflows 14 out of 17 weeks YTD ($54.3 bln in net inflows)
13-week flows were mixed among asset classes; combined $25.8 bln net inflows
Fixed Income ETFs have consistently generated weekly net inflows (37 straight weeks of net inflows) and account for 52% of
the ETF net inflows over the past 13 weeks
Over the past 13 weeks US Broad-Market and market capitalization ETFs have exhibited aggregate net outflows of $2.1 bln
US-Listed ETFs: Estimated Largest Flows by Individual ETF
SPDR S&P 500 ETF (SPY) generated net inflows of $3.3 bln last week, the most of any ETF
Market Vectors Gold Miners ETF (GDX) generated net inflows of $228 mln last week, continuing its recent streak of seven weeks of net inflows ($1.1 bln in aggregate); conversely, SPDR Gold Trust exhibited net outflows of $221 mln last week
The technology-heavy PowerShares QQQ (QQQ) has posted net outflows for four consecutive weeks ($2.3 bln in aggregate)
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 4/13/12
SPDR S&P 500 ETF (SPY) posted the largest increase in USD short interest
Despite SPY’s sizeable increase in USD short interest, its short interest ratio (short interest divided by average daily traded
volume) declined from 2.03 to 1.75 as SPY’s ADTV increased from 133 mln shares to 159 million shares
iShares Russell 2000 Index Fund (IWM) exhibited the largest decrease in USD short interest (lowest level since 1/31/11)
The average shares short/shares outstanding for ETFs is currently 5%
SPDR Retail ETF (XRT) is the most heavily shorted ETF as a % of shares outstanding (375%); the fund has seen a rise in shares short in each of the last three periods reported
Based on multiple borrowings and the ability to continuously create new shares, shares short as a % of shares outstanding can exceed 100%
US-Listed ETFs: Most Successful Recent Launches by Assets
Source: Bloomberg, Morgan Stanley Smith Barney Research. Data estimated as of 4/27/12 based on daily change in share counts and daily NAVs.
$7.5 billion in total market cap of ETFs less than 1-year old
Over the past 13 weeks, newly launched Fixed Income ETFs generated most net inflows at $763 mln
94 new ETF listings and 17 closures YTD; 42 of the ETFs launched YTD were issued by iShares
Over the past year, many of the successful launches have an income/dividend orientation
Five different ETF sponsors and two asset classes represented in top 10 most successful launches; six of the 10 focus on fixed
income securities
PIMCO Total Return ETF (BOND) continues to generate strong net inflows ($328 mln over past four weeks); notably, BOND
accounts for 91% of newly launched Active ETF net inflows over the past 13 weeks
Top 10 most successful launches account for 57% of market cap of ETFs launched over the past year
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Source: Morgan Stanley
Treasury Announces Marketable Borrowing Estimates
April 30, 2012--The U.S. Department of the Treasury today announced its current estimates of net marketable borrowing for the April - June and July-September 2012 quarters:
During the April- June 2012 quarter, Treasury expects to issue $182 billion in net marketable debt, assuming an end-of-June cash balance of $95 billion.
This borrowing estimate is $19 billion lower than announced in January 2012. The decrease is primarily due to projections of lower outlays and higher issuances of State and Local Government securities, partially offset by lower receipts.
During the July-September 2012 quarter, Treasury expects to issue $265 billion in net marketable debt, assuming an end-of-September cash balance of $95 billion.
During the January - March 2012 quarter, Treasury issued $401 billion in net marketable debt, and ended the quarter with a cash balance of $43 billion. In January 2012, Treasury estimated $444 billion in net marketable borrowing and assumed an end-of-March cash balance of $30 billion. The higher cash balance and lower borrowing were driven primarily by lower-than-projected outlays and higher net issuances of State and Local Government Securities.
Additional financing details relating to Treasury’s Quarterly Refunding will be released at 9:00 a.m. on Wednesday, May 2, 2012.
view the Sources and Uses Reconciliation Table
Source: US Department of the Treasury
