Americas ETP News
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CBOE Wins: ISE Prohibited From Trading "ISE Max Spy Index" Options
November 2, 2012--The Chicago Board Options Exchange (CBOE) announced today that the Illinois Court has ruled in favor of CBOE and McGraw-Hill and entered an order that the International Securities Exchange (ISE) would violate a previously-issued injunction if it listed and traded options that ISE calls "ISE Max SPY Index" options.
The court ruled that these options would constitute options on the S&P 500 Index and would violate the court's earlier injunction that had prevented ISE from listing or providing a market for S&P 500 Index options. CBOE holds the exclusive right to provide a market for options on that index.
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Source: CBOE
Total VIX Futures Volume Reaches New All-Tme High In October
Second Consecutive Record Month of Total Volume For VIX Futures and Exchange-Wide Trading
November 1, 2012--The CBOE Futures Exchange, LLC (CFE(R)) announced today that total monthly volume in futures on the CBOE Volatility Index(R) (VIX(R)) reached an all-time high for a second consecutive month in October 2012.
The record trading activity in VIX futures also drove total volume at CFE to a new all-time high.
Total monthly trading activity in VIX futures during October was a new all-time high of 2,443,878 contracts, a gain of 172 percent from the 897,966 contracts traded in October 2011 and up two percent from the 2,400,552 contracts during September, which had been the previous record.
In October, average daily volume (ADV) in VIX futures totaled 116,375 contracts, an increase of 172 percent over the 42,760 contracts per day October 2011 and down eight percent versus the record ADV of 126,345 contracts in September 2012. The month was shortened by two trading days as a result of equity market closures on October 29 and 30 due to the East Coast hurricane.
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Source: CBOE Futures Exchange
ETF Industry Guide-Q3 2012 Update
November 1, 2012--Quarterly ETF Industry Guide
Get the Latest Facts on Every Available ETF
Your quarterly update on 1,263 funds across 42 categories
Visit http://www.statestreetspdrs.com/ to request document.
Source: State Street Global Advisors
CFTC's Division of Clearing and Risk Issues Staff Interpretation Regarding Part 22
November 1, 2012--The staff of the Commodity Futures Trading Commission's Division of Clearing and Risk today issued an interpretation regarding Part 22,
under which Futures Commission Merchants and Derivatives Clearing Organizations must legally segregate each Cleared Swaps Customer’s collateral,
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Source: CFTC.gov
U.S. Department of the Treasury TIC Annual and Benchmark Surveys Update
November 1, 2012--The annual survey of U.S. portfolio holdings of foreign securities at end-2011 is now available.
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Source: US Department of the Treasury
ISE Reports Business Activity for October 2012
ISE was the third largest equity options exchange in October with market share of 17.7%, excluding dividend trades.
Dividend trades made up 5.0% of industry volume in October 2012.
November 1, 2012--The International Securities Exchange (ISE) today reported average daily volume of 2.4 million contracts in October 2012. This represents a decrease of 30.2% compared to October 2011.
Total options volume for the month was 50.4 million contracts. ISE was the third largest U.S. equity options exchange in October with market share of 17.7%*.
Business highlights for the month of October include:
On October 3, ISE announced the implementation of its electronic “Kill Switch” functionality in
PrecISE Trade(R), ISE's innovative, front-end execution management system.
The Kill Switch has already been available for exchange members that are connected to ISE via a Direct Trading
Interface (DTI) or FIX connection.
On October 8, ISE announced the launch of two new indexes in collaboration with Horizon Kinetics: the Horizon Kinetics ISE Asia ex-Japan Wealth IndexTM (Ticker: WEALTHAX), which tracks publicly-held companies that are managed by some of the wealthiest individuals in Asian countries excluding Japan; and the Horizon Kinetics ISE Global Wealth IndexTM (Ticker: WEALTHGL), which tracks the performance of publicly-held companies that are managed by some of the wealthiest individuals in the world.
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Source: International Securities Exchange (ISE)
Morgan Stanley-Weekly ETF
October 31, 2012--US ETF Weekly Update
Weekly Flows: $9.7 Billion Net Outflows
ETF Assets Stand at $1.3 Trillion, up 21% YTD
Six ETF Launches Last Week
QuantShares to Liquidate Three ETFs
AdvisorShares ETF Undergoes Name Change
US-Listed ETFs: Estimated Flows by Market Segment
For only the second time in 13 weeks, ETFs posted net outflows last week
ETFs exhibited net outflows of $9.7 bln last week primarily driven by US Large-Cap Equity ETFs ($10.6 bln in net outflows)
Interestingly, International and Global Equity ETFs generated a combined $1.7 bln in net inflows
ETF assets stand at $1.3 tln (up 21% YTD) and have posted net inflows 33 out of 43 weeks in 2012 ($129.4 bln YTD)
13-week flows were mostly positive among asset classes; combined $47.9 bln net inflows
Fixed Income ETFs have posted net inflows 61 out of the past 63 weeks; including $11.8 bln over the past 13 weeks
Fixed Income ETFs account for 19% of total ETF market cap, up from 14% at the beginning of 2011
US-Listed ETFs: Estimated Largest Flows by Individual ETF
The recently renamed iShares Core S&P 500 ETF (IVV) generated net inflows of $462 mln, most of any ETF
Notably, with certain investors becoming more positive on Chinese equities, the iShares FTSE/Xinhua China 25 Index Fund (FXI),
which currently holds 25 stocks and has 57% allocated to financials, posted net inflows of $253 mln last week
US Equity ETFs accounted for 19 of the 25 ETFs to exhibit the largest net outflows last week and were led by the SPDR S&P 500 ETF (SPY) which had net outflows of $10.2 bln
US-Listed ETFs: Short Interest
Data Updated: Based on data as of 10/15/12
PowerShares QQQ (QQQ) had the largest increase in USD short interest at $486 mln
Despite an increase in short interest last period, QQQ’s shares short remained 33% below their average level over the past year
Aggregate ETF USD short interest decreased by $1.1 bln over the past two weeks ended 10/15/12
The average shares short/shares outstanding for ETFs is currently 4.2%
Smaller ETFs by market cap may skew the results (4 of the top 10 with the highest % of shares short have market caps <$25 mln)
Two currency ETFs (CurrencyShares Euro and Yen Trusts-FXE, FXY) are some of the most heavily shorted ETFs; YTD, the funds
have exhibited no correlation to each other and investors have often talked about them in conflicting terms (euro=risk on, yen=risk off)
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 10/26/12 based on daily change in share counts and daily NAVs.
$7.4 billion in total market cap of ETFs less than 1-year old
Newly launched Active ETFs account for 50% of the market cap of ETFs launched over the past year
141 new ETF listings and 73 closures YTD (additional 6 liquidations have been announced)
Over the past year, many of the successful launches have an income orientation
Six different ETF sponsors and two asset classes represented in top 10 most successful launches
Two international high yield bond ETFs had a surge in positive flows, relative to their market caps, last week; the Market
Vectors International High Yield Bond ETF (IHY) and iShares Emerging Markets High Yield Bond Fund (EMHY) posted
combined net inflows of $185 mln
Four iShares minimum volatility ETFs with a total market cap of $1.9 bln surpassed the one year mark and fell off the lists
BNY Mellon- Consultant 360
October 31, 2012--Thought Leadership Highlights
Derivatives Business Developments
Nadine Chakar, global head of BNY Mellon's Derivatives360 business provides insight on the firm's new Global Collateral Services arena along with her reaction to regulations impacting the business.
Prime Custody in The Spot Light
Prime custody is becoming the choice for hedge funds and investors. Marina Lewin, global head of business development discusses these trends. More » Structural shifts continue to drive growth.
A Perspective on UCITS
Alternative UCITS continue to attract healthy inflows of capital. Examine the growth factors behind this trend along with key features new entrants should be aware of when considering enhanced operating features offered by custodians.
Borrower Default Indemnification
Explore how new and proposed regulation is likely to change customary securities lending practices.
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Source: BNY Mellon
S&P Dow Jones Indices Announces Changes To The S&P/TSX Canadian Indices
A Deletion From The S&P/TSX Venture Composite Index
October 30, 2012--S&P Canadian Index Services will make the following changes in the S&P/TSX Canadian Indices:
First Point Minerals Corp. (TSXVN:FPX) will be removed from the S&P/TSX Venture Composite Index after the close of trading on Wednesday, October 31, 2012.
The company will graduate to trade on TSX under the same ticker symbol.
Source: S&P Canadian Index Services
Direxion Funds Goes Live With SunGard's Protegent Social Media Surveillance Solution
October 29, 2012--Direxion Funds, a provider of alternative strategy mutual funds and exchange traded funds, is now using SunGard's Protegent solution to monitor its staff's use of social media.
Direxion Funds is using Protegent to help monitor and moderate its employees' activity on platforms such as Facebook, LinkedIn and Twitter as well as their own websites. The firm will also use the solution to check for policy and Lexicon violations.
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Source: Compliance Week
