Derivatives Industry Talk

CFTC Expected to Unveil New Thinking on HFT

A commissioner at the Commodity Futures Trading Commission is expected to unveil a new method of defining High Frequency Trading, an elusive task for US regulators to date.    CFTC Commissioner Bart Chilton is expected to detail the proposal in [...]

What is The Appropriate Process For Selecting a Managed Futures Investment?

Investing in a managed futures investment program can be significantly different from traditional hedge fund / alternative investing.  To some, the required education process can be a foreboding task because the variables are new.  Depending on the evaluation and ongoing [...]

February Opalesque Futures Strategies

February Opalesque Futures Strategies This issue outlines the P(A|B) Method for analysis of managed futures investments, discusses volatility investing concepts, discuss the appropriate process for selecting a managed futures investment, provide an interview with a short volatility trading program and [...]

First Understand Managed Futures From the Standpoint of Macro Market Environments and Beta Performance Drivers

Although it has not been written about nor formally discussed in public forums, understanding a managed futures investment from the standpoint of market environments and macro performance drivers first solves many problems for asset managers. · It enables a quick description of the investment to provide the [...]

CTA Analysis Starting With Beta Performance Drivers

When analysis of a CTA begins, where is the appropriate place to start? This article makes the point that beta performance drivers are the logical starting point.  This is important from a number of perspectives, including correlation and determination of [...]

Can Market Volatility Be Predicted? I say no; Scott Reamer, CIO at volatility trading program Rotella Chora, disagrees

Unfamiliar to even many sophisticated asset managers, volatility investing provides unique opportunities for risk management and market understanding. Volatility investing involves trading programs based on market price volatility.  The primary volatility market is based on the stock market, but variations [...]

HTF Regulatory Challenge: Define High Frequency Trading

How does one define a previously un-definable topic such as High Frequency Trading (HFT)? Sources close to the Commodity Futures Trading Commission (CFTC) indicate new thinking may be underway regarding the topic of High Frequency Trading (HFT). Speculation is this [...]

Can The Next Flash Crash Be Better Managed With a Volatility Interruption Algorithm? Does Eurex Exchange have the answer?

A significant issue with High Frequency Trading (HFT) has always been defining the activity and related behavior during times of crisis. “The issue is HFT impact on market stability,” noted Dr. Randolf Roth, Head of Market Structure for the Eurex [...]

What’s Missing in the Debate over Residual Interest Income: Monopolistic Control Over Futures Industry Brokerage

While it sounds mundane, the “Residual Interest Income” issue has the potential to literally change the face of the regulated derivatives industry. In just one line of a massive Dodd Frank bill with unnecessary complexity and obfuscation, large bank interests [...]