FT Alphaville » If algos can mis-value a book by $23.7m…

If algos can mis-value a book by $23.7m…

Posted by Izabella Kaminska on Apr 26 15:19.
… how might they be mis-valuing equities?
So asks Themis Trading on Tuesday after discovering this curio of a story from CNN about algo-bots gone wild on Amazon.
The story relates to the listing of a book called “The Making of a Fly” by Peter Lawrence on Amazon.com on April 18 for no less than $23,698,655.93 (plus shipping) — seemingly the result of an algo price war.
The price anomaly itself was unearthed by Michael Eisen, an evolutionary biologist and blogger, who logically observed this couldn’t be a one off situation.
As he noted on his blog:

What’s fascinating about all this is both the seemingly endless possibilities for both chaos and mischief. It seems impossible that we stumbled onto the only example of this kind of upward pricing spiral – all it took were two sellers adjusting their prices in response to each other by factors whose products were greater than 1. And while it might have been more difficult to deconstruct, one can easily see how even more bizarre things could happen when more than two sellers are in the game. And as soon as it was clear what was going on here, I and the people I talked to about this couldn’t help but start thinking about ways to exploit our ability to predict how others would price their books down to the 5th significant digit – especially when they were clearly not paying careful attention to what their algorithms were doing.

Cue in-depth analysis of third party vendors providing pricing algorithms for independent traders on Amazon and Ebay.
As CNN points out, individual booksellers on Amazon and other sites pay such companies for services which automatically update prices. Some work very well, “getting sellers up to 60 per cent more sales because they underbid the competition automatically and repeatedly”.
Some, as the case above illustrates, lose touch with reality altogether.
Now, as Themis Trading points out, all of this does bear an uncanny resemblance to what’s going on in financial markets thanks to the algo strategies deployed by high frequency traders.
These sorts of algos, after all, are equally prone to losing touch with the fair value of the equities they are pricing, as the notorious flash-crash of May 6 proves. Now, if you keep the parallel going, that means the example of the $23.7m fly book is nothing more than Amazon’s own equivalent of a market flash or dash.
As Themis’ Sal Arnuk observes:

So, now we have Flash Crashes and Flash Dashes outside the stock market! Is everything being priced in the universe today, not with forethought, but rather as some relation to another price, which in turn is set in relation to yet another price? All without human intervention? Is this wise? Is anyone doing the thinking? Is anyone doing “the work” in our stock markets, as well as on AMAZON? On the eve of the May 6th Flash Crash, perhaps it is wise to think about that question.

Of course, while most ‘flash crash day’ trades were cancelled in the end, we wonder how many Amazon buyers who realise they’ve been had via algo mispricing end up cancelling their trades. And how often it happens.
Secondly, does this make Amazon and Ebay the dark pools of the retail sector, with John “never knowingly undersold” Lewis the equivalent of a market exchange?
And last – is it time for a retail versus financial market structure comparison diagram? We think yes



FT Alphaville » If algos can mis-value a book by $23.7m…

Financial Times: CIC set for up to $200bn in fresh funds

You can bet Zapatero I pray g some of the cash goes to prop up Spain's cajas.  

  25 2011 3:18 PM GMT
CIC set for up to $200bn in fresh funds
--
By Henny Sender in Hong Kong and Jamil Anderlini in Beijing
--
Senior officials have said China's foreign exchange reserves are excessive and beyond 'reasonable requirements'

Read the full article at: http://www.ft.com/cms/s/0/51d8e878-6f2d-11e0-952c-00144feabdc0.html?ftcamp=rss

Higher Rates Likely to Keep Euro Rising - WSJ.com

Higher Rates Likely to Keep Euro Rising - WSJ.com 

NEW YORK—Currency investors' scramble for yield is likely to lift the euro against the dollar this week, but rising concerns about the euro-zone's sovereign-debt crisis could curb the common currency's gains.

View Full Image

Zuma Press

The European Central Bank, headed by President Jean-Claude Trichet, right, is expected to keep raising interest rates in the months ahead as the Federal Reserve leaves rates near zero.

The European Central Bank is expected to continue raising rates in the months ahead while the Federal Reserve leaves U.S. rates near zero for the rest of this year, a prospect that is boosting the euro.

The euro hurdled $1.45 for the first time since January 2010 last week, before pulling back slightly, while some big foreign-exchange banks have raised their forecasts for the common currency. Deutsche Bank and Citigroup now both expect the euro to rise toward $1.50 in coming months.

"The biggest driver for two months now has really been interest rates, interest rates and, of course the third thing being, interest rates," said Jonathan Wetreich, a currency strategist with Brown Brothers Harriman.

As worries grew last week that Greece will eventually need to restructure its debt, and as Moody's Investors Service downgraded Ireland's credit rating on Friday, the euro retreated against the dollar, but only to the $1.44 area, still among the strongest levels it has seen this year.

Late Friday, the euro was at $1.4427 from $1.4494 late Thursday. The dollar was at ¥83.08 from ¥83.45.

Interest-rate differentials will likely push the euro even higher in the week ahead, analysts said.

"It's really a question of whether the euro is getting to a valuation where it's harder to keep going, but I think it will keep going," said Adnan Akant, head of foreign exchange and managing director at money manager Fischer Francis Trees & Watts, a New York unit of BNP Paribas. The money manager is still betting on the euro to rise, though it's not an "overemphasized" position, he said.

"If you clear your head and think about what's going on, it's still an interest-rates story," he said.

The spread between the euro and dollar two-year swap rate touched its highest level since 2008 on Friday, and if it continues to widen, it will be euro-supportive, said Ron Leven, a strategist with Morgan Stanley.

Deutsche Bank raised its euro forecast Friday, projecting the euro will rise to near $1.50 in the next three to six months. The bank had previously expected the euro to trade within a $1.25 to $1.40 range against the dollar throughout 2011. Citigroup now expects the common currency at $1.50 over six to 12 months, up from a previous forecast of $1.45.

Meanwhile, J.P. Morgan Asset Management, one of the world's biggest asset-management firms, has abandoned its bet on a decline in the euro against the dollar, said Robert Michele, global chief investment officer for the New York, London and Asia investment teams of J.P. Morgan Asset Management's Global Fixed Income Group, in a phone interview Friday.

However, the euro-zone debt crisis still poses a risk for the euro, analysts said.

If Greece is forced to restructure its debt, it "is likely to send a shockwave" through the euro zone and its currency, said Brian Dolan, chief currency strategist at Forex.com.

In addition, Finland, which is the only euro-zone country that requires bailouts to be approved by parliament, held parliamentary elections Sunday. The anti-bailout True Finns Party appeared to make a strong showing, according to exit polls, and that could raise fears about whether the results will undermine a planned rescue for Portugal.

Investors continue to view Spain as the real tipping point, though it seems to be on solid ground for now because of headway on reforms and fiscal austerity measures. But market analysts are keeping a close eye on the shaky Spanish housing market, the country's high jobless rate and its vulnerable savings banks.

If such sovereign-debt jitters still weigh on the currency this week, it could mean a mild rebound for the U.S. dollar, Mr. Dolan said.

—Min Zeng contributed to this article

Higher Rates Likely to Keep Euro Rising - WSJ.com

Spain backtracks on China investment claim

What fools they look like, but then again, this is nothing new for Zapatero

Spain backtracks on China investment claim

By Miles Johnson in Madrid
Published: April 14 2011 13:57 | Last updated: April 14 2011 13:57

The Spanish government has been forced into an embarrassing reversal after claims that Spain had secured up to €9bn in investment in its troubled savings banks from China were denied by Beijing.
Spanish government officials said an “error of communication” had led to claims that China Investment Corporation, one of the country’s sovereign wealth funds, was considering the €9bn investment after José Luis Rodríguez Zapatero, Spain’s prime minister, met Chinese leaders this week.
“China has said it will continue to buy Spanish government debt, and is interested in participating in the restructuring of the savings banks, but it is too early to name specific amounts of investments,” the Spanish government said.
Mr Zapatero is on an official visit to China and Singapore to meet Asian investors to promote Spain’s government debt and financial sector.
A CIC official earlier told Reuters that reports in the Spanish media of the investment were false. CIC is known to no longer have available funds to invest abroad, and the €9bn ($13.5bn) figure would dwarf its largest previous investment which was a $5bn stake in Morgan Stanley made in 2007.
The admission of error came as Spain’s central bank was finalising its approval of plans submitted by the country’s regional savings banks, known as cajas, to raise new capital to meet a €15bn shortfall that has shaken investor confidence in the stability of the Spanish economy.
The previously little-known and privately held cajas were left gasping for new capital after loans made during Spain’s property bubble began to sour and its economy fell into recession.
Tough economic reforms led by Mr Zapatero’s socialist government, including freezing civil service pay and slashing Spain’s budget deficit, have helped the country partially regain the confidence of financial markets after some investors had started to view Spain as being at risk of following Greece, Ireland and Portugal into taking European Union rescue funds.
The interest investors demand to hold Spanish government debt over German bonds has fallen sharply since the start of the year.
On Thursday, however, after the confusion over Chinese investment in the cajas and ahead of the finalisation of their own capital raising plans, the spread between Spanish and German 10-year debt rose by 9 basis points to 190bp.
Spain’s outreach to China for investment comes after the prime minister of Qatar said in February that his country would invest €300m in Spanish banks after expressing confidence in the Spanish economy during a visit to Madrid.
Since then there have been no further details about which institutions Qatar would invest in, nor what form any investment would take.

Copyright The Financial Times Limited 2011.

FT.com / Europe - Spain backtracks on China investment claim

BANCO DO BRASIL EYES US LENDER

BANCO DO BRASIL EYES US LENDER
By Samantha Pearson in São Paulo and Andres Schipani in MiamiPublished: April 11 2011 19:08 | Last updated: April 11 2011 19:08
Brazil's biggest bank by assets and profits is poised to become the first in the country's history to acquire a US retail bank, as surging profits and a strong local currency pave the way for international expansion, according to people close to the negotiations.
State-owned Banco do Brasil is in advanced talks to buy Eurobank, a regional lender based in Miami, for an undisclosed amount according to people close to the negotiations. Acquiring the bank, which has three branches in Florida, would give Banco do Brasil a vital foothold in the US market as well as access to lucrative money remittances from the state's Latin American residents. Banco do Brasil later confirmed it had begun talks with the bank.
This article can be found at:
http://www.ft.com/cms/s/0/6596d610-6463-11e0-a69a-00144feab49a,_i_email=y.html
"FT" and "Financial Times" are trademarks of The Financial Times.
Copyright The Financial Times Ltd 2011

Ivory Coast Splinter Dictator Captured By French Forces, Handed Off To Rebels; Cocoa Plunges

Ivory Coast Splinter Dictator Captured By French Forces, Handed Off To Rebels; Cocoa Plunges

 zero hedge -Author: Tyler Durden

And like that, we now have one less conflict. From Reuters "French special forces have detained Ivory Coast's Laurent Gbagbo and handed him to leaders of the rebel opposition, after French tanks forced their way into his residence, a Gbagbo adviser in France said. "Gbagbo has been arrested by French special forces in his residence and has been handed over to the rebel leaders," Toussaint Alain told Reuters." We would prefer not to visualize what happens to Gbagbo in the hands of his news captors. Importantly, considering the primary determinant in cocoa prices YTD has been the ongoing civil war in the African country, the promise of an end to hostilities sends Cocoa prices plunging, dropping the 10 metric ton contract by nearly $100 in the span of seconds.

Read more…

Toxic Dollar: Why Nobody Seems to Want US Currency

CNBC.com Article: Toxic Dollar: Why Nobody Seems to Want US Currency

In 10 months, the Dollar Index has lost 14% because the world keeps accumulating dollars it doesn't want and sells them. Asian central banks are key.

Full Story:
http://www.cnbc.com/id/42479791

Sovereign Wealth Funds to reach over $5.5 trillion by the end of 2012

SWFs to reach over $5.5 trillion by the end of 2012

Opalesque Sovereign Wealth Funds Briefing

Sovereign Wealth Funds (SWFs) gradually regained their appetite for foreign investments in 2010 having cut−back on cross−border spending for much of 2009. Assets under management of SWFs increased 11% in 2010 to $4.2 trillion. There was a further $6.8 trillion held in other sovereign investment vehicles, such as pension reserve funds, development funds and state−owned corporations' funds and also $7.7 trillion in other official foreign exchange reserves.

TheCityUK expects assets of SWFs to reach over $5.5 trillion by the end of 2012. The UK and London in particular is an important centre in the SWFs market as a clearing house and location from where some of these funds are managed………………………………………Full Article: Source

http://www.opalesque.com/SWF_Briefing/?p=8410

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Text: Money to burn for insider trading suspects | Reuters

Gotta love these jokers...

Bauer: "...I am sitting with over $20 million in the bank.... I am not worried about me going broke... If you need to pay for more lawyers, use everything you have"

Bauer: "You know what, you know what, if you feel better, burn the money and I'll give it back to you."
Co-conspirator: "Burn it?"
Bauer: "I would burn it in a fire...."
Bauer: "We have to get the fingerprints off that money."

- ON DISCUSSING WHAT TO DO WITH $175,000 IN CASH THAT HAD BAUER'S FINGERPRINTS ON IT

Federal prosecutors said Matthew Kluger, a former lawyer at Wilson Sonsini Goodrich & Rosati, regularly stole information about anticipated deals. He is accused of passing the tips to an unnamed co-conspirator, who then supplied them to trader Garrett Bauer with instructions on how to trade, according to the criminal complaint.

 Money to burn for insider trading suspects

3:37pm EDT

(Reuters) - A lawyer and a trader were charged on Wednesday with conspiring to trade on corporate merger secrets in one of the largest insider trading cases in the United States. Prosecutors said they stole confidential merger information from three prominent law firms.

Following are excerpts of telephone conversations quoted in the court complaint, secretly recorded after the FBI had searched the co-conspirator's home and asked about suspicious trades:
BAUER AND CO-CONSPIRATOR DISCUSSING POSSIBLE ARRESTS:
Bauer: "Don't worry about any money (name of co-conspirator). At some point in the future when this is cleared up, you will have whatever you need... I am sitting with over $20 million in the bank.... I am not worried about me going broke... If you need to pay for more lawyers, use everything you have."
Co-conspirator: "OK, I will, I am glad you, I'm glad you mentioned that. And if I go to jail, would you ... is there any chance you might help (co-conspirator's spouse) out?"
Bauer: "Of course ... You, your kids, everything, it will be set."
DISCUSSING WHAT TO DO WITH $175,000 IN CASH THAT HAD
BAUER'S FINGERPRINTS ON IT:
Bauer: "You know what, you know what, if you feel better, burn the money and I'll give it back to you."
Co-conspirator: "Burn it?"
Bauer: "I would burn it in a fire...."
Co-conspirator: "You know something, that - that's foolish."
LATER CONVERSATION ABOUT THE $175,000:
Bauer: "We have to get the fingerprints off that money."
Co-conspirator: "Yeah."
Bauer: "Like you wearing gloves or something and wiping every bill down or something. But it has to be done. Or as, like, you giving it to me and me wiping every bill down or something."
Co-conspirator: "You know something. Somebody did say, 'Why don't you just run it through a dish-, a washing machine?'"
Bauer: "Well, I, I don't know. I mean, I've seen that in the movies but I don't know."
KLUGER ASKING WHAT CO-CONSPIRATOR'S ATTORNEY IS ADVISING:
Kluger: "So, what he's telling you is that you should flip, right? That's what, that's what I mean all these guys do -- that's all they ever do."
Co-conspirator: "Yeah, no."
Kluger: "Unless you get one that used to work for the mob or something... That's all these former prosecutors know."
(Reporting by Dena Aubin; Editing by Tim Dobbyn)

© Thomson Reuters 2011

Text: Money to burn for insider trading suspects | Reuters

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-- The MasterFeeds

Munger "Recuses Himself" As Frontrunning Focus Shifts To His BYD Purchase

It's coming out like a can of worms…. It's not just with 2 and 20 that fund managers make a killing…seems they're all guilty of the same thing - Frontrunning

Charlie Munger may be just as guilty of a comparable attempt at frontrunning a Berkshire purchase through his previously undisclosed holdings of a 3% stake in BYD

see the story below from zero hedge

Munger "Recuses Himself" As Frontrunning Focus Shifts To His BYD Purchase

Author: Tyler Durden

April 6, 2011

A few days ago, we disclosed that based on David Sokol's testimony to CNBC, Buffett's right hand man, Charlie Munger, may be just as guilty of a comparable attempt at frontrunning a Berkshire purchase through his previously undisclosed holdings of a 3% stake in BYD. And despite the Octogenarian's wishes that this story remain dead and buried, Bloomberg has decided to once again bring it up to popular attention. "Berkshire Hathaway Inc. Vice Chairman Charles Munger said his family was invested in BYD Co. "for years" before his company took a stake in the Chinese automaker and that he disclosed the financial interest to his business partner Warren Buffett. "I certainly suggested that Berkshire look at investing in something that the Mungers were already invested in, but we'd been in it for years," he said today in a telephone interview." Of course, since there is no way to check,the general public will be happy to just take Munger's word. After all, he is just as old and cuddly as that other guy, who following the recent spate of negative publicity, and especially Mike Steinhardt's scathing review today, will very soon need his own reality show to preserve his "reputation." Either way, here is the validation fro Munger why the SEC should not be currently deposing him: "I had Dave look at it, because I knew I couldn't talk Warren into buying into the damn thing by myself. It's a new technology-type investment. But David went over there, and he made the deal for Berkshire. I recused myself. But there's no question about it, that I caused Dave's original interest." Of course, we would love to take Munger's word for it: after all he represents just the same level of "integrity" as Buffett. But in the meantime, we would love to know at  what price Munger made his purchase, and, well, when, because at last check in the "years" preceding 2008, the stock was trading pretty much in line with any price achieved in 2008, not to mention the surge once the Buffett investment was announced. And we are convinced that while his self-proclaimed recusal will placate everyone that Munger may have committed a crime, perhaps the SEC should ask a question or two. If nothing else, than at least to clear the Vice-Chairman's now thoroughly besmirched reputation.
From Bloomberg:

The Munger investment in BYD is different from Sokol's in Lubrizol because of the longer amount of time that elapsed before Berkshire announced its intention to acquire shares, said James Cox, a professor of corporate and securities law at Duke University Law School in Durham, North Carolina.

"What really matters is the close time sequence that we all now know that Sokol made the investment," he said.

We would respectfully, and completely, disagree. And while we will assume initially that Munger did not lie about how long he held BYD for (although we would not be all that shocked if our well-meaning naivete is proven wrong) a far greater issue is the cost basis which is the benchmark against which capital gains are calculated. But we certainly wouldn't expect a corporate and securities law professor at Duke to know this. And what someone like Munger no doubt realizes is that once it becomes public that Berkshire is looking at a stock, regardless of whether Sokol, Munger, Buffett or the janitor is signing the actual wire transfer, the price would surge, making the cost basis that much more attractive... regardless if the holding period was 1 milliseconds or 10 years.

The Securities and Exchange Commission is probing whether Sokol, 54, bought shares in Lubrizol on inside information that Berkshire was considering buying the company, according to a person who declined to be identified because the investigation is secret. The SEC is seeking records from Sokol's brokerage and examining trading data from the Financial Industry Regulatory Authority, the person said last week. Buffett said March 30 that he doesn't think Sokol's purchases were unlawful.

Munger's account of the BYD investments doesn't raise "any taint or question mark" for Berkshire, said John Coffee, a securities law professor at Columbia University.

"There's always going to be some possibility that a director will have some interest in a company that your firm is looking at for a transaction and you disclose that and you recuse yourself," Coffee said.

That's great. But how about we get the SEC's opinion on the matter. After all, it is not like US capital markets are suffering from an overabundance of investor faith these days.
It would truly be a public service to clear up any possible confusion vis-a-vis just how criminal, if at all, the Munger purchase may have been. And, alas, for that we would fall back to the opinion of one Mary Schapiro, as much as we enjoy John Coffee's non-porn surfing opinion. And lastly, the biggest issue here is what Buffett knew, and what he disclosed publicly: considering the general public had to learn of Munger's massive purchase, and potential conflict of interest, only by parsing the transcript of a former member of the tainted and conflicted Berkshire family, one wonders: just who is hiding what here?
h/t Lizzie363

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David Sokol: How Much Money Did He Make?

David Sokol: How Much Money Did He Make?
March 31, 2011, 12:11 PM ET
WSJ


By Shira Ovide and Ronald Barusch

Some executives resign to “spend more time with their families.” David Sokol, the Berkshire Hathaway executive who resigned under a cloud, is decamping to make more money for his family. Which leads to the inevitable question: How much money does Sokol have, anyway?

Sokol said he wants to put together his own “mini-Berkshire,” he told CNBC today. He also expressed a wish to invest his money to create an “enterprise which will provide opportunity for my descendents and funding for my philanthropic interests,” according to Sokol’s resignation letter quoted by Warren Buffett.

In his decade-long role as a Berkshire official, and as the unofficial fix-it man for troubled Buffett businesses such as NetJets, Sokol has no doubt collected a tidy sum to funnel into philanthropic interests.

The scale of his compensation and wealth are not known. Berkshire does not disclose Sokol’s total annual compensation, nor his options or stock holdings in Berkshire Hathaway.

However, Sokol also serves as chairman of MidAmerican Energy Holdings Co., an energy company in which Berkshire owns an 89.8% stake. A piece of MidAmerican trades shares on an over-the-counter exchange, and the company discloses compensation information for Sokol as part of its SEC disclosures.

Here is a look at what Sokol has pulled down just from MidAmerican.

In the past three years, MidAmerican has disclosed total compensation for Sokol of $24.2 million. The figure include his salary, bonuses, the changing value of his pension, company contributions to his 401(k) and other items, according to MidAmerican’s recent annual report.

Sokol also has pension benefits that MidAmerican valued at $7.8 million as of Dec. 31, according to the annual filing.

Sokol’s employment contract with MidAmerican entitles him to an estimated cash payment of $1.7 million if he loses his job involuntary “without cause.” It’s unclear if Sokol’s resignation will entitle him to the payout. (He doesn’t collect the severance if his departure is considered a retirement.) In any case, Sokol can walk away with with a pension value of $8.1 million, MidAmerican disclosed in the annual report. (Read Sokol’s employment contract HERE.)

Sokol also made a paper and real gain of roughly $3 million on his now controversial purchases of stock in Lubrizol, the specialty-chemicals company Berkshire later agreed to buy for $9 billion.

We don’t know how fat Sokol’s brokerage account is, but over three days in early January – before Sokol began to talk to Buffett about acquiring Lubrizol – Sokol bought roughly $10 million of Lubrizol shares. On CNBC today, Sokol said the purchases were part of his normal investments.

Sokol said in the interview that he doesn’t trade a lot, pegging the number of annual investment decisions at around three or four. After Berkshire agreed earlier this month to buy Lubrizol for $135 a share, Sokol’s paper gain on the shares is roughly $3 million.

Sokol also owns more than 1.4 million shares – or 20.24% — of a small bank, Middleburg Financial Corp. The company’s price is shooting up more than 9% today, giving Sokol a paper gain of roughly $1.9 million from yesterday.

 David Sokol: How Much Money Did He Make?

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-- The MasterFeeds

CBOE Futures Exchange: Trading Volume Tops One Million for First Time

Thank you QE2!!!

Trading Volume Tops One Million Contracts for the First Time at CBOE Futures Exchange

http://etfdailynews.com/blog/2011/04/03/trading-volume-tops-one-million-contracts-for-the-first-time-at-cboe-futures-exchange/

April 4, 2011

The CBOE Futures Exchange, LLC (CFE) today announced that March 2011 was the most active trading month in CFE history as volume surpassed the one-million-contracts milestone for the first time ever.  The 1,066,367 contracts that changed hands during March was a new all-time high and the third consecutive record month at CFE, following the previous highs of 789,734 contracts in February and 778,157 contracts in January.  When including November 2010's volume of 751,481 contracts, the four busiest months in CFE history have occurred during the last five months.  

March 2011 volume exceeded the 217,429 contracts traded in March 2010 by 390 percent.  March 2011 was the most active month of March on record at CFE and marked the eighteenth consecutive month in which total volume registered an increase when comparing year-over-year trading activity.

Average daily volume (ADV) of 46,363 contracts during March 2011, which was also a new record, topped the March 2010 ADV of 9,453 contracts by 390 percent.  When compared to 41,565 contracts per day during February 2011, which was the previous high, ADV in March rose 12 percent.  This was the second consecutive month in which CFE daily volume averaged over 40,000 contracts, a first for CFE.  

CBOE FUTURES EXCHANGE VOLUME SUMMARY Current Month						Year-To-Date
	March 2011	March 2010	% Chg	Feb. 2011	% Chg	March 2011	March 2010	% Chg
Trad -ing Days	23	23		19		62	61
Total  CFE	1,066,367	217,429	+390	789,734	+35	2,634,258	626,690	+320
Total  CFE ADV	46,363	9,453	+390	41,565	+12	42,488	10,274	+314

On Tuesday, March 15, Wednesday, March 16 and Friday, March 11, CFE experienced the three busiest single days in its history when 97,385, 97,254 and 77,619 contracts traded, respectively.  CFE also set back-to-back weekly volume records during the month: a total of 282,287 contracts traded March 7 through 11, which was then surpassed when a total of 334,692 contracts traded March 14 through 18.  Additionally, exchange open interest reached a new high of 210,495 contracts on Wednesday, March 16.    

Total trading volume for the first quarter of 2011 was 2,634,258 contracts, which now ranks as the busiest quarter in CFE history.  The trading volume during the first three months of 2011 surpassed the volume of 1,787,035 contracts during the previous quarter (4Q 2010) and the 626,690 contracts during the first three months of 2010 (1Q 2010) by 47 percent and 320 percent, respectively.  ADV during the quarter was 42,488 contracts, compared with 27,922 contracts in the fourth quarter of 2010 and the 10,274 contracts in the first quarter of 2010.  

March 2011 volume in VIX futures, based on the CBOE Volatility Index (ticker VX), totaled a new record of 1,065,374 contracts, exceeding the 216,800 contracts traded last March by 391 percent and the 788,908 contracts in February 2011, which was the previous high, by 35 percent.  March was the first month ever for VIX futures volume to surpass the one-million-contracts milestone.  

Average daily volume in VIX futures also reached a new high of 46,320 contracts during March.  This ADV surpassed the 9,426 contracts per day a year ago and topped the 41,521 contracts per day in February 2011 by 12 percent.  VIX futures experienced the top three most active single trading days in CFE history during the month:  97,337 contracts on Tuesday, March 15; 97,113 contracts on Wednesday, March 16; and 77,556 contracts on Friday, March 11.    

CFE currently offers futures on six different contracts, including: the CBOE Volatility Index (VIX), Weekly options on VIX futures (VOW), CBOE mini-VIX (VM), CBOE Gold ETF Volatility Index (GVZ), CBOE S&P 500 3-Month Variance (VT) and CBOE S&P 500 12-Month Variance (VA).  

On March 25, CFE launched security futures on the CBOE Gold ETF Volatility Index (GVZ), further expanding tradable CFE volatility products into a new asset class.  The calculation of the CBOE Gold ETF Volatility Index ("Gold VIX") is based on the well-known CBOE VIX methodology applied to options on the SPDR Gold Trust (NYSE:GLD).  The Gold VIX is an up-to-the-minute market estimate of the expected 30-day volatility of GLD, calculated using real-time bid/ask quotes of GLD options that are listed on CBOE.  For more information on CBOE Gold ETF Volatility Index futures and options, see http://www.cboe.com/GVZ.

CFE, a wholly owned subsidiary of CBOE Holdings, Inc. (NASDAQ:CBOE), offers an all-electronic, open-access market model, with traders providing liquidity and making markets.  CFE trades are cleared by the AAA-rated Options Clearing Corporation (OCC). CBOE Futures Exchange is regulated by the Commodity Futures Trading Commission (CFTC).  

More information on CFE and its products, including contract specifications, can be found at: http://cfe.cboe.com/.  

CBOE®, Chicago Board Options Exchange®, CFE®, CBOE Volatility Index® and VIX® are registered trademarks, and CBOE Futures Exchange(SM) , GVZ(SM) and Weeklys(SM) are servicemarks of Chicago Board Options Exchange, Incorporated (CBOE).  Standard & Poor's®, S&P® and S&P 500® are registered trademarks of Standard & Poor's Financial Services, LLC,. and have been licensed for use by CBOE.  

SOURCE CBOE Futures Exchange, LLC

Venezuela No Longer to Certify Oil Export and Production Numbers

21st century socialism at work.  From The Devil’s Excrement

Venezuela No Longer to Certify Oil Export and Production Numbers

March 30, 2011

Mas bien, Sin Rumbo

Just when Venezuela needs to send positive signals to world markets, as it intends to sell more and more debt internationally, the Venezuelan Government and PDVSA do exactly the opposite and decide to cancel the contract with the independent auditor Inspectorate that was hired two years ago to try to convince the world that Venezuela’s production and export numbers as reported by OPEC and the IEA are wrong. Both of these institutions have been reporting that Venezuela’s official oil numbers are significantly above those obtained by them from their independent analysis.

Neither PDVSA nor the Ministry of Energy and Oil gave much of an explanation for the cancellation of the contract. The auditing company is closing its offices in Venezuela.
What this will do is create further uncertainties in the country’s numbers which will not aid in reducing the so called credit risk of Venezuela at a time that the country needs to issue more and more debt. This means that issuance of the country’s debt will be more costly that the country’s numbers justify. Last week, Knight Securities suggested that the country’s handling of official news and statistics and the lack of a clear spokesman for the country on financial matters is making it more expensive for the country to issue debt. In a report entitled “The Monk’s exorcism boosts our faith in Venezuela” the company suggests it costs Venezuela 200 to 300 bps because of the way information is managed by Minister Giordani.
In the same report, PDVSA said that exports in February were 16% lower than those in January and this week international reserves at the Venezuelan Central Bank dropped to their lowest level since 2007, despite the Venezuelan oil basket averaging over US$ 100 per barrel last week.

Venezuela No Longer to Certify Oil Export and Production Numbers « The Devil’s Excrement

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Financial Times: Goldman made multiple trips to Fed window

Goldman made multiple trips to Fed window 

April 01 2011 1:38 AM GMT

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By Justin Baer in New York
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Goldman Sachs turned to the Fed's discount window on multiple occasions following its conversion to a bank holding company at the height of the financial crisis
Read the full article at: http://www.ft.com/cms/s/0/ea97d2f6-5bee-11e0-bb56-00144feab49a.html

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