FNM Also Suspends Foreclosures Thru January
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FRE Suspends All Foreclosures, Evictions of Occupied Homes Thru January 9, 2009
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S&P/TSX Down 765 Points, a 9% Decline to 7724 at Close
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10yr Yield Drops to 3.05% (Lowest Ever)
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Dell Beats in Q3 - 37 Cents/Share vs. 31 Estimated
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BoNY Cutting 4% (1,800 Jobs)
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Citi: Strong Capital Position, Liquidity --CNBC
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TSY - no other funds in TSY's temporary money mkt guarantee program rec'd a similar liquidation notice from the SEC
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TSY's Exchange Stabilization Fund will buy any remaining securities in The Reserve Fund at amortized cost
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TSY is helping The Reserve Fund to ensure "order and timely" liquidation
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Office of Thrift Supervision says 225 banks seeking funds are pending Agency Review
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OTS says 1/3 of Thrift Banks have sought bailout funds
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TSY - The Reserve Fund's securities are s/t Gov't paper and FNM, FRE securities
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TSY will serve as 'buyer of last resort' for The Reserve Fund's securities
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30yr Yield Drops to 3.61% (Lowest Ever) on Biggest Day Drop Since Sep-01
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TSY had taken The Reserve Fund into the Temporary Guarantee for Money Market Funds program
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TSY says they agree to help liquidate fund due to "extraordinary and unique" circumstances
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TSY agrees to help liquidate The Reserve Fund's U.S. Gov't Fund
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Long Bond Up 5 Handles in Panic-Buying
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S&P Down 5.1% to 765, Lowest Since Apr-97
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As the SEC

Pennies from Heaven?

Bruce Goldberg, Chief Marketing Officer, ISE:

“Among our membership, there’s anticipation that the advent of pennies is only likely to fuel algorithmic and automated trading.”

Deep in the bowels of the US Securities and Exchange Commission’s New York headquarters, enormous quantities of options market data are being analysed. This thankless task will decide whether and how the US options market is to follow equities into the decimal era. Following the SEC’s six-month penny pilot scheme, the regulators must now map out a plan for the options market’s future growth. Their decision could have a big impact on the attractiveness of US options to algorithmic and automated traders.

The US options market has experienced astonishing growth already this decade and the penny pilot scheme is expected to prompt further expansion. At year end 2006, open interest stood at 218.8m contracts, a 29 per cent increase on December 2005. Research firm Aite Group predicts option volumes will climb by nearly 40 per cent in 2007 over last year. Growth has been fuelled partly by the flood of capital into hedge funds that rely heavily on options-based strategies but also by the growth of electronic trading. Ravi Jain who, as head of Avir Capital, runs a volatility and correlation-based options trading strategy, says the launch of the International Securities Exchange, the first fully electronic options trading platform, “revolutionised” the market.

“Firms could suddenly make markets in 300-400 names with just 3-4 traders through use of volatility management systems that could create volatility surfaces in real time for hundreds of names; a human trader can only actively look at 20-30 names at most,” says Jain. While the sell side overwhelmingly uses algorithms to generate options prices, Bruce Goldberg, Chief Marketing Officer, ISE, expects the penny pilot scheme to further increase algorithmic and automated trading on the buy side. “Among our membership, there’s anticipation that the advent of pennies is only likely to fuel algorithmic and automated trading. DMA providers are already creating the mechanisms to automatically send business to the exchanges,” says Goldberg. ...

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