​Daily Bulletin: Tuesday March 10

The Guggenheim CurrencyShares Euroexchange-traded fund (FXE) was the standout underlying in the listed equity options market on Tuesday, with mammoth put flow seen in Jan-16 tenors. The trades position for the euro to move below parity with the U.S. dollar with an expectation that the ETF will drop to USD94 for a max payout, according to Trade Alert. During Tuesday afternoon trading in New York, FXE sat at 105.24 from a high of 107.09 on March 6. In today’s coverage, we look at how open interest in Chicago Board Options Exchange Volatility Index futures and options has halved within the last six months, with similar levels not seen since 2012. But market participants are divided on what is actually causing the lull. In Europe, we report on how the recent drop in implied correlation, driven by structured books at banks becoming long correlation as the market spikes higher and autocallable products get called, is offering investors the opportunity to enter into worst of Nikkei / Eurostoxx 50 call spreads to position for a spike in correlation. Elsewhere, DRW Trading Group is building a Singapore trading effort. The firm – a principal trading organization founded and headed by Don Wilson in Chicago – recently opened a desk in the city-state. “This office’s trading activity will be of a similarly diverse nature to that in other DRW offices,” the firm said in a statement to EQDerivatives.