Washington, DC - The U.S. Commodity Futures Trading Commission (CFTC) today announced that it obtained a federal court order requiring former Chicago Board of Trade (CBOT) floor trader and registered floor broker David Sklena of Skokie, Ill., to pay a disgorgement and civil monetary penalty of $6,608,750 for aiding and abetting another trader’s scheme to cheat customers who placed orders in Five-Year Treasury Note futures contracts.
Monday, February 27, 2012
Floor Trader Fined $6.6 million
Washington, DC - The U.S. Commodity Futures Trading Commission (CFTC) today announced that it obtained a federal court order requiring former Chicago Board of Trade (CBOT) floor trader and registered floor broker David Sklena of Skokie, Ill., to pay a disgorgement and civil monetary penalty of $6,608,750 for aiding and abetting another trader’s scheme to cheat customers who placed orders in Five-Year Treasury Note futures contracts.
For Greece Euro Exit May Be The Only Option
Nobel-prize winning economist Paul Krugman said Greece is “close” to having no option but to quit the euro as austerity measures imposed on the nation hamper its economic recovery. “If I were running a peripheral country I would say that you cannot leave” the 17-nation currency region, Krugman, a professor at Princeton University, said
Greece Credit Rating Cut to Selective Default
Greece Cut to Selective Default by S&P - Bloomberg
Feb. 27 (Bloomberg) -- Greece’s credit ratings were cut to “Selective Default” by Standard & Poor’s after it negotiated the biggest sovereign debt restructuring in history. S&P dropped Greece’s rating from CC, two levels above default, after the government added clauses to its debt designed to mop up investors unwilling to take part in the exchange, the New York-based company said in a statement today.
Euro Advances on increase in risk appetite
The euro gained against most major peers before the European Central Bank allots a second round of unlimited three-year funds tomorrow to help the region’s banks. The 17-nation currency erased an earlier loss against the yen amid speculation the ECB’s long-term refinancing operation will calm concern that about Europe will struggle to resolve its debt crisis, boosting demand for higher-yielding assets. Australia’s dollar rose versus the U.S. currency as equities advanced. The yen held yesterday’s gain versus the dollar as traders bet the Japanese currency’s drop to a nine-month low yesterday was too rapid.
Commodity Investments To Increase to $40B
Feb. 27 (Bloomberg) -- Commodity investments may rise by $30 billion to $40 billion this year as investors favor oil, gold and copper, Barclays Capital said. The projected gain compares with an increase of $15 billion to $30 billion forecast in a Barclays survey of more than 100 institutional investors in Europe and the U.S. Assets in commodities climbed $15 billion last year, the least since 2002, to $399 billion, Barclays said.
Robert Charles & Co.L.P. 2.5X Volatility Arbitrage Trading Program Daily Returns for Jan. 1, 2012 thru Feb. 24, 2012
Discretionary Strategy
$1.6M+ under mgmt. - QEP Only
Market Neutral Volatility Arbitrage
App. Pos. Holding Time: 1-6 Wks.
App. Margin to Equity Ratio: 30%
Accepts Notional Funding: Yes
Annual Fee: 2%
Incentive Fee: 20%
Annual Perf. Objective: 30%
Minimum Investment: $50,000 *
Ann. Drawdown Ratio Goal: >5
Ann. Drawdown Objective: <6%
The Robert Charles & Co., L.P. 2.5X Volatility Arbitrage Trading (VAT) Program
Our VAT trading models are market neutral volatility arbitrage futures options and futures programs (we use the same models to trade our proprietary accounts only with significantly higher target returns and annual MAR and margin to equity ratios). In essence, this means we are using a host of quantitative and statistical models in a proprietary fashion to buy options when the statistical volatility is overpriced based on historical spreads between Implied volatility and statistical volatility (and thus the long options would be underpriced based on their implied volatility) and sell options when the implied volatility is overpriced, again on the basis of the historical spread between the two (i.e., selling overpriced options). We used diagonal, vertical, calendar, butterfly, condor, christmas tree, and other option spread combinations and occasionally utilize futures to remain delta neutral. Our target returns are from 15 percent for a $100,000 account minimum to 30 percent for a $50,000 account minimum, both after fees and costs. We target an annual equity to draw down ratio of over 5 to 1 with a target margin to equity ratio of less than 30 percent. Our risk reward models are designed to produce the highest acceptable annualized return on margin with the lowest acceptable risk.
* Actual results for 2.5X the standard 1 contract per $50,000 VAT program
There is a substantial risk of loss in trading futures and options. Past performance is not indicative of future results. The information and data contained on this website was obtained from sources considered reliable. Their accuracy or completeness is not guaranteed. Information provided on this website is not to be deemed as an offer or solicitation with respect to the sale or purchase of any securities or commodities. Any decision to purchase or sell as a result of the opinions expressed on will be the full responsibility of the person authorizing such transaction.
For more information go to www.therobertcharlesgroup.com
Yen to Fall 10%
The yen may depreciate as much as 10 percent against the dollar if it closes weaker than its 21-month moving average after ending last week above a dollar-yen cloud level, according to Barclays Plc. The Japanese currency, which strengthened 21 percent against the dollar in 2010 and 2011, may be reversing that trend as it has depreciated 5.3 percent this month. The yen last week weakened to 81.20 per dollar, above dollar-yen’s weekly ichimoku cloud top at 79.97 yen, and a close at the end of the month weaker than its 21-month moving average at 80.90 may propel the currency to decline to 88 per dollar, Jay Govender, a technical strategist at Barclays in New York, wrote in a note to clients.
ICE raw sugar futures hits a four month high
SOFTS-Raw sugar at 4-mth high, eyes on nearby premium
NEW YORK/LONDON, Feb 24 (Reuters) - ICE raw sugar futures extended their gains and hit a four-month high on Friday, with March's steep premium over the May contract easing slightly, while cocoa consolidated in mixed dealings and coffee rose
Oil falls for the first time in eight days
Crude Oil Retreats Following G-20 Rebuff: Commodities at Close
Oil fell for the first time in eight days after the Group of 20 nations rebuffed calls from euro countries to increase international lending resources, adding to concern that Europe’s debt crisis will slow the economy. Oil for April delivery fell 92 cents, or 0.8 percent, to $108.85 a barrel on the New York Mercantile.
Cap has been put on Aussie/US rally
$A falls as euro currencies soar
THE Australian dollar has fallen more than a quarter of a US cent as demand rises for European currencies. At 1700 AEDT the Australian dollar was trading at 106.89, down from 107.17 on Friday. Easy Forex currency trader Tony Darvall said demand for the euro and the British pound was putting downward pressure on the local currency.
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