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Market Extra: How Wall Street’s ‘fear gauge’ is being rigged, according to one whistleblower [MarketWatch]

CME GROUP (CME)  More Company Research Source: MarketWatch
Last cme group earnings: 4/26 07:00 am Check Earnings Report
US:NASDAQ Investor Relations: investor.cmegroup.com
PDF How Wall Street’s ‘fear gauge’ is being rigged, according to one whistleblower One of the most popular measures of volatility is being manipulated, charges one individual who submitted a letter anonymously to the Securities and Exchange Commission and the Commodity Futures Trading Commission. The letter makes the claim to regulators that fake quotes for the S&P 500 index SPX, +0.38% are skewing levels of the Cboe Volatility Index VIX, -1.44% which reflects bearish and bullish options bets 30-days in the future on the S&P 500 to gauge implied stock-market volatility (see excerpt from the letter below). The whistleblower’s claims are consistent with those documented by John Griffin, professor of finance at the University of Texas and Ph.D. candidate Amin Shams in May 2017 in research that says the cost of manipulating less-liquid SPX options would be more than paid for by a successful bet on the direction of the VIX. The paper is consistent with the whistleblower’s conclusion—that [Read more]

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