Government Economy Data Derivatives Auctions Complete

October 4, 2002 ( - The first auction of options on the government's release of US Nonfarm Payroll date for September 2002 saw investors place 120 limit orders for more than $60 million notional.

Some $19 million notional in options was also generated, according to an announcement from Goldman Sachs and Deutsche Bank, which sponsored the October 1 and October 3 auctions.

Officials at the two investment houses said the October 3rd auction was three times larger than the first auction, in both notional amount and number of orders placed by a mix of Deutsche Bank and Goldman Sachs traders and clients.

The US Department of Labor’s Bureau of Labor Statistics announced that September Nonfarm Payrolls fell by 43,000 jobs.

The implied market forecast among auction participants was a drop of 38,000 jobs in the October 1st auction and a drop of 18,000 jobs in the October 3rd auction, in contrast to economists in the Bloomberg survey, who anticipated a gain of 7,000 jobs.

Using a patented application of risk mutualization developed by Longitude, Inc., Deutsche Bank and Goldman Sachs provided a range of vanilla and digital options on the Nonfarm Payrolls release through a Universal Dutch Auction format.

Additional Auctions Scheduled

The two firms said they plan to hold similar auctions on additional economic indicators in the coming months.

On October 31, they will hold the first-ever auction on October ISM manufacturing data, which will be released on November 1. On October 29 and 31, auctions will be held for the October Nonfarm Payrolls release, which will take place on November 1.

These auctions will be followed by other economic indicators including Retail Sales, according to the Goldman Sachs/Deutsche announcement.