Equity derivatives
T+1 shift sparks dividend chaos in HK structured products
Products staying on T+2 leave providers scrambling to deal with ex-dividend dates caught inbetween
Hwang trial exposes flaws in verbal information handling
Court shown discrepancies in audio and email records; Credit Suisse insider says “fair amount” of intel slipped through cracks
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Regulatory crackdown puts Korea autocalls in deep freeze
Mis-selling fears see distributors pull back, leading to 40% issuance fall in a month
‘Fear gauge’ within expectations, some say
Several options specialists dismiss claims that structured products are distorting the Vix
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
A dynamic margin model takes shape
New paper shows how creditworthiness and concentrations can be reflected into margin requirements
China snowball knock-ins fuel futures sell-off
Market participants say issuer re-hedging has helped drive Chinese equity indexes lower
How HSBC got better at pricing share buy-backs
Monte Carlo approach generates faster, more reliable pricing for complex deals
Swiss autocalls ‘10% away from disaster’ as Roche shares slide
Popular ‘worst-of’ products flirt with downside barriers, but issuers see no cause for hedge alarm
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
JPM’s new-look credit unit primed for market uncertainty
Talking Heads 2023: Leaders of merged business explain plans for new equity-credit combo, and why bank’s “biggest opportunity” lies in direct lending
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
The quintic Ornstein-Uhlenbeck model for joint SPX and VIX calibration
A new model that jointly fits the smiles of VIX and SPX is presented
Asia moves: Senior hires at Nomura, HKEX and more
Latest job news from across the industry
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
How MerQube sold Wall Street on open indexing relationships
Four-year-old Silicon Valley firm sees growing role for third parties as indexes become more complex