Equity derivatives
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Emir data may have exposed Archegos, but not in real time
Entity-level reports were limited to supervisors, leaving counterparty banks in the dark
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.
Avoiding cash drag using equity index futures
Learn how Equity Index futures, from CME Group, can be used to keep a portfolio fully exposed to its benchmark index while allowing cash to remain for operational purposes.
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Russia GDRs face extinction on sanctions and market closures
Around 100 programmes hang in the balance after BNY Mellon resigns as depository bank for VTB
Moscow Exchange closure leaves equity swap contracts in limbo
Isda plans to issue guidance on the application of commonly used disruption event clauses
Structured products house of the year: Citi
Risk awards 2022: Future-proofing against jack-knife market moves gives US giant the edge with clients
Quant of the year: Hans Buehler
Risk Awards 2022: Architect of deep hedging aims to supplant orthodox models with method based purely on data
Equity derivatives house of the year: JP Morgan
Risk Awards 2022: US dealer filled flow gaps with a little help from some robots
BNP’s brief status as ‘non-bank’ reversed in indexing volte face
ICB’s temporary reclassification triggers repricing of dividend futures in main eurozone banks index
BlackRock is biggest US fund user of single-stock options
Counterparty Radar: Microsoft was top underlying in latest filings, with notionals also up for Amazon and Meta
US funds piled on index hedges ahead of stock selloff
Counterparty Radar: Filings show managers adding more than $5.5 billion of puts in Q3, setting new high
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
SEC’s Peirce sees legal risk for dealers in new swap rules
Anti-fraud provision in proposal could expose margin calls to “potential liability”
The future of equity derivatives: perspectives for UK equities and dividends
Managing equity and dividend risk today requires new trading strategies and products. In a webinar convened by Risk.net and hosted by Eurex, three experts discuss what’s next for the UK and European markets.
Bank-run fund derivatives platforms hit records
JP Morgan’s Nexus has seen balances double, while AUM on UBS’s Neo have tripled
Barclays taps Credit Suisse for head of EQD sales, Asia
Stephane Goursat joins as UK lender boosts coverage of financial institutions