Equity options
Autocalls in peril as Netflix breaches downside barriers
Options liquidity keeps hedging panic at bay as some investors double down on volatile tech stocks
JP Morgan testing deep hedging of exotics
Neural network trained to hedge complex options using simulated data expected to go live this year
Many ESG products face liquidity struggle, say exchanges
Fragmentation, design and definition challenges mean many exchange-traded products will remain illiquid
Vix vulnerable to retail short squeeze, analysts warn
Volatility products could see more wild swings as dearth of vol sellers exacerbates spikes
OTC trading platform of the year: Fenics GO
Risk Awards 2021: Hybrid protocol jumpstarts electronification of options block trading
Options pricing framework buckles under GameStop frenzy
Wild retail trading sees calls sink below intrinsic value ahead of expiry as puts break spot correlation
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
Asia’s private wealth giants shift gears to market-neutral
With interest rates low, structured product investors bypass capital-protected products for market-neutral strategies
Credit Suisse bets on intraday vol signals to revive FIA sales
New line of fixed indexed annuities will use intraday data for more precise vol targeting
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
EU to grant last-minute margin reprieve for equity options
European Commission to publish changes to Emir technical standards within days
Asia exotics desks eye forward vol as corridor variance wilts
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
Derivatives exchange of the year: SGX
Asia Risk Awards 2019
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
EU banks seek last-minute margin reprieve for equity options
European dealers want exemption rolled over, to avoid handing US firms a regulatory advantage
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says