Gamma
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Modeling the bid and ask prices of options
The authors investigate and partially solve theoretical and empirical problems for the joint modelling of bid and ask prices.
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1