Implied volatility
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Fundamentals fuelling smart beta in China
As Chinese equity markets mature and become increasingly driven by fundamentals, the time is right for international investors to invest in smart beta strategies, say Vincent Yam, head of trading, and Weiwei Wang, senior derivatives trader at Guotai…
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote
You don’t need to sacrifice accuracy for flexibility
BAML quant proposes option pricing model that softens conflict between the two properties
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Korea autocall dealers brace for losses but no 2015 repeat
Traders dampen fears of hedging wipeout despite 20% drop in HSCEI underlying index
Trade war threatens Korea autocall losses
Dealers warn of $240 million in hedging losses if HSCEI index slides further
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Reflections on recent volatility
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Now casting: options traders needed for disaster movie
Gamma deserves share of spotlight in volatility drama
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
The impact of unconventional monetary policy shocks on the crude oil futures market
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Bloomberg testing use of image recognition in volatility trading
Computers could be used to spot kinks in volatility surfaces
A quick tool to forecast value-at-risk using implied and realized volatilities
The authors propose a naive model to forecast ex ante value-at-risk (VaR), using a shrinkage estimator between realized volatility estimated on past return time series as well as implied volatility quoted in the market.
‘Hot-start’ initialisation of the Heston model
Serguei Mechkov initialises Heston model’s parameters using probability distributions