Market-making
Fed’s Bowman to ‘prioritise’ SLR exemption for US Treasuries
Reinstating Covid-era relief is a ‘no brainer’, dealers say, as bond markets reel from tariff chaos
Futures gain ground in G10 FX pricing
Some market-makers believe contracts are now primary market price for Commonwealth currencies
A market-making model for an options portfolio
Vladimir Lucic and Alex Tse fill a glaring gap in European-style derivatives modelling
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Nasdaq leads push to reform options regulatory fee
Proposed rule change would pare costs for traders, raise them for banks and defund smaller venues
XTX Markets hires Brook for Emea market-making
Sam Brook previously worked on buildout of NatWest’s e-FX liquidity desk
Crossed signals: row over collusion pits scholars against traders
An Oxford study claims to show evidence of collusion in ETF markets. Some traders give it short shrift
TD’s prop-style trading shop rises up bond rankings
Ascent of bank’s bond trading business comes amid electronification changes in US fixed income market structure
Iosco pre-hedging review: more RFQs than answers
Latest proposals leave observers weighing new clampdown on pre-hedging
FCMs call for more oversight of self-clearing CCP members
Clearing firms worry that PTFs and market-makers joining CCPs en masse will increase systemic risk
Quants mine gold for new market-making model
Novel approach to modelling cointegrated assets could be applied to FX and potentially even corporate bond pricing
Market-making in spot precious metals
A market-making framework is extended to account for metal markets’ liquidity constraints
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
CME’s FX Link sees bumper volumes as dealer use cases grow
Offsetting rates impact and FX swaps price discovery cited as new reasons to use venue
Chicago pits power IMC’s institutional options push
Talking Heads: IMCX lures 100 asset managers, while Dash partnership bolsters retail execution
A comparison of FX fixing methodologies
FX fixing outcomes are mostly driven by length of calculation window
The curious case of the revealing orders
Oxford academics have found evidence pointing to collusion on a European exchange, but market-makers aren’t wholly convinced
Dutch regulator in new push on algo manipulation
AFM teams up with Oxford Uni academics to develop data models that will identify “harmful” activity in automated trading
BofA quants propose new model for when to hold, when to sell
Closed-form formula helps market-makers optimise exit strategies
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration