Options
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
Lifetime achievement award: Don Wilson
Risk Awards 2025: DRW founder has created a firm in his own image – one that defies definition
Quant of the year: Julien Guyon
Risk Awards 2025: Volatility modeller par excellence (and football fan) achieved breakthrough with joint calibration of S&P and Vix options
Rising star in quant finance: Milena Vuletić
Risk Awards 2025: Machine learning-based volatility model confounds sceptics
Exchange of the year: Eurex
Risk Awards 2025: Eurex jolts credit futures market into life
Credit derivatives house of the year: JP Morgan
Risk Awards 2025: Continued investment in credit has created a virtuous circle of growth, as cash products support derivatives, and vice versa
Equity derivatives house of the year: Bank of America
Risk Awards 2025: Bank gains plaudits – and profits – with enhanced product range, including new variants of short-vol structures and equity dispersion
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Interest rate derivatives house of the year: JP Morgan
Risk Awards 2025: Steepener hedges and Spire novations helped clients navigate shifting rates regime
FX options: rising activity puts post-trade in focus
A surge in electronic FX options trading is among the factors fuelling demand for efficiencies across the entire trade lifecycle, says OSTTRA’s commercial lead, FX and securities
Marex leapfrogs three FCMs with record F&O margin
New clients, trading activity surge and higher margin rates drive increase at UK broker
Option pricing under the normal stochastic alpha–beta–rho model with Gaussian quadratures
The authors integrate a Gaussian quadrature for option pricing under the normal alpha–beta–rho model, which they demonstrate to calculate accurate, arbitrage-free price and delta.
JPM sees upside in blurring lines between QIS and SMAs
Hedge funds are combining their strategies with bank indexes to create new products
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Chicago pits power IMC’s institutional options push
Talking Heads: IMCX lures 100 asset managers, while Dash partnership bolsters retail execution
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
Goldman Sachs retakes top FXO dealer spot with mutual funds
Counterparty Radar: Trades with SEI Investments boosts US bank to top spot
Morgan Stanley, Goldman FCMs set new margin records
Investment banks see futures, options and swaps margin hit new highs in September
Simm casts off Covid pain for $40 billion IM reprieve
Recalibration cuts risk weights in equity and commodities, but some credit exposures double on ABX halt