Options
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
How carbon-cutting Drax manages currencies and credit
Interview: UK power giant uses option selling – and other tactics – to create hedging headroom
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
Swaps data: cleared volumes drop for all markets – except FX
Smaller CCPs make market share gains in a quarter of double-digit declines for rates and credit
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
Dealers turn to mid-cap and EM deal-contingent trades
Premiums of more than 25% are attractive to banks battling low vol and increasing competition
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
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…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
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
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Seamless integration – Drivers of and barriers to cloud adoption
Siarhei Niaborski, executive vice-president of risk at CompatibL, discusses the rate of cloud adoption in the capital markets industry and its possible drivers and barriers, how firms can derive maximum value from cloud usage and the criteria on which…
