Options
Lincoln, Global Atlantic push JPM to index options top spot
Counterparty Radar: Among life insurers, options notional grew 7% in Q1
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
CME and Digital Vega to offer joint solution for block FX options
Tie-up aims to enable buy-side firms to tap benefits of central clearing via OTC-style workflows
MSIM revived RMB options activity in Q1
Counterparty Radar: Investment firm added $2 billion in dollar/renminbi options, mainly with JP Morgan and StanChart
Zero-day options: ticking time bombs or high alpha trades?
Zero-day-to-expiration (0DTE) options have surged in popularity over the past several years, with 0DTE options now exceeding 40% of daily trading volumes in S&P 500-linked options by recent estimates. A panel of market experts provide their perspectives…
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
FX options hint at potential for euro shock
Months-long rally powered by ongoing hikes, but euro-bears fear economy will crack
Zero-day options and the shadow of the apocalypse
For some, 0DTEs could spell doom in adverse market conditions; others dismiss such talk as dramatics
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Mystery upstarts crash Robinhood’s retail options party
SEC filings hint at wider shake-up in wholesale options market-making
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented