Options
Nervous UK pension schemes want liquidity fixes – it’ll cost them
Asset managers are crafting new ways for schemes to raise cash in a crisis
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Wells Fargo’s F&O client margin reached new high in January
Required funds up $380m, pushing FCM’s month-end figure past pandemic peak
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market
‘Fear gauge’ within expectations, some say
Several options specialists dismiss claims that structured products are distorting the Vix
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds
Kane to leave Citadel Securities for senior Miax role
Options exchange has been on a four-year acquisition spree
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
FX options traders rethink vol drivers amid macro uncertainty
Market-makers believe more and more events will influence options pricing as political risk bubbles up during 2024
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Corporates eye FX options as hedging costs shrink
With hedge ratios tipped to rise, dealers say treasurers are increasingly open to optionality
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
US mutual funds’ passion for LatAm FX options undimmed in Q3
Counterparty Radar: Carry trade opportunities see managers’ positions increase tenfold in 2023
CME member contributions up 11%
Default fund for F&O clearing unit hits record size driving CCP’s skin-in-the game share to all-time low
Hedge funds rev up short-vol trade in zero-day options
Firms are capping exposures to avoid a rerun of 2018’s ‘Volmageddon’ unwind
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Huatai launches its first Hong Kong CBBC
Two more securities houses set to follow Chinese firm into Hong Kong’s listed structured products market
Cboe’s new options add diversity and liquidity to the credit market
Cboe has recently launched two options on futures products to help investors manage exposure and mitigate risk in corporate bond portfolios: options on iBoxx high-yield corporate bond index futures (IBYO), and options on iBoxx investment-grade corporate…
Opra outages cause consternation in options markets
UBS warned clients they were looking at “bad data” on options screens