Options
BofA clearing vet leaves to launch start-up
Brooks Stevens plans new venture after 27 years with Bank of America and Merrill Lynch
Demand for ESG structured notes spells hedging pain for banks
As products linked to niche equity indexes grow in popularity, banks grapple with vol risk they pose
People moves: Quarles quits Fed, CS credit team exodus continues, and more
Latest job changes across the industry
Lack of quants dims chance of structured product boom in China
Quants in high demand as banks explore new products, and local rules call for onshore specialists
Futures standards body seen as first step to utility
FIA project could usher in new hub to connect trading parties and guard against derivatives logjams, experts say
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
Podcast: Antonov on pricing not-so-vanilla rates products
New model makes it easier to coherently price correlated derivatives
Black basket analytics for mid-curves and spread options
A new solution to calibrate derivatives with multiple strikes is proposed
Many ESG products face liquidity struggle, say exchanges
Fragmentation, design and definition challenges mean many exchange-traded products will remain illiquid
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Renminbi splurge lifts BNPP, MSIM in Q1 options data
Counterparty Radar: Morgan Stanley IM is largest options user, following series of huge renminbi calls
FX option selling and weak demand behind vol slide, say traders
EUR/USD vol inches towards pre-Covid lows, but some believe inflation could upset trend
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
Sunil Cutinho on CME’s crisis performance
Maverick clearing house boss dismisses the need for anti-procyclicality tools imposed by regulators
Hedging valuation adjustment gets cold shoulder from banks
Dealers back the idea of charging for hedging costs but not as part of a new XVA
An approximate solution for options market-making
An algorithm for the market-making of options on different underlyings is proposed
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Is short vol taking the long count?
Short volatility players try to box clever after strategy’s Covid rout
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Invesco bets on new tech to refine its FX trading
Home-grown tool will improve order routing and execution strategies, asset manager believes
Drax commits to ESG-linked FX derivative targets with UK banks
Renewable energy supplier applies long-term ESG KPIs to short-term FX trades with Barclays and NatWest
What is the volatility of an Asian option?
An adjustment for the volatility smile in Asian options is proposed
Initial margin at the OCC topped $100bn in Q4
Exchange-traded derivatives hub cleared 7.5 billion contracts in 2020