Options
FCM client margin for F&O hit all-time high in May
But concentration among top 10 broker-dealers continues to shrink
JP Morgan AM leads US funds in equity index options buildout
Counterparty Radar: S&P 500 puts and calls grow 10% in Q1
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter
Client margin at Wedbush unit up 46% in April
Futures and options clearing unit saw largest monthly increase across all FCMs
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Liquidity risk down 34% at the OCC
Projected largest payment obligation set at $6.2 billion for Q1
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Client margin up 43% at Mizuho’s F&O in Q1
US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers
The risk-reversal premium
We show that including risk reversals in an equity portfolio creates a better portfolio compared with a pure index position.
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
Client margin at Credit Suisse hit a new low in February
Latest CFTC data shows significant reductions of required funds for swaps and F&O at the bank’s US clearing unit
Required margin by FCMs hit all-time high
JP Morgan reported the largest monthly increase across the 48 reporting firms
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
JP Morgan AM jumps into equity index options pole position
Counterparty Radar: Manager added $7.1 billion in S&P 500 puts and calls in Q4 2021
A new fast local volatility model
A local volatility model based on the Bass construction and alternative to Dupire-style models is introduced
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
OCC issued $6.1bn VM call in Q4
December options expiration behind highest VM call in six years
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Volatile HSCEI spells vega misery for autocall issuers
Index in ‘peak vega’ peril despite Wednesday's 12.5% rebound