S&P 500
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Talking Heads 2024: All eyes on US equities
How the tech-driven S&P 500 surge has impacted thinking at five market participants
Beware the macro elephant that could stomp on stocks
Macro risks have the potential to shake equities more than investors might be anticipating
Are investors betting on Kamala or Donald? Neither
Hedge funds and others shun election-based trades and rely on existing hedges to guard against surprise market moves
August’s volatility thunderbolt rattles risk managers
Investment firms mull changes to value-at-risk models after never-before-seen spike in volatility index
UBS embraces ‘narrative alpha’ for new form of sentiment strategy
NLP engine traces how stories spread, instead of counting words
AB’s faith in ‘magnificent others’ starts to pay off
Talking heads: Hybrid quant and fundamental approach proves its mettle as mega-cap magic begins to tarnish
Inside Nomura’s European equities rebuild
Talking Heads: Global chief Simon Yates also addresses US crowding and Japan’s prospects post-carry trade
Supply chain decoupling fires up alpha focus at BofA
Talking Heads: Stock dispersion sees funds gross up on long/short baskets, while US structured notes come of age
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
Nvidia is growing up. It’s not settling down
Chip maker is a mega cap that doesn’t act like one
Pre-market trades blamed for record Vix surge
Traders rushed to cover short vol positions before the market opened on August 5
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Covid halted variance trading. Can Cboe revive the market?
With liquidity in variance swaps drying up, traders may finally be ready to give futures a shot
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
Luxury watches: a viable alternative investment or mere speculative trend? An analysis of two decades before the pandemic
The authors analyse the investment performance of collectible watches for the period 1999 - 2020, finding they outperformed the S&P 500 index and other luxury collectible goods.
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Options market still searching for cause of the Vix plunge
BIS paper blames yield-enhancing structured products, but market participants are unconvinced
Trend following struggles to return to vogue
Macro outlook for trend appears to be favourable, but 2023’s performance flop gives would-be investors pause for thought
Can ChatGPT unlock better investment portfolio selection?
This white paper explores the potential uses of generative AI models, such as ChatGPT, for investment portfolio selection.
Neural joint S&P 500/VIX smile calibration
A one-factor stochastic local volatility model can solve the joint calibration problem