Vega
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Volatility risk structure for options depending on extrema
In this paper, the authors give a decomposition formula to calculate the vega index (sensitivity with respect to changes in volatility) for options with prices that depend on the extrema (maximum or minimum) and terminal value of the underlying stock…
Traders blame short gamma positions for Nikkei vol jump
Uridashis, macro positioning and ETFs behind record 23% rise in volatility on November 9
PKA’s CIO on risk transfer and factor investing
Risk30: Low volatility aids and hinders Danish fund
Banks tweak Euro Stoxx autocalls to cut concentration risks
Changes to popular structured products aim to help dealers reduce hedging costs, but will investors make the switch?
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10
Autocall hedging set to push Euro Stoxx volatility higher
Rising index likely to trigger increased volatility, say dealers
Bank risk manager of the year: SG CIB
Risk Awards 2017: Bespoke stress tests helped navigate Brexit and autocallable pressure
Equity derivatives house of the year: Bank of America Merrill Lynch
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
Eurex margin flaws claimed in Swedish bank collapse case
CCP failed to properly capture vega, strike and wing risk, expert report claims
Autocallable issuers avoid pain despite HSCEI collapse
Dealers say Korean autocall pain subdued as volatility stays low
Korean crunch: how HSCEI fall hammered exotics desks
Dealers lose over $300 million in scramble to hedge autocallables
'Rollercoaster day' in Hong Kong stresses dealers' exotic books
Autocallable knock-in levels under pressure but losses averted
Hedge funds pile into Japan dispersion trade
Rise in single stock uridashi issuance drives trade
Korea retail flows push China volatility to a record low
Volatility is trading at low levels on HSCEI despite China fears
Plunging Nikkei brings $40m vega losses to Japan dealers
Losses manageable now but if the Nikkei goes under 13,000, "there will be panic"
Dealers reassess Korea ELS market as equity risk builds up
Equity-linked underlyings moving to Euro Stoxx 50
Insurers look to volatility controls to support long-term guarantees
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the guarantees. Louie Woodall examines how these…
Japanese banks recycle risk into Europe
Viva las vega
Viva Las Vega: Japan banks take advantage of volatility play
Viva Las Vega!
Uridashi losses put at $500 million after Nikkei rebounds
When the Nikkei slumped last May, banks were forced to sell volatility to protect positions built up through the sale of uridashi products – leaving many with losses. A rally in the index at the end of the year inflicted further pain. In total, the…
Japan dividend futures in virtuous circle
Virtuous circle
Velocityshares implosion puts leveraged ETNs in the frame
Terminal Velocity
Korea ELW crackdown leaves traders unhedged
Dealers are left unable to hedge ELS positions as liquidity dries up in Korea’s warrant market