Vix
The quadratic rough Heston model and the joint S&P 500/Vix smile calibration problem
A combination of rough volatility and price-feedback effect allows for SPX-Vix joint calibration
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
How AI could tear up risk modelling canon
BlackRock, MSCI, LFIS among firms looking to replace traditional, linear risk models
Podcast: Ronn on using a financial-economics approach to forecast crude oil spot prices
Professor of finance talks about using equity, index and crude oil options to forecast spot prices
Traders soured on Vix futures in 2018
Open interest in Vix futures ended year 44% down from January peak
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Ryan Labs harvests ‘flight-to-quality premium’
Defensive risk premia strategy buys ultra-long-dated Treasury futures when markets panic
Fears persist about forced unwind from ‘implicit’ short vol funds
February sell-off could presage a bigger slide if correlations change, buy-siders say
Watch out for commodity vol products
Commodity traders shouldn't ignore the recent meltdown in CBOE’s Vix derivatives, writes energy consultant
Reflections on recent volatility
This paper deals with the unprecedented equity volatility in the second week of February 2018. The paper recaps the week, places the market movement in a historical context, discusses how some traders and funds were affected and offers a few guesses as…
Short-vol products pose new risk to investors, experts warn
Vix manipulation reports may be leading investors to pile back into risky short-volatility products
Statistics of VIX futures and their applications to trading volatility exchange-traded products
In this paper, the authors study the dynamics of Chicago Board Options Exchange volatility index (VIX) futures and exchange-traded notes (ETNs)/exchange-traded funds (ETFs).
Don’t count on vol regime change – BlackRock quant
“This time next year volatility will most likely be low,” says Fishwick
Vix curve gave warning of February volatility spike
Research by NYU’s Marco Avellaneda offers insight into short-vol strategy
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
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
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10