Equity Derivatives - Risk.net
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en-gbVolatility traders wrestle with digital risk of BrexitSkew on major indexes leaps after market wakes up to risks of UK's referendum http://www.risk.net/derivatives/equity-derivatives/2462497/volatility-traders-wrestle-digital-risk-brexit
http://www.risk.net/derivatives/equity-derivatives/2462497/volatility-traders-wrestle-digital-risk-brexitWed, 22 Jun 2016 23:41:00 +0000New US tax rules could hamper ETN market, dealers warnIRS’s forthcoming Section 871(m) rules could inadvertently capture legacy ETNs http://www.risk.net/derivatives/equity-derivatives/2459114/new-us-tax-rules-could-hamper-etn-market-dealers-warn
http://www.risk.net/derivatives/equity-derivatives/2459114/new-us-tax-rules-could-hamper-etn-market-dealers-warnMon, 23 May 2016 16:02:00 +0000Dealers fear death of dividend risk premia strategyShrinking returns on so-called pull-to-realised premium in dividend futures strategies blamed on overcrowding and increased earnings risk http://www.risk.net/derivatives/equity-derivatives/2440791/dealers-fear-death-dividend-risk-premia-strategy
http://www.risk.net/derivatives/equity-derivatives/2440791/dealers-fear-death-dividend-risk-premia-strategyThu, 07 Jan 2016 07:00:00 +0000Custody Risk European Awards 2015: Private Equity/Real Estate Fund Administrator of the YearA streamlined service and enhanced efficiency are central to RBC Investor & Treasury Services‘ drive to win new business and consolidate its long-standing client base. The bank is reaping the rewards with a surge in its European assets under management http://www.risk.net/derivatives/equity-derivatives/2438988/custody-risk-european-awards-2015-private-equityreal-estate
http://www.risk.net/derivatives/equity-derivatives/2438988/custody-risk-european-awards-2015-private-equityreal-estateFri, 11 Dec 2015 13:00:00 +0000Insurers testing exotics for Solvency II optimisationInsurers have been using derivatives to optimise their equity holdings and reduce capital requirements under Solvency II, but dealers are still battling with uncertainties in the regulation http://www.risk.net/derivatives/equity-derivatives/2432699/insurers-testing-exotics-solvency-ii-optimisation
http://www.risk.net/derivatives/equity-derivatives/2432699/insurers-testing-exotics-solvency-ii-optimisationTue, 03 Nov 2015 13:47:00 +0000Korean crunch: how HSCEI fall hammered exotics desks The 40% fall in the HSCEI index in September left dealers scrambling to hedge their Korean autocallable and variance swap positions, leading to losses of more than $300 million http://www.risk.net/derivatives/structured-products/2432601/korean-crunch-how-hscei-fall-hammered-exotics-desks
http://www.risk.net/derivatives/structured-products/2432601/korean-crunch-how-hscei-fall-hammered-exotics-desksMon, 02 Nov 2015 00:05:00 +0000China’s futures clampdown hits Hong Kong warrantsMargin hikes and position limits on Shanghai-listed equity index futures are behind an 83% fall in volumes of Hong Kong-listed derivatives linked to A-shares, say traders http://www.risk.net/derivatives/equity-derivatives/2431145/chinas-futures-clampdown-hits-hong-kong-warrants
http://www.risk.net/derivatives/equity-derivatives/2431145/chinas-futures-clampdown-hits-hong-kong-warrantsTue, 20 Oct 2015 23:05:00 +0000UK election fog prompts surge of FTSE 100 putsNegative bets on the FTSE 100 rose sharply last week, suggesting investors are belatedly seeking downside protection for their UK equity holdings in expectation of a period of political uncertainty following the UK general election tomorrow http://www.risk.net/derivatives/equity-derivatives/2406994/uk-election-fog-prompts-surge-ftse-100-puts
http://www.risk.net/derivatives/equity-derivatives/2406994/uk-election-fog-prompts-surge-ftse-100-putsWed, 06 May 2015 11:54:00 +0000Equity swaps clearing plans divide industryBalance sheet constraints are forcing some delta one desks to confront the idea of clearing some of their equity swaps books. But faced with such a diverse universe of equity products and a market rigidly in favour of customisation, dealers and CCPs are facing a tall order http://www.risk.net/derivatives/equity-derivatives/2403001/equity-swaps-clearing-plans-divide-industry
http://www.risk.net/derivatives/equity-derivatives/2403001/equity-swaps-clearing-plans-divide-industrySun, 12 Apr 2015 23:30:00 +0000All change as investors favour ETFs over futuresThe use of futures to gain long equity index exposure is no longer the efficient play it once was, thanks to stubbornly high roll costs and the flight of arbitrageurs from the market. ETFs are being touted as a cheaper alternative, but is there more to the debate than meets the eye? http://www.risk.net/derivatives/structured-products/2402870/all-change-investors-favour-etfs-over-futures
http://www.risk.net/derivatives/structured-products/2402870/all-change-investors-favour-etfs-over-futuresFri, 10 Apr 2015 14:04:00 +0000Cutting edge introduction: Funding holes in Black-ScholesWhen pricing options, traders tend to avoid complexities such as funding costs and benefits, and haircuts on stocks used to delta-hedge options, but they do so at the risk of serious mispricing, warns one HSBC quant. Nazneen Sherif introduces this month’s technical articles http://www.risk.net/derivatives/equity-derivatives/2401102/cutting-edge-introduction-funding-holes-in-black-scholes
http://www.risk.net/derivatives/equity-derivatives/2401102/cutting-edge-introduction-funding-holes-in-black-scholesTue, 31 Mar 2015 14:40:00 +0000Structuring shops get shirty about spread-bets and CFDsNew rules for structured products issuance have reopened old wounds for banks, which claim spread-betting accounts and other products allow retail brokers to encroach on their turf with minimal oversight http://www.risk.net/derivatives/structured-products/2401510/structuring-shops-get-shirty-about-spread-bets-and-cfds
http://www.risk.net/derivatives/structured-products/2401510/structuring-shops-get-shirty-about-spread-bets-and-cfdsFri, 27 Mar 2015 11:27:00 +0000China ETFs rocked and UBS shocked by Stock ConnectThe launch of a market access scheme between Hong Kong and Shanghai last November had some odd consequences, sending the market for some China ETFs into a tailspin, and leaving UBS and others with paper losses http://www.risk.net/derivatives/equity-derivatives/2397487/china-etfs-rocked-and-ubs-shocked-stock-connect
http://www.risk.net/derivatives/equity-derivatives/2397487/china-etfs-rocked-and-ubs-shocked-stock-connectTue, 03 Mar 2015 06:10:00 +0000Pension fund risk manager of the year: PKADanish fund makes the case for a new breed of patient, unleveraged arbitrageur - capitalising on structural dislocations in equity repo rates, volatility and basis swaps http://www.risk.net/derivatives/equity-derivatives/2389653/pension-fund-risk-manager-year-pka
http://www.risk.net/derivatives/equity-derivatives/2389653/pension-fund-risk-manager-year-pkaMon, 12 Jan 2015 16:42:00 +0000Equity derivatives house of the year: Societe GeneraleSG has always been innovative - and kept that up last year with a clever equity repo workaround - but the Newedge acquisition adds heft in agency execution and prime brokerage. http://www.risk.net/derivatives/equity-derivatives/2389661/equity-derivatives-house-year-societe-generale
http://www.risk.net/derivatives/equity-derivatives/2389661/equity-derivatives-house-year-societe-generaleMon, 12 Jan 2015 16:12:00 +0000Taiwan further relaxes domestic equity derivative trading rulesOnshore regulator looks to boost domestic derivative sector by broadening types of assets firms can trade http://www.risk.net/derivatives/equity-derivatives/2388831/taiwan-further-relaxes-domestic-equity-derivative-trading
http://www.risk.net/derivatives/equity-derivatives/2388831/taiwan-further-relaxes-domestic-equity-derivative-tradingWed, 07 Jan 2015 00:00:00 +0000Hedge funds pile into Japan dispersion tradeRecent increase in single stock option issuance driving the market in dispersion trading http://www.risk.net/derivatives/equity-derivatives/2375776/hedge-funds-pile-japan-dispersion-trade
http://www.risk.net/derivatives/equity-derivatives/2375776/hedge-funds-pile-japan-dispersion-tradeWed, 15 Oct 2014 11:54:00 +0000Break in Nikkei/yen correlation drives hedge fund activityNikkei lag to recent yen depreciation attracts hedge funds back to Japan using forex contingent options http://www.risk.net/derivatives/2374422/break-nikkeiyen-correlation-drives-hedge-fund-activity
http://www.risk.net/derivatives/2374422/break-nikkeiyen-correlation-drives-hedge-fund-activityThu, 09 Oct 2014 00:00:00 +0000'Umbrella revolution' drives 33% spike in Hong Kong vol Volatility spikes five points after pro-democracy protestors brought central Hong Kong to a standstill http://www.risk.net/derivatives/2373963/umbrella-revolution-drives-33-spike-hong-kong-vol
http://www.risk.net/derivatives/2373963/umbrella-revolution-drives-33-spike-hong-kong-volMon, 06 Oct 2014 10:50:00 +0000FTSE vol and skew fell prior to Scottish voteFTSE implied volatility and skew fell ahead of the Scottish referendum, which some dealers attribute to investors unwinding hedges against a vote for independence http://www.risk.net/derivatives/equity-derivatives/2371050/ftse-vol-and-skew-fell-prior-scottish-vote
http://www.risk.net/derivatives/equity-derivatives/2371050/ftse-vol-and-skew-fell-prior-scottish-voteThu, 18 Sep 2014 17:31:00 +0000China options market faces margin and settlement challengesEquity index options set for launch later this year, but China authorities expected to retain T+1 settlement system which may inhibit options trading http://www.risk.net/exchanges/2359582/china-options-market-faces-margin-and-settlement-challenges
http://www.risk.net/exchanges/2359582/china-options-market-faces-margin-and-settlement-challengesTue, 19 Aug 2014 00:00:00 +0000Thomson Reuters survey puts BBVA top for sales and researchAfter spending three years refashioning its equity derivatives flow, BBVA's efforts appear to have paid off as it earns top spot for equity derivatives sales and research in the latest Thomson Reuters Extel Survey http://www.risk.net/derivatives/structured-products/2353564/thomson-reuters-survey-puts-bbva-top-sales-and-research
http://www.risk.net/derivatives/structured-products/2353564/thomson-reuters-survey-puts-bbva-top-sales-and-researchMon, 07 Jul 2014 15:23:00 +0000Equity derivatives in India and China to mirror 2013 JapanWhile all attention is focused on Japan, India and China are poised for a rapid expansion in their equity derivative markets that could rival anything engineered in Tokyo http://www.risk.net/derivatives/equity-derivatives/2349941/equity-derivatives-india-and-china-mirror-2013-japan
http://www.risk.net/derivatives/equity-derivatives/2349941/equity-derivatives-india-and-china-mirror-2013-japanThu, 12 Jun 2014 09:29:00 +0000Asia-specific Vix indexes fail to ignite market interestThe Asian volatility index market is at a nascent stage with a number of Asian exchanges launching volatility-based indexes – and futures products on the back of those indexes. However, uptake has been slow, with liquidity and low volatility hampering widespread trading http://www.risk.net/derivatives/equity-derivatives/2349394/asia-specific-vix-indexes-fail-ignite-market-interest
http://www.risk.net/derivatives/equity-derivatives/2349394/asia-specific-vix-indexes-fail-ignite-market-interestWed, 11 Jun 2014 16:12:00 +0000Investors look to profit from record low equity volatilityVolatility is trading at record lows globally and especially in Asia. Why is it so low and does it represent an opportunity for volatility funds to buy at discounted levels or is something more sinister at play? http://www.risk.net/derivatives/equity-derivatives/2346677/investors-look-profit-record-low-equity-volatility
http://www.risk.net/derivatives/equity-derivatives/2346677/investors-look-profit-record-low-equity-volatilityThu, 05 Jun 2014 02:22:00 +0000India election drives record equity derivatives volumesThis year has seen record index derivative sales in the Indian market with heightened activity expected later this year on a post-election equity market rally http://www.risk.net/derivatives/equity-derivatives/2346449/india-election-drives-record-equity-derivatives-volumes
http://www.risk.net/derivatives/equity-derivatives/2346449/india-election-drives-record-equity-derivatives-volumesMon, 26 May 2014 00:00:00 +0000SocGen creates synthetic access to Alibaba IPOEuropean investors are buying into a derivatives trade to profit from the eagerly anticipated IPO of Chinese tech company Alibaba http://www.risk.net/derivatives/equity-derivatives/2345399/socgen-creates-synthetic-access-alibaba-ipo
http://www.risk.net/derivatives/equity-derivatives/2345399/socgen-creates-synthetic-access-alibaba-ipoMon, 19 May 2014 09:08:00 +0000Smile transformation for price predictionOptions prices are driven by supply and demand in the market while simultaneously being bound by no-arbitrage restrictions. This makes it difficult to create models for their prediction. Petros Dellaportas and Aleksandar Mijatović use a simple time series model to propose an option price prediction algorithm that satisfies the no-arbitrage requirement and yields profitable trading strategies
http://www.risk.net/derivatives/equity-derivatives/2342471/smile-transformation-price-prediction
http://www.risk.net/derivatives/equity-derivatives/2342471/smile-transformation-price-predictionWed, 30 Apr 2014 16:15:00 +0000China looks beyond commodity derivatives with equity options launch Commodities have been the mainstay of China's derivative markets so far but the launch of equity options on two of the country's main exchanges could see this dominance challenged http://www.risk.net/exchanges/2334448/china-looks-beyond-commodity-derivatives-equity-options-launch
http://www.risk.net/exchanges/2334448/china-looks-beyond-commodity-derivatives-equity-options-launchThu, 20 Mar 2014 08:24:00 +0000European underlyings finding favour with Asia investorsRegion looks attractive after an extended period of serious problems http://www.risk.net/derivatives/equity-derivatives/2332810/european-underlyings-finding-favour-asia-investors
http://www.risk.net/derivatives/equity-derivatives/2332810/european-underlyings-finding-favour-asia-investorsFri, 07 Mar 2014 16:48:00 +0000Cross-currency basis causes pricing headache for dealers in JapanDifferences in the cost of yen and dollar funding are significantly impacting the price of Japan equity options at the long end of the curve and driving dealers on to the listed market http://www.risk.net/derivatives/equity-derivatives/2331230/cross-currency-basis-causes-pricing-headache-dealers-japan
http://www.risk.net/derivatives/equity-derivatives/2331230/cross-currency-basis-causes-pricing-headache-dealers-japanFri, 07 Mar 2014 01:00:00 +0000India listed derivatives market faces infrastructure hurdleIndia stock exchanges are predicting strong growth in the market for listed derivatives. With algo traders driving volume growth, can current infrastructure cope with the increased requirements? http://www.risk.net/derivatives/equity-derivatives/2330474/india-listed-derivatives-market-faces-infrastructure-hurdle
http://www.risk.net/derivatives/equity-derivatives/2330474/india-listed-derivatives-market-faces-infrastructure-hurdleTue, 25 Feb 2014 00:00:00 +0000Nikkei 400 index tipped to become Japan equity derivative benchmark Cash business likely to stay with Nikkei 225 but derivative trades may shift http://www.risk.net/derivatives/equity-derivatives/2327249/nikkei-400-index-tipped-become-japan-equity-derivative
http://www.risk.net/derivatives/equity-derivatives/2327249/nikkei-400-index-tipped-become-japan-equity-derivativeFri, 07 Feb 2014 00:00:00 +0000Plunging Nikkei brings $40m vega losses to Japan dealersLosses manageable now but if the Nikkei goes under 13,000, "there will be panic" http://www.risk.net/derivatives/equity-derivatives/2326972/plunging-nikkei-brings-40m-vega-losses-japan-dealers
http://www.risk.net/derivatives/equity-derivatives/2326972/plunging-nikkei-brings-40m-vega-losses-japan-dealersWed, 05 Feb 2014 10:17:34 +0000Dealers reassess Korea ELS market as equity risk builds upEquity-linked underlyings moving to Euro Stoxx 50 http://www.risk.net/derivatives/equity-derivatives/2323523/dealers-reassess-korea-els-market-equity-risk-builds
http://www.risk.net/derivatives/equity-derivatives/2323523/dealers-reassess-korea-els-market-equity-risk-buildsTue, 21 Jan 2014 00:00:00 +0000Rand volatility jolts South Africa's quanto stock futures marketCurrency controls in South Africa limit the ability of domestic investors to build stakes in big overseas companies. Listed quanto futures are one way round that, but the users remain exposed to currency risk – so some banks are now pushing an options-based alternative. Tom Osborn reports http://www.risk.net/derivatives/equity-derivatives/2298152/rand-volatility-jolts-south-africas-quanto-stock-futures
http://www.risk.net/derivatives/equity-derivatives/2298152/rand-volatility-jolts-south-africas-quanto-stock-futuresWed, 02 Oct 2013 16:15:00 +0000Regulatory indecision holds up equity derivatives trades in China Two different sets of master agreements cause stalemate between banks and securities firms
http://www.risk.net/derivatives/equity-derivatives/2288468/regulatory-indecision-holds-equity-derivatives-trades-china
http://www.risk.net/derivatives/equity-derivatives/2288468/regulatory-indecision-holds-equity-derivatives-trades-chinaTue, 13 Aug 2013 10:23:00 +0000Inventory limits behind collapse in equity repo ratesDelta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being blamed. Matt Cameron reports http://www.risk.net/derivatives/equity-derivatives/2285279/inventory-limits-behind-collapse-equity-repo-rates
http://www.risk.net/derivatives/equity-derivatives/2285279/inventory-limits-behind-collapse-equity-repo-ratesTue, 30 Jul 2013 16:50:00 +0000Smile in the low momentsSkew and curvature of volatility smiles are not only difficult to estimate, but also poorly reproduced by most smile expansions. Jean-Philippe Bouchaud, Lorenzo De Leo, Vincent Vargas and Stefano Ciliberti propose an expansion that effectively captures these dynamics by interpreting its parameters as payouts of exotic options for which efficient pricing methods are readily available http://www.risk.net/derivatives/equity-derivatives/2277256/smile-low-moments
http://www.risk.net/derivatives/equity-derivatives/2277256/smile-low-momentsTue, 25 Jun 2013 15:26:00 +0000Japan dealers pitch volatility swap trade to keep up with demand for Topix optionsInstitutions are creating demand for Topix options, outweighing supply http://www.risk.net/derivatives/equity-derivatives/2270697/japan-dealers-pitch-volatility-swap-trade-keep-demand-topix
http://www.risk.net/derivatives/equity-derivatives/2270697/japan-dealers-pitch-volatility-swap-trade-keep-demand-topixTue, 28 May 2013 14:47:23 +0000Demand for Topix options gives dealers hedging headacheInstitutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions http://www.risk.net/derivatives/equity-derivatives/2270074/demand-topix-options-gives-dealers-hedging-headache
http://www.risk.net/derivatives/equity-derivatives/2270074/demand-topix-options-gives-dealers-hedging-headacheFri, 24 May 2013 14:30:00 +0000‘No panic’ as Nikkei volatility spikes, dealers sayTraders say no sign of short volatility hedging after Nikkei 225 plunges http://www.risk.net/derivatives/equity-derivatives/2270199/no-panic-nikkei-volatility-spikes-dealers-say
http://www.risk.net/derivatives/equity-derivatives/2270199/no-panic-nikkei-volatility-spikes-dealers-sayThu, 23 May 2013 16:39:00 +0000Uridashi knockouts push Japan dividend futures to outperform NikkeiInverted yield curve provides rich pickings for investors http://www.risk.net/derivatives/equity-derivatives/2268532/uridashi-knockouts-push-japan-dividend-futures-outperform
http://www.risk.net/derivatives/equity-derivatives/2268532/uridashi-knockouts-push-japan-dividend-futures-outperformThu, 16 May 2013 14:36:00 +0000Institutions overtake retail structured product investors as dominant source of Japan equity option flowThe recent rise in Japan’s equity markets have seen macro hedge funds and asset managers overtake the retail structured product investors as the dominant source of flow on Nikkei and Topix options http://www.risk.net/derivatives/equity-derivatives/2262376/institutions-overtake-retail-structured-product-investors
http://www.risk.net/derivatives/equity-derivatives/2262376/institutions-overtake-retail-structured-product-investorsThu, 18 Apr 2013 10:29:00 +0000Rabobank pulls plug on equity derivatives businessBank has not decided whether to sell its book to other dealers http://www.risk.net/derivatives/equity-derivatives/2255883/rabobank-pulls-plug-equity-derivatives-business
http://www.risk.net/derivatives/equity-derivatives/2255883/rabobank-pulls-plug-equity-derivatives-businessWed, 20 Mar 2013 09:54:00 +0000Thai equity derivatives market to doubleDemand from corporate and private bank investors to drive growth in Thai structured product market http://www.risk.net/derivatives/equity-derivatives/2253694/thai-equity-derivatives-market-double
http://www.risk.net/derivatives/equity-derivatives/2253694/thai-equity-derivatives-market-doubleMon, 11 Mar 2013 10:33:31 +0000NZX to launch equity derivatives marketNew Zealand Stock Exchange to launch equity derivatives to meet demand for hedging instruments http://www.risk.net/derivatives/equity-derivatives/2251910/nzx-launch-equity-derivatives-market
http://www.risk.net/derivatives/equity-derivatives/2251910/nzx-launch-equity-derivatives-marketMon, 04 Mar 2013 12:46:28 +0000Viva Las Vega: Japan banks take advantage of volatility playLast summer, banks in the Japan structured products market were hit hard by moves in volatility – but some banks saw this as an opportunity to recycle risk to European pension funds http://www.risk.net/derivatives/equity-derivatives/2251529/viva-las-vega-japan-banks-take-advantage-volatility-play
http://www.risk.net/derivatives/equity-derivatives/2251529/viva-las-vega-japan-banks-take-advantage-volatility-playFri, 01 Mar 2013 16:58:54 +0000Uridashi losses put at $500 million after Nikkei reboundsWhen 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 industry may have lost as much as $500 million. By Matt Cameron http://www.risk.net/derivatives/equity-derivatives/2249656/uridashi-losses-put-500-million-after-nikkei-rebounds
http://www.risk.net/derivatives/equity-derivatives/2249656/uridashi-losses-put-500-million-after-nikkei-reboundsFri, 01 Mar 2013 16:20:00 +0000Chinese equity derivatives master agreement close to being finalisedSecurities firms in China have begun trading OTC equity derivatives, with a final master agreement expected soon http://www.risk.net/derivatives/equity-derivatives/2242478/chinese-equity-derivatives-master-agreement-close-being
http://www.risk.net/derivatives/equity-derivatives/2242478/chinese-equity-derivatives-master-agreement-close-beingThu, 14 Feb 2013 10:00:49 +0000