RBS launching gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Royal Bank of Scotland (RBS) will this month launch a spot foreign exchange trading algorithm designed to help clients automatically manage the gamma sensitivity associated with forex options portfolios – a task the bank claims can absorb 20% or more of an option trader’s time when the gamma hedging is done manually.
“It is an algorithmic trade engine that understands gamma,” says Tim Carrington, the bank’s London-based global head of forex.
Dubbed RBS Agile, the tool can be used in various ways
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