Options
PGIM nearly eliminates credit options book
Counterparty Radar: Pimco also exits space in Q2 as US funds show record low positions in the instrument
StanChart sees big uptick in FX options positions
Counterparty Radar: UK bank benefits from MSIM trades as market for US mutual funds expands in Q2
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
US mutual funds piled into call-selling strategies in Q1
Counterparty Radar: BlackRock, Franklin Templeton and T Rowe Price among the managers who added to single-stock positions
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Lincoln, Global Atlantic push JPM to index options top spot
Counterparty Radar: Among life insurers, options notional grew 7% in Q1
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Does the term structure of the at-the-money skew really follow a power law?
A power law can fit the ATM skew, but struggles with short maturities
CME and Digital Vega to offer joint solution for block FX options
Tie-up aims to enable buy-side firms to tap benefits of central clearing via OTC-style workflows
MSIM revived RMB options activity in Q1
Counterparty Radar: Investment firm added $2 billion in dollar/renminbi options, mainly with JP Morgan and StanChart
Zero-day options: ticking time bombs or high alpha trades?
Zero-day-to-expiration (0DTE) options have surged in popularity over the past several years, with 0DTE options now exceeding 40% of daily trading volumes in S&P 500-linked options by recent estimates. A panel of market experts provide their perspectives…
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
FX options hint at potential for euro shock
Months-long rally powered by ongoing hikes, but euro-bears fear economy will crack
Zero-day options and the shadow of the apocalypse
For some, 0DTEs could spell doom in adverse market conditions; others dismiss such talk as dramatics
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
Options liquidation can be costly. How costly?
New model uses open interest and volume data to calculate the expense of selling an options portfolio during times of stress
Mystery upstarts crash Robinhood’s retail options party
SEC filings hint at wider shake-up in wholesale options market-making
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability