RBS launching gamma hedging algo for forex clients

New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options

Tim Carrington at RBS

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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