'Gamma trap' theory features in US Treasury meltdown report

Official post-mortem considers claims that options hedging amplified October 15 move

US Treasury
Hedgers may have driven V-shaped move in US Treasury yields

A long-awaited regulatory inquest into the sudden collapse and rebound of US Treasury yields on October 15, 2014 has found volatility selling by buy-side firms may have played a part.

As reported by Risk in November last year, some market participants believed the most likely explanation for the violence of the move was a simultaneous unwind of short rates and short gamma positions by hedge funds and asset managers, which amplified trading in US Treasuries as their counterparties sought to delta

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

The new rules of market risk management

Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…

ETF strategies to manage market volatility

Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here