Volatility
After market whipsaws, banks put new twist on QIS options
Variable strike options aim to catch recoveries after volatility spikes
Markets never forget: the lasting impression of square-root impact
Jean-Philippe Bouchaud argues trade flows have a large and long-term effect on asset prices
Neural networks unleashed: joint SPX/VIX calibration has never been faster
SPX and VIX options can be jointly calibrated in real time with deep neural networks
Investors turn to costly ‘all weather’ hedging strategies
Geopolitical and technology risks spur demand for multi-strategy QIS tail hedges
LatAm FX carry trade shrugs off geopolitical fears
Clients in regional carry positions remain undeterred by US interventions, say dealers
S&P bull run drives interest in reset and lookback hedges
Variable strike put options proved popular alternative hedging format of 2025
October’s crash shows crypto has come of age
Ability to absorb $19bn liquidation event marks a turning point in market’s maturity, says LMAX Group's Jenna Wright
Quants tell FX dealers how to make the most of passive liquidity
Paper from HSBC and Imperial sets out when to skew pricing, and when not
Analyzing the impact of energy prices on US stock market volatility
Using data from January 1986 to December 2023, the authors explore the time-varying impact of energy prices on the US stock market.
Dealer views mixed over future of profitable EM FX carry trade
Emerging market FX carry trades have generated 7.5% returns since April, but dealers question longevity
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Machine learning in oil market volatility forecasting: the role of feature selection and forecast horizon
This paper investigates oil market volatility prediction, showing financial variables to dominate short-horizon forecasting, while macroeconomic and sentiment factors increase in importance at longer horizons
Currency derivatives house of the year: Bank of America
Risk Awards 2026: Early call on dollar weakness helped bank break vega records in April and quickly recycle 95% of risk
Real money looks to dynamic hedges after tariff bout
Buy-siders are adopting more responsive FX hedging strategies after correlations broke down
Institutional investors take profit on gold trades
Hedge funds trimmed longs after gold rally and triggered massive market selloff
The curious case of the missing volatility risk premium
Volatility investors will need to work harder and smarter to capture value, says Capstone
The crypto Wild West: a deep dive into the market volatility of junk coins versus Bitcoin
The authors assess the volatility of Bitcoin returns versus those of Dogecoin, Shiba Inu and Baby Doge Coin, finding that Bitcoin exhibits lower volatility and is the benchmark cryptoasset.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
During a health crisis should you invest in gold or oil?
Employing advanced econometric models, this paper analyzes the volatility behavior of gold and oil prices during the Covid-19 pandemic.
Required IM at top CCPs climbs 11% to record high in Q2
Tariff shocks and trading shifts propel surge across the board
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million