Commodity futures
Directional predictability between returns and trading volume in the futures markets of energy: insights into traders’ behavior
This papers aims to test for directional predictability between returns and volume (and vice versa) in the energy futures markets, employing a cross-quantilogram approach that enables the assessment of the temporal association between two stationary time…
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
Sending the right signals: quantifying and repricing risk
Risk.net convened a panel of three experts from different fields to discuss some of the most pressing and pertinent climate-risk related issues, each offering different insight to the discussion from their respective backgrounds, providing an exchange of…
Energy vol puts spotlight on Ice’s TTF futures margin
Clearing firms say exchange was slow to react as natural gas prices spiked
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
Yen swaps users stuck in clearing Catch-22
Lack of access to client clearing at JSCC poses problems for US buyers of Japanese government bonds
EU firms face margin threat as Brexit tips futures into OTC regime
Mid-2021 clearing, margin thresholds loom as LME, Ice futures lose exchange-traded status in EU
Vol decay and correlation flips: CFM’s take on the Covid crisis
Market bounce-back blindsided quant investment firm – and others
Oil funds want to reduce risk. Will investors let them?
Despite posting big losses, funds that track front-month contracts remain popular with investors
Initial margin – Special report 2020
Buy-side firms in advanced preparations for phases five and six of initial margin (IM) rules are eager to maintain momentum and put their efforts to the test now that implementation has been delayed by 12 months following disruptions related to the Covid…
Podcast: the future of retail investment in oil
Will negative prices and big losses curb retail investors’ appetite for oil futures over the longer term?
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
Negative oil prices put spotlight on investors
What part did Bank of China and other investors play in last month’s oil rout, asks derivatives veteran
CME was ill-prepared for negative oil prices, FCMs say
Bourse draws criticism over timing of options model change; delay in sending key margin file
Banks rail against China CCPs’ loss-sharing policy
Controversial loss allocation technique remains unused during recent market routs, but banks want it banned
Oil futures and options see record volumes
Brent crude contract traded volumes hit 3.4 million on March 9
Brent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.
Q&A: CFTC’s Behnam on tackling market risk in climate change
Commissioner wants to see new derivatives products to help mitigate climate threat
CFTC's Berkovitz puts his weight behind position limits
New rule on speculative commodity trades will be proposed within weeks
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…