Equity options
Autocalamity: can hit product be reinvented?
Spreads on ‘worst-of’ bonds leap 50% as some dealers retreat and others pile on hedges
BofA becomes first US bank to adopt SA-CCR
Move cut leverage exposure by $66bn, but other banks wary of trade-offs
A new arbitrage-free parametric volatility surface
A new arbitrage-free volatility surface with closed-form valuation and local volatility is introduced
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
EU to grant last-minute margin reprieve for equity options
European Commission to publish changes to Emir technical standards within days
Asia exotics desks eye forward vol as corridor variance wilts
Forward-starting options offer discounted vol to hedge funds as dealers recycle autocall risk
Derivatives exchange of the year: SGX
Asia Risk Awards 2019
Currency risk drives EU equity fund derivatives use
Just 27.6% of Ucits equity funds traded derivatives in Esma sample
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
EU banks seek last-minute margin reprieve for equity options
European dealers want exemption rolled over, to avoid handing US firms a regulatory advantage
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
JP Morgan turns to machine learning for options hedging
New models sidestep Black-Scholes and could slash hedging costs for some derivatives by up to 80%
Skewing quanto with simplicity
George Hong presents an analytical method for pricing quanto options
Autocall concentration weighs on dealers
Hedging headaches force issuers to seek new structured product blockbusters
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Bank risk manager of the year: UBS
Risk Awards 2019: Bank heeds lessons of past structured products routs to navigate February volatility
BNPP targets US equities in new tie-up with GTS
French bank says derivatives business will benefit from better prices and liquidity in underlying stocks
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Nervy Korean autocall investors lean on lizards
After volatility surge, buyers give up coupons for better chance of early redemption
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex