Exotic options
Did tariff rout expose ‘autocallification’ in US dividend futures?
Bank of America cites curve flattening and beta surge as evidence of autocall hedging
Reverse dispersion gains traction as implied spread jumps
Inverted strategy on Euro Stoxx 50 gains popularity for profit-taking and correlation play
Currency derivatives house of the year: UBS
Risk Awards 2025: Access to wealth management client base helped Swiss bank to recycle volatility and provide accurate pricing for a range of FX structures
Hedge funds pile into short volatility QIS options
New twist on capturing vol premium remains popular despite mixed performance in August vol spike
Exotic FX derivatives bets in play as US election vol jumps
Forward volatility agreements see profits for funds; new trades include vol knockouts
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Collapse of correlation fails to stem zeal for dispersion
New analysis suggests immensely popular relative value strategy may have more upside
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
RMB vol returns as hedge funds take barrier trade profits
Unwinds of exotic positions saw vol jump 72% after surprise PBoC move last week
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented