Exotic options
BofA preps single-stock autocalls on new CHF indexes
SIX Group indexes slash implied forward cost for US underlyings including Nvidia and Microsoft
Copulas find new role in derivatives pricing
Pricing model for exotic options revives poster child of 2008 credit crisis
Calamos’s $200m inflows trigger autocall ETF ‘frenzy’
First mover expands to US tech, Innovator ETFs plans rival listing on September 25
Hybrids go for gold
Spot gold surge sees investors eye dual digitals on new highs
Why Calamos chose swaps for market’s first autocall ETF
Swap-based structure attracts $40 million in first month; backers eye multi-billion-dollar AUM
Did tariff rout expose ‘autocallification’ in US dividend futures?
Bank of America cites curve flattening and beta surge as evidence of autocall hedging
Back-to-back hedging is back on the table for autocall issuers
Deal activity is picking up as prop shops compete with hedge funds for structured products risk
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
Autocall curbs hit long-dated Nikkei and HSCEI options
Collapsing Asia structured products inventory saps market-makers of long-dated vol supply
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
Hedge funds ease off profitable China FX options trade
Some still hold positions but an appreciating renminbi may make them less profitable for now
Japan autocall curbs upend Nikkei vol
Lack of reinvestment alongside FSA review forces scramble to buy back hedges as products knock out
Structured products house of the year: JP Morgan
Risk Awards 2023: Tech investment propels fixed income expansion and back-to-back autocall hedges
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries