Open interest in Vix futures ended year 44% down from January peak
German exchange used ‘wrong month’ to name Saron futures
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
In total, 55 margin breaches reported at end-September 2018
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Longer-dated contracts push total open interest higher
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Open interest in options and futures contracts combined dropped 12%
Four-member auction may have turned 39% margin breach into huge default fund loss
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
Expectations grow that a long-awaited Asian gas derivatives market is emerging
A total nine breaches are reported, averaging $14 million
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.