Futures
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
How the Covid-19 pandemic is furthering understanding of crisis management frameworks
This webinar explores what can be gleaned from Covid-19, and how it can help inform recovery
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
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
A new dynamic hedging model with futures
This paper proposes a new econometric model for the estimation of optimal hedge ratios (HRs): the Kalman filter error-correction model (KF–ECM).
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
Eurex seeks Hong Kong clearing licence
Bourse has Greater China in its sights after Japan and Singapore licences approved
The joint S&P 500/Vix smile calibration puzzle solved
SPX and Vix derivatives are modelled jointly in an arbitrage-free setting
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
RBS exits listed derivatives trading and clearing
Clients served eviction notices last week as bank moves to downsize NatWest Markets unit
Dividend delays upend pricing of Eurostoxx futures, options
Investors that rolled futures contracts before companies axed AGMs “could have lost a lot of money”
Hedge funds see big gains on dividend curve trades
A popular relative value strategy delivered unexpected profits when companies axed payouts
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days
Eurostoxx dividend futures see trading frenzy
December 20 contracts drop 39% in March
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though