Gamma
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Gamma zero: an overlooked signal of volatility is flashing red
Markets are most erratic when option hedging exposures are flat
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Chebyshev Greeks: smoothing gamma without bias
A numerical method to obtain stable deltas and gammas for complex payoffs is presented
Yen exotics re-hedging fuelled vol surge, say traders
USD/JPY spike forced dealer stampede into call options, pushing FX vol even higher
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
China stock slump hits snowball issuers
Sharp selloff in CSI 500 index threatens pain for local issuers of popular structured products
Equity markets have become so complex as to defy explanation
Experts struggle to rationalise wild swings in a market that is almost unrecognisable
Quants turn to single stocks to revive intraday trend strategy
Retail trading boom has made intraday single-stock strategies more viable
Podcast: Matthew Dixon on decomposition of portfolio risk
New approach calculates contributions to value-at-risk for nonlinear portfolios
Investors question fixes for a quant strategy that’s stalled
Banks are revamping intraday trend strategies; buy-siders aren’t sure it’ll work
Nonlinear risk decomposition for any type of fund
A risk decomposition by fund manager, factor or instrument is proposed
GameStop frenzy triggered $2 billion margin breach at OCC
Total initial margin held by the OCC's default fund stood at $114.4 billion in Q1
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Impact of hedging strategies on variable annuities
Put options may reduce the cost of hedging strategies for insurers
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
How Goldman’s algos adapted to virus vol
Interview: Ralf Donner explains why algo usage is up while markets are down
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
