Gamma
Equity derivatives house of the year: JP Morgan
Risk Awards 2026: Volatility strategies and technology investment help realise hyper scale-up
Tariffs volatility prompts rush to re-hedge EUR/USD options books
Banks left scrambling to buy vol as spot surged beyond expectations
Short-term Trump FX trades ‘dead’ as euro rallies
EUR/USD spot rally and vol spike sees mass unwinds of long USD trades
Disappearing dealer gamma spurs wild stock swings
Stock market selloff leaves dealers perilously close to peak short gamma positioning
Podcast: Lyudmil Zyapkov on the relativity of volatility
BofA quant’s new volatility model combines gamma processes and fractional Brownian motion
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Long gamma puts brakes on post-election US stock rally
Call selling by ETFs helped fuel largest net gamma positioning among dealers since July
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Podcast: Lorenzo Ravagli on why the skew is for the many
JP Morgan quant proposes a unified framework for trading the volatility skew premium
Harvesting the FX skew premium
Observing the vol-of-vol parameter may reveal a skew premium in FX markets
Rethinking P&L attribution for options
A buy-side perspective on how to decompose the P&L of index options is presented
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
Modeling the bid and ask prices of options
The authors investigate and partially solve theoretical and empirical problems for the joint modelling of bid and ask prices.
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